WorldWideScience

Sample records for minerals price series

  1. Effects of Dutch mineral policies on land prices.

    NARCIS (Netherlands)

    Boots, M.G.; Oude Lansink, A.G.J.M.; Peerlings, J.H.M.

    1998-01-01

    Land prices were analyzed by shadow prices of individual
    farms and an exogenous supply of land,
    taking account of mineral surplus taxes and farm
    characteristics. Mineral policies have a substantial
    effect on land prices in the Netherlands and result
    in more extensive dairy

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

    International Nuclear Information System (INIS)

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

    2012-01-01

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

  3. Using time series structural characteristics to analyze grain prices in food insecure countries

    Science.gov (United States)

    Davenport, Frank; Funk, Chris

    2015-01-01

    Two components of food security monitoring are accurate forecasts of local grain prices and the ability to identify unusual price behavior. We evaluated a method that can both facilitate forecasts of cross-country grain price data and identify dissimilarities in price behavior across multiple markets. This method, characteristic based clustering (CBC), identifies similarities in multiple time series based on structural characteristics in the data. Here, we conducted a simulation experiment to determine if CBC can be used to improve the accuracy of maize price forecasts. We then compared forecast accuracies among clustered and non-clustered price series over a rolling time horizon. We found that the accuracy of forecasts on clusters of time series were equal to or worse than forecasts based on individual time series. However, in the following experiment we found that CBC was still useful for price analysis. We used the clusters to explore the similarity of price behavior among Kenyan maize markets. We found that price behavior in the isolated markets of Mandera and Marsabit has become increasingly dissimilar from markets in other Kenyan cities, and that these dissimilarities could not be explained solely by geographic distance. The structural isolation of Mandera and Marsabit that we find in this paper is supported by field studies on food security and market integration in Kenya. Our results suggest that a market with a unique price series (as measured by structural characteristics that differ from neighboring markets) may lack market integration and food security.

  4. DIREM's prices. Prices and margins of petroleum products in France and in the European Union

    International Nuclear Information System (INIS)

    2002-08-01

    This report presents in a series of graphs and tables the prices and margins of petroleum products in France and in the European Union (EU) according to the data compiled by the Direction of energy and mineral resources (DIREM) of the French general direction of energy and raw materials (DGEMP, Ministry of economy, finances and industry): evolution of crude prices, evolution of Rotterdam's quotation of petroleum products, raw margin of brent refining, French fuel prices (automotive and domestic fuels, evolution, comparison with EU and Rotterdam's prices), comparison with prices in other European countries, evolution of average retail prices in France. (J.S.)

  5. Synthetic river flow time series generator for dispatch and spot price forecast

    International Nuclear Information System (INIS)

    Flores, R.A.

    2007-01-01

    Decision-making in electricity markets is complicated by uncertainties in demand growth, power supplies and fuel prices. In Peru, where the electrical power system is highly dependent on water resources at dams and river flows, hydrological uncertainties play a primary role in planning, price and dispatch forecast. This paper proposed a signal processing method for generating new synthetic river flow time series as a support for planning and spot market price forecasting. River flow time series are natural phenomena representing a continuous-time domain process. As an alternative synthetic representation of the original river flow time series, this proposed signal processing method preserves correlations, basic statistics and seasonality. It takes into account deterministic, periodic and non periodic components such as those due to the El Nino Southern Oscillation phenomenon. The new synthetic time series has many correlations with the original river flow time series, rendering it suitable for possible replacement of the classical method of sorting historical river flow time series. As a dispatch and planning approach to spot pricing, the proposed method offers higher accuracy modeling by decomposing the signal into deterministic, periodic, non periodic and stochastic sub signals. 4 refs., 4 tabs., 13 figs

  6. Long memory in German energy price indices

    Energy Technology Data Exchange (ETDEWEB)

    Barros, Carlos P. [Lisbon Univ. (Portugal). Inst. Superior de Economia e Gestao; Caporale, Guglielmo Maria [Brunel Univ., London (United Kingdom). Centre for Empirical Finance; Gil-Alana, Luis A. [Navarra Univ., Pamplona (Spain). Faculty of Economics and Business Administration

    2012-09-15

    This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken using monthly data from January 2000 to August 2011. The results suggest nonstationary long memory in the series (with orders of integration equal to or higher than 1) when breaks are not allowed for. However, endogenous break tests indicate a single break in all series except for producer prices for lignite for which two breaks are detected. When such breaks are taken into account, and with autocorrelated disturbances, evidence of mean reversion is found in practically all cases.

  7. Fuzzy time-series based on Fibonacci sequence for stock price forecasting

    Science.gov (United States)

    Chen, Tai-Liang; Cheng, Ching-Hsue; Jong Teoh, Hia

    2007-07-01

    Time-series models have been utilized to make reasonably accurate predictions in the areas of stock price movements, academic enrollments, weather, etc. For promoting the forecasting performance of fuzzy time-series models, this paper proposes a new model, which incorporates the concept of the Fibonacci sequence, the framework of Song and Chissom's model and the weighted method of Yu's model. This paper employs a 5-year period TSMC (Taiwan Semiconductor Manufacturing Company) stock price data and a 13-year period of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) stock index data as experimental datasets. By comparing our forecasting performances with Chen's (Forecasting enrollments based on fuzzy time-series. Fuzzy Sets Syst. 81 (1996) 311-319), Yu's (Weighted fuzzy time-series models for TAIEX forecasting. Physica A 349 (2004) 609-624) and Huarng's (The application of neural networks to forecast fuzzy time series. Physica A 336 (2006) 481-491) models, we conclude that the proposed model surpasses in accuracy these conventional fuzzy time-series models.

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

    International Nuclear Information System (INIS)

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

    2004-01-01

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

  9. Detecting method for crude oil price fluctuation mechanism under different periodic time series

    International Nuclear Information System (INIS)

    Gao, Xiangyun; Fang, Wei; An, Feng; Wang, Yue

    2017-01-01

    Highlights: • We proposed the concept of autoregressive modes to indicate the fluctuation patterns. • We constructed transmission networks for studying the fluctuation mechanism. • There are different fluctuation mechanism under different periodic time series. • Only a few types of autoregressive modes control the fluctuations in crude oil price. • There are cluster effects during the fluctuation mechanism of autoregressive modes. - Abstract: Current existing literatures can characterize the long-term fluctuation of crude oil price time series, however, it is difficult to detect the fluctuation mechanism specifically under short term. Because each fluctuation pattern for one short period contained in a long-term crude oil price time series have dynamic characteristics of diversity; in other words, there exhibit various fluctuation patterns in different short periods and transmit to each other, which reflects the reputedly complicate and chaotic oil market. Thus, we proposed an incorporated method to detect the fluctuation mechanism, which is the evolution of the different fluctuation patterns over time from the complex network perspective. We divided crude oil price time series into segments using sliding time windows, and defined autoregressive modes based on regression models to indicate the fluctuation patterns of each segment. Hence, the transmissions between different types of autoregressive modes over time form a transmission network that contains rich dynamic information. We then capture transmission characteristics of autoregressive modes under different periodic time series through the structure features of the transmission networks. The results indicate that there are various autoregressive modes with significantly different statistical characteristics under different periodic time series. However, only a few types of autoregressive modes and transmission patterns play a major role in the fluctuation mechanism of the crude oil price, and these

  10. Time Series Analysis of Wheat flour Price Shocks in Pakistan: A Case Analysis

    OpenAIRE

    Asad Raza Abdi; Ali Hassan Halepoto; Aisha Bashir Shah; Faiz M. Shaikh

    2013-01-01

    The current research investigates the wheat flour Price Shocks in Pakistan: A case analysis. Data was collected by using secondary sources by using Time series Analysis, and data were analyzed by using SPSS-20 version. It was revealed that the price of wheat flour increases from last four decades, and trend of price shocks shows that due to certain market variation and supply and demand shocks also play a positive relationship in price shocks in the wheat prices. It was further revealed th...

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

    Science.gov (United States)

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

    2015-02-01

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

  12. Stock price forecasting based on time series analysis

    Science.gov (United States)

    Chi, Wan Le

    2018-05-01

    Using the historical stock price data to set up a sequence model to explain the intrinsic relationship of data, the future stock price can forecasted. The used models are auto-regressive model, moving-average model and autoregressive-movingaverage model. The original data sequence of unit root test was used to judge whether the original data sequence was stationary. The non-stationary original sequence as a first order difference needed further processing. Then the stability of the sequence difference was re-inspected. If it is still non-stationary, the second order differential processing of the sequence is carried out. Autocorrelation diagram and partial correlation diagram were used to evaluate the parameters of the identified ARMA model, including coefficients of the model and model order. Finally, the model was used to forecast the fitting of the shanghai composite index daily closing price with precision. Results showed that the non-stationary original data series was stationary after the second order difference. The forecast value of shanghai composite index daily closing price was closer to actual value, indicating that the ARMA model in the paper was a certain accuracy.

  13. Jumps and stochastic volatility in oil prices: Time series evidence

    International Nuclear Information System (INIS)

    Larsson, Karl; Nossman, Marcus

    2011-01-01

    In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model clearly outperforms the others in terms of a superior fit to data. Our estimation method allows us to obtain a detailed study of oil prices during two periods of extreme market stress included in our sample; the Gulf war and the recent financial crisis. We also address the economic significance of model choice in two option pricing applications. The implied volatilities generated by the different estimated models are compared and we price a real option to develop an oil field. Our findings indicate that model choice can have a material effect on the option values.

  14. 77 FR 22282 - Milk in the Northeast and Other Marketing Areas; Determination of Equivalent Price Series

    Science.gov (United States)

    2012-04-13

    ... DEPARTMENT OF AGRICULTURE Agricultural Marketing Service [Doc. No. AMS-DA-10-0089; DA-11-01] Milk in the Northeast and Other Marketing Areas; Determination of Equivalent Price Series AGENCY: Agricultural Marketing Service, USDA. ACTION: Determination of equivalent price series. SUMMARY: It has been...

  15. Pricing Mining Concessions Based on Combined Multinomial Pricing Model

    Directory of Open Access Journals (Sweden)

    Chang Xiao

    2017-01-01

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

  16. Fractality of profit landscapes and validation of time series models for stock prices

    Science.gov (United States)

    Yi, Il Gu; Oh, Gabjin; Kim, Beom Jun

    2013-08-01

    We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (-q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: the number M of local maxima follows the power-law form M ˜ Na, but the scaling exponent a is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent a ≈ 1.6 observed for real stock markets. We suggest that the fractality of profit landscape characterized by a ≈ 1.6 can be a useful measure to validate time series model for stock prices.

  17. Finding hidden periodic signals in time series - an application to stock prices

    Science.gov (United States)

    O'Shea, Michael

    2014-03-01

    Data in the form of time series appear in many areas of science. In cases where the periodicity is apparent and the only other contribution to the time series is stochastic in origin, the data can be `folded' to improve signal to noise and this has been done for light curves of variable stars with the folding resulting in a cleaner light curve signal. Stock index prices versus time are classic examples of time series. Repeating patterns have been claimed by many workers and include unusually large returns on small-cap stocks during the month of January, and small returns on the Dow Jones Industrial average (DJIA) in the months June through September compared to the rest of the year. Such observations imply that these prices have a periodic component. We investigate this for the DJIA. If such a component exists it is hidden in a large non-periodic variation and a large stochastic variation. We show how to extract this periodic component and for the first time reveal its yearly (averaged) shape. This periodic component leads directly to the `Sell in May and buy at Halloween' adage. We also drill down and show that this yearly variation emerges from approximately half of the underlying stocks making up the DJIA index.

  18. Effects of series compensation on spot price power markets

    International Nuclear Information System (INIS)

    Shrestha, G.B.; Wang Feng

    2005-01-01

    The operation of a deregulated power market becomes more complex as the generation scheduling is dependent on suppliers' and consumers' bids. With large number of transactions in the power market changing in time, it is more likely for some transmission lines to face congestion. Series compensation, such as TCSC, with its ability to directly control the power flow can be very helpful to improve the operation of transmission networks. The effects of TCSC on the operation of a spot price power market are studied in this paper using the modified IEEE 14-bus system. Optimal Power Flow incorporating TCSC is used to implement the spot price market. Linear bids are used to model suppliers' and consumers' bids. Issues of location and cost of TCSC are discussed. The effects of levels of TCSC compensation on wide range of system quantities are studied. The effects on the total social benefit, the spot prices, transmission congestion, total generation and consumption, benefit to individual supplier and consumer etc. are discussed. It is demonstrated that though use of TCSC makes the system more efficient and augments competition in the market, it is not easy to establish general relationships between the levels of compensation and various market quantities. Simulation studies like these can be used to assess the effects of TCSC in specific systems. (Author)

  19. Metal prices in the United States through 2010

    Science.gov (United States)

    ,

    2013-01-01

    This report, which updates and revises the U.S. Geological Survey (USGS) (1999) publication, “Metal Prices in the United States Through 1998,” presents an extended price history for a wide range of metals available in a single document. Such information can be useful for the analysis of mineral commodity issues, as well as for other purposes. The chapter for each mineral commodity includes a graph of annual current and constant dollar prices for 1970 through 2010, where available; a list of significant events that affected prices; a brief discussion of the metal and its history; and one or more tables that list current dollar prices. In some cases, the metal prices presented herein are for some alternative form of an element or, instead of a price, a value, such as the value for an import as appraised by the U.S. Customs Service. Also included are the prices for steel, steel scrap, and iron ore—steel because of its importance to the elements used to alloy with it, and steel scrap and iron ore because of their use in steelmaking. A few minor metals, such as calcium, potassium, sodium, strontium, and thorium, for which price histories were insufficient, were excluded. The annual prices given may be averages for the year, yearend prices, or some other price as appropriate for a particular commodity. Certain trade journals have been the source of much of this price information—American Metal Market, ICIS Chemical Business, Engineering and Mining Journal, Industrial Minerals, Metal Bulletin, Mining Journal, Platts Metals Week, Roskill Information Services Ltd. commodity reports, and Ryan’s Notes. Price information also is available in minerals information publications of the USGS (1880–1925, 1996–present) and the U.S. Bureau of Mines (1926–95), such as Mineral Commodity Summaries, Mineral Facts and Problems, Mineral Industry Surveys, and Minerals Yearbook. In addition to prices themselves, these journals and publications contain information relevant to

  20. Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices

    International Nuclear Information System (INIS)

    Ewing, Bradley T.; Thompson, Mark A.

    2007-01-01

    This paper examines the empirical relationship between oil prices and several key macroeconomic variables. In particular, we investigate the cyclical comovements of crude oil prices with output, consumer prices, unemployment, and stock prices. The methodology involves the use of the Hodrick-Prescott [Hodrick, R.J., Prescott, E.C., 1980. Post-War US Business Cycles: An Empirical Investigation. Working Paper, Carnegie Mellon University] and Baxter-King [Baxter, M., King, R.G., 1999. Measuring business cycles: approximate band-pass filters for economic time series. Review of Economics and Statistics 81, 575-593] filters, as well as the recently developed full-sample asymmetric Christiano-Fitzgerald [Christiano, L.J., Fitzgerald, T.J., 2003. The band pass filter. International Economic Review 44, 435-465] band-pass filter. Contemporaneous and cross-correlation estimates are made using the stationary cyclical components of the time series to make inference about the degree to which oil prices move with the cycle. Besides documenting a number of important cyclical relationships using three different time series filtering methods, the results suggest that crude oil prices are procyclical and lag industrial production. Additionally, we find that oil prices lead consumer prices. (author)

  1. Economic drivers of mineral supply

    Science.gov (United States)

    Wagner, Lorie A.; Sullivan, Daniel E.; Sznopek, John L.

    2003-01-01

    The debate over the adequacy of future supplies of mineral resources continues in light of the growing use of mineral-based materials in the United States. According to the U.S. Geological Survey, the quantity of new materials utilized each year has dramatically increased from 161 million tons2 in 1900 to 3.2 billion tons in 2000. Of all the materials used during the 20th century in the United States, more than half were used in the last 25 years. With the Earth?s endowment of natural resources remaining constant, and increased demand for resources, economic theory states that as depletion approaches, prices rise. This study shows that many economic drivers (conditions that create an economic incentive for producers to act in a particular way) such as the impact of globalization, technological improvements, productivity increases, and efficient materials usage are at work simultaneously to impact minerals markets and supply. As a result of these economic drivers, the historical price trend of mineral prices3 in constant dollars has declined as demand has risen. When price is measured by the cost in human effort, the price trend also has been almost steadily downward. Although the United States economy continues its increasing mineral consumption trend, the supply of minerals has been able to keep pace. This study shows that in general supply has grown faster than demand, causing a declining trend in mineral prices.

  2. Minerals Price Increases and Volatility: Causes and Consequences

    National Research Council Canada - National Science Library

    Cooney, Stephen; Nanto, Dick K

    2008-01-01

    .... Prices have at least nearly doubled between 2001 and 2008. In the case of steel, the most widely used industrial metal, the rise in price appears largely driven by the high prices of iron ore and steel scrap...

  3. Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach

    Directory of Open Access Journals (Sweden)

    Weiping Li

    2016-03-01

    Full Text Available In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a finite sum with the estimation of the remainder term. Moreover, we present explicitly a method to compute each term in our pricing formula. The hedging formulas (greek letters for the arithmetic Asian options are obtained as well. Our formulas for the long lasting question on pricing and hedging arithmetic Asian options are easy to implement with enough accuracy. Our numerical illustration shows that the arithmetic Asian options worths less than the European options under the standard Black-Scholes assumptions, verifies theoretically that the volatility of the arithmetic average is less than the one of the underlying assets, and also discovers an interesting phenomena that the arithmetic Asian option for large fixed strikes such as stocks has higher volatility (elasticity than the plain European option. However, the elasticity of the arithmetic Asian options for small fixed strikes as trading in currencies and commodity products is much less than the elasticity of the plain European option. These findings are consistent with the ones from the hedgings with respect to the time to expiration, the strike, the present underlying asset price, the interest rate and the volatility.

  4. The structure environment, rock-magma system, mineral-forming series and pattern of volcanic mineral-forming of uranium deposit in southeast of China

    International Nuclear Information System (INIS)

    Yu Dagan

    1992-01-01

    The Volcanic uranium deposit of rock-magma belt-the Mid-Cz Volcano in the Southeast of China mainly formed around 120 ∼ 130 Ma and 90 ∼ 100 Ma Which is in harmony with the two rock magma activities of k within the region. The rock-magma system of this period formed around the turning period from pressure to tension in the continent margin of southeast China, which is mainly characterized by the appearance of A-type granite and alkaline, sub-alkaline rocks (trachyte, trachyandensite, trachybasalt, basic rock alkaline basalt). The uranium deposit is controlled by the base rift of dissection to the mantle, the volcanic basin is of the double characteristics of transversal rift valley basin (early period) ad tension rift valley basin (laster period). The leading role of the deep source is stressed in terms of internal-forming series of volcanic uranium deposits is considered to exist; and also in terms of internal-forming series of volcanic uranium deposits is considered to exist; and also in terms of mineral-forming patterns, the multi-pattern led by the deep-source is stressed, including the mineral-forming pattern of uranium deposit of continental thermos, repeated periphery mineral-forming pattern of uranium deposit and the mineral-forming pattern of uranium deposit of rising pole-like thermos. Ten suggestions are put forward to the next mineral-search according to the above thoughts

  5. Detecting Chaos from Agricultural Product Price Time Series

    Directory of Open Access Journals (Sweden)

    Xin Su

    2014-12-01

    Full Text Available Analysis of the characteristics of agricultural product price volatility and trend forecasting are necessary to formulate and implement agricultural price control policies. Taking wholesale cabbage prices as an example, a multiple test methodology has been adopted to identify the nonlinearity, fractality, and chaos of the data. The approaches used include the R/S analysis, the BDS test, the power spectra, the recurrence plot, the largest Lyapunov exponent, the Kolmogorov entropy, and the correlation dimension. The results show that there is chaos in agricultural wholesale price data, which provides a good theoretical basis for selecting reasonable forecasting models as prediction techniques based on chaos theory can be applied to forecasting agricultural prices.

  6. Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases

    International Nuclear Information System (INIS)

    Radchenko, S.

    2005-01-01

    This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating. (author)

  7. Using Computer Techniques To Predict OPEC Oil Prices For Period 2000 To 2015 By Time-Series Methods

    Directory of Open Access Journals (Sweden)

    Mohammad Esmail Ahmad

    2015-08-01

    Full Text Available The instability in the world and OPEC oil process results from many factors through a long time. The problems can be summarized as that the oil exports dont constitute a large share of N.I. only but it also makes up most of the saving of the oil states. The oil prices affect their market through the interaction of supply and demand forces of oil. The research hypothesis states that the movement of oil prices caused shocks crises and economic problems. These shocks happen due to changes in oil prices need to make a prediction within the framework of economic planning in a short run period in order to avoid shocks through using computer techniques by time series models.

  8. Analysis of the impact of crude oil price fluctuations on China's stock market in different periods-Based on time series network model

    Science.gov (United States)

    An, Yang; Sun, Mei; Gao, Cuixia; Han, Dun; Li, Xiuming

    2018-02-01

    This paper studies the influence of Brent oil price fluctuations on the stock prices of China's two distinct blocks, namely, the petrochemical block and the electric equipment and new energy block, applying the Shannon entropy of information theory. The co-movement trend of crude oil price and stock prices is divided into different fluctuation patterns with the coarse-graining method. Then, the bivariate time series network model is established for the two blocks stock in five different periods. By joint analysis of the network-oriented metrics, the key modes and underlying evolutionary mechanisms were identified. The results show that the both networks have different fluctuation characteristics in different periods. Their co-movement patterns are clustered in some key modes and conversion intermediaries. The study not only reveals the lag effect of crude oil price fluctuations on the stock in Chinese industry blocks but also verifies the necessity of research on special periods, and suggests that the government should use different energy policies to stabilize market volatility in different periods. A new way is provided to study the unidirectional influence between multiple variables or complex time series.

  9. Minerals Industry' 97. Survey report

    International Nuclear Information System (INIS)

    1997-01-01

    The aim of this annual survey is to provide timely and accurate financial data such as production, price movements, profitability, distribution of assets by activity, employment and labour cost and taxation on the Australian minerals industry. It aims to facilitate more informed debate on the industry's role and importance in the economy. The report also includes information on the safety and health performance and overseas exploration expenditure of the minerals industry. This twenty-first survey relates to the year ended 30 June 1997. The proportion of activity covered in this year's survey is comparable with the 1996 survey. The mineral industry is defined as including exploration for, extraction and primary processing of minerals in Australia. The oil, gas, iron and steel industries are excluded. As for the uranium industry, increased mine capacity over the medium term saw a switch away from spot market purchases to long term contracts for uranium in 1996. This, coupled with announced releases from the US stockpile, saw downward pressure on spot market prices for uranium during 1996/97. The average spot market price for U 3 O 8 fell by an average of 6 percent during 1996/97 and was approximately 16 percent lower than three years ago. General uncertainty over the future profitability of coal industry is compounded by the likely softness of future coal prices

  10. Determination of soil weathering rates with U-Th series disequilibria: approach on bulk soil and selected mineral phases

    International Nuclear Information System (INIS)

    Gontier, Adrien

    2014-01-01

    The aim of the present study was to evaluate weathering and soil formation rates using U-Th disequilibria in bulk soil or separated minerals. The specific objectives of this work were to evaluate the use of U-Th chronometric tools 1) regarding the impact of a land cover change and the bedrock characteristics 2) in selected secondary mineral phases and 3) in primary minerals. On the Breuil-Chenue (Morvan) site, no vegetation effect neither a grain size effect was observed on the U-Th series in the deepest soil layers (≤ 40 cm). The low soil production rate (1-2 mm/ka) is therefore more affected by regional geomorphology than by the underlying bedrock texture. In the second part of this work, based on a thorough evaluation of different techniques, a procedure was retained to extract Fe-oxides without chemical fractionation. Finally, the analysis of biotites hand-picked from one of the studied soil profile showed that U-series disequilibria allow to independently determinate the field-weathering-rate of minerals. (author)

  11. Trading network predicts stock price.

    Science.gov (United States)

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

    2014-01-16

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

  12. An empirical examination of restructured electricity prices

    International Nuclear Information System (INIS)

    Knittel, C.R.; Roberts, M.R.

    2005-01-01

    We present an empirical analysis of restructured electricity prices. We study the distributional and temporal properties of the price process in a non-parametric framework, after which we parametrically model the price process using several common asset price specifications from the asset-pricing literature, as well as several less conventional models motivated by the peculiarities of electricity prices. The findings reveal several characteristics unique to electricity prices including several deterministic components of the price series at different frequencies. An 'inverse leverage effect' is also found, where positive shocks to the price series result in larger increases in volatility than negative shocks. We find that forecasting performance in dramatically improved when we incorporate features of electricity prices not commonly modelled in other asset prices. Our findings have implications for how empiricists model electricity prices, as well as how theorists specify models of energy pricing. (author)

  13. Australian mineral industry annual review for 1982

    Energy Technology Data Exchange (ETDEWEB)

    1984-01-01

    The Australian mineral industry annual review records the activities and development of the Australian mineral industry and reports production, consumption, treatment, trade, prices, new developments, exploration and resources for mineral commodities including fuels, and summarises equivalent developments abroad. The present volume reviews activities and developments in 1982. Part 1 (General Review) - after briefly surveying the world mineral industry, summarises developments in the Australian mineral industry as a whole, under the headings: the industry in the national economy; important recent developments; production; overseas trade; prices; exploration expenditure; investment; income tax; royalties; structural data; wages and salaries; industrial disputes; and government assistance, legislation and controls. Part 2 (Commodity Review) - covers industrial mineral commodities, from abrasives to zirconium. Part 3 (Mining Census) - tabulates statistics extracted from the mining census, together with some mineral processing statistics from the manufacturing census. Part 4 (Miscellaneous) - tabulates quantum and value data on mineral output provided by State departments of mines and their equivalents.

  14. Provisional 2008 assessment of solid mineral fuels

    International Nuclear Information System (INIS)

    2009-03-01

    This article first comments data on solid mineral fuel consumption in France in 2008, i.e., the overall consumption, and the consumption by different sectors (energy production in coal plants, iron and steel industry, other industries, housing and office buildings). Then, it comments solid mineral fuel imports and their origins. It comments and explains the price evolution since 1999 (notably on the Antwerp-Rotterdam-Amsterdam market) in relationship with maritime transport price, availabilities and problems, and with the evolution of coal demand (notably in China) and oil prices. Finally, it briefly comments the French residual production and stocks

  15. Intelligent pricing policy and service marketing. Measures to prevent price cutting wars; Intelligente Preis- und Dienstleistungspolitik. Massnahmen zur Vermeidung von Preiskriegen

    Energy Technology Data Exchange (ETDEWEB)

    Laker, M.; Herr, S. [Simon-Kucher and Partners, Strategy and Marketing Consultants GmbH, Bonn (Germany)

    1998-06-01

    Cost-reducing programmes are only the first step in a series of measures to be taken by the power utilities in order to become fit for the free competition markets. A great number of empirical studies on the future power markets do show that for the customers, prices are a priority criterium, but offering competitive prices alone will not suffice to keep one`s competitive edge. The negative consequences of pure price competition (shown by the aviation industry) and the lessons to be learned from ``intelligent`` branches of industry, (eg. mineral oil and cigarettes), who have been clever enough to avoid price cutting wars, demonstrate that there are chances for development also in deregulated power markets. (orig./CB) [Deutsch] Zur Vorbereitung auf die anstehende Liberalisierung muss eine Neuausrichtung der EVU schnellstmoeglich erfolgen. Reine Kostensenkungsprogramme sind dabei nur der erste Schritt, um fuer den Wettbewerb fit zu werden. Hierzu zaehlt die strategische und marketingorientierte Ausrichtung des Unternehmens auf den Wettbewerb. Zahlreiche empirische Studien zum EVU-Markt kommen zwar zu dem Ergebnis, dass aus der Sicht des Kunden der Preis einen hohen Stellenwert einnimmt. Ein wettbewerbsorientierter Preis ist notwendig, reicht aber zum erfolgreichen Ueberleben im Wettbewerb alleine nur bei ueberlegener Kostenfuehrerschaft aus. Die negativen Auswirkungen eines reinen Preiswettbewerbs (Luftfahrt) sowie die Lehren aus `intelligenten` Branchen (Mineraloel-, Zigarettenindustrie), die dies vermeiden, zeigen die vielfaeltigen Entwicklungsmoeglichkeiten auch fuer den Energie-Wettbewerbsmarkt auf. (orig./RHM)

  16. Direm prices, prices and margins of petroleum products in France and in the European Union

    International Nuclear Information System (INIS)

    2005-01-01

    This document presents in a series of graphics and tables, the evolution of petroleum products prices and margins in France and in the European Union: crude oil prices, Rotterdam's petroleum products quotation, raw brent refining margin, automotive and domestic fuel prices. (J.S.)

  17. Australian mineral industry annual review for 1984

    Energy Technology Data Exchange (ETDEWEB)

    1987-01-01

    This volume of the Australian Mineral Industry Annual Review records development and performance of the Australian mineral industry during the calendar year 1984. It reports production, consumption, treatment, trade, prices, new developments, exploration, and resources for mineral commodities including fuels, and summarises equivalent developments abroad. Part 1. 'general review' after briefly surveying the world mineral industry, summarises developments in the Australian mineral industry as a whole, under the headings: the industry in the national economy, prices, exploration expenditure, investment, income tax, royalties, structural data, wages and salaries, industrial disputes, and government assistance, legislation, and controls. Part 2. 'commodity review' covers individual mineral commodity groups, from abrasives to zirconium. Part 3, 'mining census', tabulates statistics extracted from the mining census, together with some mineral processing statistics from the manufacturing census. Part 4 tabulates quantity and value data on mineral output provided by state departments of mines and their equivalents. Listed in appendices are: principal mineral producers; ore buyers and mineral dealers; government mining services; analytical laboratories; state mines departments and equivalents; industry, professional and development organisations and associations, etc; summary of mineral royalties payable in the states and territories; and summary of income tax provisions and federal government levies.

  18. Dynamic Price Dispersion of Storable Goods

    DEFF Research Database (Denmark)

    Gao, Cixiu

    2014-01-01

    with different search costs and willingness to wait. I demonstrate that the high-price-low-price pattern is rational for storable goods. In a Markov-perfect equilibrium, agents’ actions depend on consumer inventory, and purchase decisions are characterized by a critical price. The equilibrium price series...

  19. Trends in College Pricing, 2013. Trends in Higher Education Series

    Science.gov (United States)

    Baum, Sandy; Ma, Jennifer

    2013-01-01

    Concerns about rising tuition and how students can afford to finance their major investments in postsecondary education are widespread. Solid insights into these questions require accurate and up-to-date information about prices. "Trends in College Pricing, 2013" reports on the prices charged by colleges and universities in 2013-14, how…

  20. Trends in College Pricing, 2016. Trends in Higher Education Series

    Science.gov (United States)

    Ma, Jennifer; Baum, Sandy; Pender, Matea; Welch, Meredith

    2016-01-01

    In 2016-17, published tuition and fee prices rose slightly less than the year before. The rapid price growth observed during the Great Recession has abated, as typically happens when the economy recovers, but the rate of increase in tuition and fees continues to exceed inflation. More notable, however, is the pattern of the net prices students…

  1. Output Price Risk, Material Input Price Risk, and Price Margins: Evidence from the US Catfish Industry.

    Directory of Open Access Journals (Sweden)

    David Bouras

    2017-07-01

    Full Text Available Aim/purpose - To develop a conceptual model for analyzing the impact of output price risk and material input price risk on price margins. Design/methodology/approach - To analyze the combined effect of output price risk and material input risk on price margins, we use a series of comparative static analyses, GARCH models, and data ranging from 1990/01 to 2012/12. Findings - The theoretical results indicate that the impact of output price risk and the impact of material input price risk on price margins are ambiguous and, to a great extent, hinge on the correlation between output price and material input price. The empirical results show that whole frozen catfish price risk and live catfish price risk negatively affect the price margin for frozen catfish. The empirical results, however, indicate that the risk of the price of live catfish affects markedly the price margin for frozen whole catfish in contrast to the impact of the risk of the price of frozen whole catfish. Research implications/limitations - The empirical results have significant implications for managerial decision-making especially when crafting strategies for improving price margins. Accordingly, in order to beef up the price margin for frozen whole catfish, catfish processors may consider engaging in vertical integration. This paper has some limitations: first, it assumes that firms operate in competitive markets; second, it assumes that firms produce and sell a single product. Originality/value/contribution - Unlike earlier studies that focused solely on the effect of output price risk on price margins, this paper analyzes theoretically and empirically the impact of output price risk and material input price risk on price margins.

  2. Using non-time-series to determine supply elasticity: how far do prices change the Hubbert curve?

    International Nuclear Information System (INIS)

    Reynolds, D.B.

    2002-01-01

    An important concern of OPEC's work is to be able to understand how much supply of oil exists in different countries, in order to help better conserve oil. This paper extends M. King Hubbert's oil production and discovery forecasting model (Hubbert, 1962), using a non-time-series cumulative discovery and production quadratic Hubbert curve and structural shift variables to model technology and regulation changes. The model can be used to determine better world oil supplies. Price is tested, to see how powerful it is for increasing or decreasing oil supply. Using a trend of cumulative production, instead of time, will help to better fix the supply elasticity with respect to price, which is shown to be very inelastic. An interesting question is whether cumulative discovery or production constitutes an I(2) variable. This paper explains that they are not I(2) variables. (Author)

  3. 76 FR 37828 - Update to Indian Index Zone Price Points

    Science.gov (United States)

    2011-06-28

    ... to Indian Index Zone Price Points AGENCY: Office of Natural Resources Revenue, Interior. ACTION... (MMS) Minerals Revenue Management) is announcing an update to Indian index zone price points that will remove certain natural gas index prices from the Indian Index Zone calculation. These changes will impact...

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

    Directory of Open Access Journals (Sweden)

    Ani Shabri

    2014-01-01

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

  5. 30 CFR 220.015 - Pricing of materiel purchases, transfers, and dispositions.

    Science.gov (United States)

    2010-07-01

    ... 30 Mineral Resources 2 2010-07-01 2010-07-01 false Pricing of materiel purchases, transfers, and... CONTINENTAL SHELF OIL AND GAS LEASES § 220.015 Pricing of materiel purchases, transfers, and dispositions. (a... shall be priced under the provisions for tubular goods pricing in paragraph (a)(2)(i)(A) of this section...

  6. Trends in the forecast of the world prices for selected metals and their influence on the exploitation of the Slovak raw mineral base

    Directory of Open Access Journals (Sweden)

    Slavkovský Jozef

    2000-06-01

    Full Text Available In this paper is given a basic information about the situation in the ore raw material base of the Slovak republic, after its transition to the market economy in the years 1990 – 1994. By dumping the ore mining, a decrease in the ore production, especially their sortiment, also started. Therefore only two ore mines – Nižná Slaná (Fe ores and Banská Hodruša (Au ores are in operation in Slovakia at present time. The rest of Slovak ores are economically not viable after present criteria. Besides the evaluation of balanced and unbalanced ore deposits, and the deposit´s parameters, the knowledge about trends of world ores and metal prices are very important. From this point of view, ores and metals which have a great importance (Fe, Al, Cu, Sb, Ag, Au for Slovakia are discussed. The obtained results have a prognostic character and they should be considered at the utilisation of own mineral base, as well as when buying mineral raw materials from abroad. In both cases the information about trends of world prices of raw materials play an important role.

  7. 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.

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

    International Nuclear Information System (INIS)

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

    2013-01-01

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

  9. A Statistical Approach for Interval Forecasting of the Electricity Price

    DEFF Research Database (Denmark)

    Zhao, Jun Hua; Dong, Zhao Yang; Xu, Zhao

    2008-01-01

    the prediction interval is essential for estimating the uncertainty involved in the price and thus is highly useful for making generation bidding strategies and investment decisions. In this paper, a novel data mining-based approach is proposed to achieve two major objectives: 1) to accurately forecast the value......Electricity price forecasting is a difficult yet essential task for market participants in a deregulated electricity market. Rather than forecasting the value, market participants are sometimes more interested in forecasting the prediction interval of the electricity price. Forecasting...... of the electricity price series, which is widely accepted as a nonlinear time series; 2) to accurately estimate the prediction interval of the electricity price series. In the proposed approach, support vector machine (SVM) is employed to forecast the value of the price. To forecast the prediction interval, we...

  10. What can price volatility tell us about market efficiency? Conditional heteroscedasticity in historical commodity price series

    NARCIS (Netherlands)

    Földvári, P.; van Leeuwen, B.

    2011-01-01

    The development in the working of markets has been an important topic in economic history for decades. The volatility of market prices is often used as an indicator of market efficiency in the broadest sense. Yet, the way in which volatility is estimated often makes it difficult to compare price

  11. Coastal placer minerals

    Digital Repository Service at National Institute of Oceanography (India)

    Iyer, S.D.; Gujar, A.R.

    to be processed and purified to extract the metal either by sulphate or chloride route. The economical aspects of placer mining would involve the cost to benefit ratio, which would encompass the money Selective sorting has resulted in two distinct sediments... or mineral at the national and international levels. Interestingly, though gold is the most sought metal and the prices per gram keep rising, there are others that are much more costly such as diamond and rare earth metals. Uses of Heavy Minerals...

  12. Minerals yearbook: The mineral industry of Brazil. 1988 international review

    International Nuclear Information System (INIS)

    Ensminger, H.R.

    1988-01-01

    Brazil's gross domestic product (GDP) grew only slightly in 1988 to $277 billion at current prices. The growth rate was the smallest registered since 1983, when the rate was minus 2.8%. The economy's performance was strongly influenced by a 2% to 3% decrease in industrial production and civil construction. The mineral industry, however, countered the downward trend in the industrial sector and grew a modest 1.4%. Topics discussed in the report include the following: Government policies and programs; Production; Trade; Commodity review--Metals (Aluminum, Aluminia, and Bauxite, Columbium, Copper, Gold, Iron and Steel, Manganese, Tin, Titanium); Industrial Minerals (Gem stones, Phosphate rock, Quartz); Mineral fuels (Coal, Natural gas, Petroleum, Nuclear power); Nonmineral energy sources (Alcohol, Hydroelectric)

  13. Imperfect price-reversibility of US gasoline demand: Asymmetric responses to price increases and declines

    International Nuclear Information System (INIS)

    Gately, D.

    1992-01-01

    This paper describes a framework for analyzing the imperfect price-reversibility (hysteresis) of oil demand. The oil demand reductions following the oil price increases of the 1970s will not be completely reversed by the price cuts of the 1980s, nor is it necessarily true that these partial demand reversals themselves will be reversed exactly by future price increases. The author decomposes price into three monotonic series: price increases to maximum historic levels, price cuts, and price recoveries (increases below historic highs). He would expect that the response to price cuts would be no greater than to price recoveries, which in turn would be no greater than for increases in maximum historic price. For evidence of imperfect price-reversibility, he tests econometrically the following US data: vehicle miles per driver, the fuel efficiency of the automobile fleet, and gasoline demand per driver. In each case, the econometric results allow him to reject the hypothesis of perfect price-reversibility. The data show smaller response to price cuts than to price increases. This has dramatic implications for projections of gasoline and oil demand, especially under low-price assumptions. 26 refs., 13 figs., 3 tabs

  14. Electricity market price volatility: The case of Ontario

    International Nuclear Information System (INIS)

    Zareipour, Hamidreza; Bhattacharya, Kankar; Canizares, Claudio A.

    2007-01-01

    Price volatility analysis has been reported in the literature for most competitive electricity markets around the world. However, no studies have been published yet that quantify price volatility in the Ontario electricity market, which is the focus of the present paper. In this paper, a comparative volatility analysis is conducted for the Ontario market and its neighboring electricity markets. Volatility indices are developed based on historical volatility and price velocity concepts, previously applied to other electricity market prices, and employed in the present work. The analysis is carried out in two scenarios: in the first scenario, the volatility indices are determined for the entire price time series. In the second scenario, the price time series are broken up into 24 time series for each of the 24 h and volatility indices are calculated for each specific hour separately. The volatility indices are also applied to the locational marginal prices of several pricing points in the New England, New York, and PJM electricity markets. The outcomes reveal that price volatility is significantly higher in Ontario than the three studied neighboring electricity markets. Furthermore, comparison of the results of this study with similar findings previously published for 15 other electricity markets demonstrates that the Ontario electricity market is one of the most volatile electricity markets world-wide. This high volatility is argued to be associated with the fact that Ontario is a single-settlement, real-time market

  15. Increasing strategic role for SA's minerals

    International Nuclear Information System (INIS)

    Anon.

    1977-01-01

    The strategic importance of South Africa's vast mineral resources has been strongly underlined by the Minister of Defence, Mr P.W. Botha. It was pointed out that South Africa ranked among the world's five biggest suppliers of nonfuel minerals and that she has demonstrated her potential as the West's most important source of minerals and strategic raw materials. South Africa therefore exercise a very important stabilising influence on the supply and prices of critical, strategic minerals and raw materials, regarded as of the greatest importance to the Western economy

  16. Situation on the market of mineral fertilizers in 2008

    Directory of Open Access Journals (Sweden)

    Arkadiusz Zalewski

    2009-01-01

    Full Text Available The article describes international and domestic supply-demand situation on the market of mineral fertilizers. The article also analyses factors which had an influence on the increase of mineral fertilizers prices.

  17. Price dynamics in European petroleum markets

    International Nuclear Information System (INIS)

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

    2009-01-01

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

  18. Multivariate Time Series Forecasting of Crude Palm Oil Price Using Machine Learning Techniques

    Science.gov (United States)

    Kanchymalay, Kasturi; Salim, N.; Sukprasert, Anupong; Krishnan, Ramesh; Raba'ah Hashim, Ummi

    2017-08-01

    The aim of this paper was to study the correlation between crude palm oil (CPO) price, selected vegetable oil prices (such as soybean oil, coconut oil, and olive oil, rapeseed oil and sunflower oil), crude oil and the monthly exchange rate. Comparative analysis was then performed on CPO price forecasting results using the machine learning techniques. Monthly CPO prices, selected vegetable oil prices, crude oil prices and monthly exchange rate data from January 1987 to February 2017 were utilized. Preliminary analysis showed a positive and high correlation between the CPO price and soy bean oil price and also between CPO price and crude oil price. Experiments were conducted using multi-layer perception, support vector regression and Holt Winter exponential smoothing techniques. The results were assessed by using criteria of root mean square error (RMSE), means absolute error (MAE), means absolute percentage error (MAPE) and Direction of accuracy (DA). Among these three techniques, support vector regression(SVR) with Sequential minimal optimization (SMO) algorithm showed relatively better results compared to multi-layer perceptron and Holt Winters exponential smoothing method.

  19. Trends in College Pricing, 2011. Trends in Higher Education Series

    Science.gov (United States)

    Baum, Sandy; Ma, Jennifer

    2011-01-01

    The published prices on which the analysis in "Trends in College Pricing" is based come from data reported by institutions on the College Board's Annual Survey of Colleges. This survey, which is distributed to nearly 4,000 postsecondary institutions across the country, collects a wealth of data on enrollment, admission, degrees and majors,…

  20. Trends in College Pricing, 2015. Trends in Higher Education Series

    Science.gov (United States)

    Ma, Jennifer; Baum, Sandy; Pender, Matea; Bell, D'Wayne

    2015-01-01

    The increases in tuition and fee prices in 2015-16 were, like the increases in the two preceding years, relatively small by historical standards. However, the very low rate of general inflation makes this year's increases in college prices larger in real terms than those of 2014-15 and 2013-14. Significantly, and perhaps counter to public…

  1. Locating of Series FACTS Devices for Multi-Objective Congestion Management Using Components of Nodal Prices

    Directory of Open Access Journals (Sweden)

    A. R. Moradi

    2017-03-01

    Full Text Available Congestion and overloading for lines are the main problems in the exploitation of power grids. The consequences of these problems in deregulated systems can be mentioned as sudden jumps in prices in some parts of the power system, lead to an increase in market power and reduction of competition in it. FACTS devices are efficient, powerful and economical tools in controlling power flows through transmission lines that play a fundamental role in congestion management. However, after removing congestion, power systems due to targeting security restrictions may be managed with a lower voltage or transient stability rather than before removing. Thus, power system stability should be considered within the construction of congestion management. In this paper, a multi-objective structure is presented for congestion management that simultaneously optimizes goals such as total operating cost, voltage and transient security. In order to achieve the desired goals, locating and sizing of series FACTS devices are done with using components of nodal prices and the newly developed grey wolf optimizer (GWO algorithm, respectively. In order to evaluate reliability of mentioned approaches, a simulation is done on the 39-bus New England network.

  2. Short-term uranium price formation: a methodology

    International Nuclear Information System (INIS)

    Hsieh, L.Y.; de Graffenried, C.L.

    1987-01-01

    One of the major problems in analyzing the short-term uranium market is the lack of a well-defined spot market price. The two primary sources of price data covering the US uranium market are the series published by the US Dept. of Energy (DOE) and by the Nuclear Exchange Corporation (NUEXCO), a private brokerage firm. Because of the differences in both definition and coverage, these two series are not directly comparable. In this study, an econometric model was developed for analyzing the interrelationship between short-term uranium price (NUEXCO exchange value), supply, demand, and future price expectations formed by market participants. The validity of this model has been demonstrated by the fact that all simulation statistics derived are highly significant. Three forecasting scenarios were developed in this study

  3. Oil price shocks and long run price and import demand behavior

    International Nuclear Information System (INIS)

    Kleibergen, F.; Van Dijk, H.K.; Urbain, J.P.

    1997-01-01

    The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing for weakly exogenous variables is developed using a LU decomposition of the long run multiplier matrix. The likelihood based cointegration test statistics, Wald, Likelihood Ratio and Lagrange Multiplier, are constructed and their limiting distributions derived. Using these tests, we find that incorporating the oil price in a model for the domestic or import price level of seven industrialized countries decreases the long run memory of the inflation rate. Second, we find that the results for import demand can be classified with respect to the oil importing or exporting status of the specific country. The result for Japan is typical as its import price is not influenced by gnp in the long run, which is the case for all other countries. 31 refs

  4. Minerals from Macedonia: XV. Sivec mineral assemble

    International Nuclear Information System (INIS)

    Boev, Blazho; Jovanovski, Gligor; Makreski, Petre; Bermanec, Vladimir

    2005-01-01

    The paper presents investigations carried out on the collected minerals from the Sivec deposit. It is situated in the vicinity of the town of Prilep, representing a rare occurrence of sugary white dolomite marbles. The application of suitable methods of exploitation of decorative-dimension stones makes possible to obtain large amounts of commercial blocks well known in the world. Despite the existence of dolomite marbles, a series of exotic minerals are typical in Sivec mineralization. Among them, the most significant are: calcite, fluorite, rutile, phlogopite, corundum, diaspore, almandine, kosmatite (clintonite or margarite), clinochlore, muscovite, quartz, pyrite, tourmaline and zoisite. An attempt to identify ten collected minerals using the FT IR spectroscopy is performed. The identification of the minerals was based on the comparison of the infrared spectra of our specimens with the corresponding literature data for the mineral species originating all over the world. The coloured pictures of all studied silicate minerals are presented as well. (Author)

  5. The logic of the primary energy prices evolution

    International Nuclear Information System (INIS)

    Giraud, P.N.

    1992-01-01

    This paper deals, very briefly, with the basis factors determining the prices levels of the primary energies and the logic of their evolution both in the short and in the long term. It first gives definitions: of the limits of mineral commodities prices fluctuations and of the long term equilibrium prices. Then, it tries to demonstrate three points: (1) Coal and nuclear electricity prices are driven in the long term only by their own production and environmental costs. Moreover, coal prices fluctuations are surrounded by factors which are basically independent from oil prices. (2) There is no such thing as one single equilibrium price for oil, but several ones, depending on political factors, and among them, on the degree of consensus between the 'Five' of the Gulf (Saudi Arabia, Iran, Irak, Koweit, The Emirates). (3) Natural gas prices are in an intermediate situation, but tend to get closer to the case of coal and nuclear prices. 4 figs

  6. Transmission and capacity pricing and constraints

    International Nuclear Information System (INIS)

    Fusco, M.

    1999-01-01

    A series of overhead viewgraphs accompanied this presentation which discussed the following issues regarding the North American electric power industry: (1) capacity pricing transmission constraints, (2) nature of transmission constraints, (3) consequences of transmission constraints, and (4) prices as market evidence. Some solutions suggested for pricing constraints included the development of contingent contracts, back-up power in supply regions, and new line capacity construction. 8 tabs., 20 figs

  7. Fuel prices around the world: From prosperity to turmoil

    International Nuclear Information System (INIS)

    Anon.

    1992-01-01

    This issue examines price changes of petroleum products in some 40 countries around the world. Both political turmoil and economic prosperity shape government policy in managing consumer prices of petroleum products. Brazil has experienced extreme political and economic instability that sent prices skyrocketing and the national currency plummeting. Meanwhile, economic growth in South Korea has given the population the wealth for automobiles and stretched the country's ability to supply its unquenchable demand. Fuel prices around the world were higher in July 1992 than in January 1992, mainly due to higher crude prices. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of October 23, 1992; and (2) the ED Fuel Price/Tax Series for countries of the Eastern Hemisphere, October 1992 edition

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

    Science.gov (United States)

    Ping, Pung Yean; Ahmad, Maizah Hura Binti

    2014-12-01

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

  9. Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market

    International Nuclear Information System (INIS)

    Tashpulatov, Sherzod N.

    2013-01-01

    Price fluctuations that partially comove with demand are a specific feature inherent to liberalized electricity markets. The regulatory authority in Great Britain, however, believed that sometimes electricity prices were significantly higher than what was expected and, therefore, introduced price-cap regulation and divestment series. In this study, I analyze how the introduced institutional changes and regulatory reforms affected the dynamics of daily electricity prices in the England and Wales wholesale electricity market during 1990–2001. This research finds that the introduction of price-cap regulation did achieve the goal of lowering the price level at the cost of higher price volatility. Later, the first series of divestments is found to be successful at lowering price volatility, which however happens at the cost of a higher price level. Finally, this study also documents that the second series of divestments was more successful at lowering both the price level and volatility. - Author-Highlights: • The impact of regulation on the dynamics of electricity prices is examined. • Price-cap regulation has decreased the level at the cost of higher volatility. • The first series of divestments has reversed the trade-off. • The reversed trade-off is explained as an indication of tacit collusion. • The second series of divestments is found generally successful

  10. Dating breaks for global crude oil prices and their volatility : a possible price band for global crude prices

    International Nuclear Information System (INIS)

    Liao, H.C.; Suen, Y.B.

    2006-01-01

    Global oil prices are among the most visible of all historical commodity records. This paper presented and applied the multiple structural change method developed by Baie and Perron (BP) to investigate daily West Texas Intermediate (WTI) spot prices from January 2, 1986 to December 30, 2004 as collected by the United States Department of Energy. In particular, the BP statistical method was used to estimate the number and location of structural breaks in global oil price series and their volatility. The objective was to precisely determine the exact structural break in the global oil market. The breaks for both the price of oil and its volatility were successfully located and dated. It was shown that the break for the structural change in oil prices occurred on November 12, 1999, where the average oil price was U$19.02 per barrel previously, and U$30.90 afterwards. Two breaks for oil price volatility were also found, the first in March 1991 and the other in December 1995. The volatility was measured in 3 regimes by dividing these 2 breaks. It was suggested that since oil prices increased more rapidly during the second half of 2004 and 2005, it is possible that another structural break may be found during this period. However, it wa cautioned that it is difficult to find another significant break until more data becomes available, particularly for periods characterized by a rapid increase in price. 24 refs., 5 tabs., 2 figs

  11. CO2 Allowance and Electricity Price Interaction

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2007-07-01

    With the introduction of CO2 emission constraints on power generators in the European Union, climate policy is starting to have notable effects on energy markets. This paper sheds light on the links between CO2 prices, electricity prices, and electricity costs to industry. It is based on a series of interviews with industrial and electricity stakeholders, as well as a rich literature seeking to estimate the exact effect of CO2 prices on electricity prices.

  12. Does energy-price regulation benefit China's economy and environment? Evidence from energy-price distortions

    International Nuclear Information System (INIS)

    Ju, Keyi; Su, Bin; Zhou, Dequn; Wu, Junmin

    2017-01-01

    China's energy prices have long been regulated due to the critical role energy plays in economic growth and social development, which leads to energy-price distortion to some extent. To figure out whether energy-price regulations will benefit China's economy (measured by GDP growth) and environment (measured by carbon emissions), we conducted an in-depth simulation using path analysis, where five energy products (natural gas, gasoline, fuel oil, steam coal, and coking coal) are selected and three measurements (absolute, relative, and moving) of energy-price distortions are calculated. The results indicate that, with a series of energy pricing policies, the price distortion for a single type of energy has gradually transformed, while the energy pricing system in China is not fully market-oriented yet. Furthermore, China's economy benefits from relative and moving distortions, while the absolute distortions of energy prices have negative impacts on economic growth. Finally, with regard to the environment, carbon emissions call for fewer distortions. - Highlights: • Price distortion for a single type of energy has gradually transformed. • Energy pricing system in China is not yet fully market-oriented. • China's economy benefits from relative and moving distortions. • Absolute distortions of energy prices have negative effects on economic growth. • Carbon emissions call for less pricing distortions.

  13. Strategic Generation with Conjectured Transmission Price Responses in a Mixed Transmission Pricing System. Part 2. Application

    International Nuclear Information System (INIS)

    Wals, A.F.; Hobbs, B.F.; Rijkers, F.A.M.

    2004-05-01

    The conjectured transmission price response model presented in the first of this two-paper series considers the expectations of oligopolistic generators regarding how demands for transmission services affect the prices of those services. Here, the model is applied to northwest Europe, simulating a mixed transmission pricing system including export fees, a path-based auction system for between-country interfaces, and implicit congestion-based pricing of internal country constraints. The path-based system does not give credit for counterflows when calculating export capability. The application shows that this no-netting policy can exacerbate the economic inefficiencies caused by oligopolistic pricing by generators. The application also illustrates the effects of different generator conjectures regarding rival supply responses and transmission prices. If generators anticipate that their increased demand for transmission services will increase transmission prices, then competitive intensity diminishes and energy prices rise. In the example here, the effect of this anticipation is to double the price increase that results from oligopolistic (Cournot) competition among generators

  14. Six months after the Gulf war - Fuel prices and taxes around the world

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    During the first half of 1991, national average gasoline and diesel No. 2 fuel prices declined in many countries in terms of US dollars, due to the stronger US currency and weaker crude oil prices. However, in countries' own currencies, consumer prices were unchanged or higher than they were at the end of 1990. This issue of Energy Detente features findings from their ongoing Fuel Price/Tax Series and closely compares fuel price and tax levels around the world. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of August 23, 1991; and (2) the ED Fuel Price/Tax Series for countries of the Eastern Hemisphere, August 1991 Edition. 6 figs., 11 tabs

  15. The price of anarchy in series-parallel graphs

    NARCIS (Netherlands)

    Senster, P.; Van Heugten, T.; Ten Thije, O.

    2010-01-01

    Congestion games model self-interested agents competing for resources in communication networks. The price of anarchy quantifies the deterioration in performance in such games compared to the optimal solution. Recent research has shown that, when the social cost is defined as the maximum cost of all

  16. Mineral resources of Slovakia, questions of classification and valuation

    Directory of Open Access Journals (Sweden)

    Baláž Peter

    1999-06-01

    Full Text Available According to the Constitution of Slovak Republic, mineral resources of Slovakia are in the ownership of Slovak Republic. In 1997, 721 exclusive mineral deposits of mineral fuels, metals and industrial minerals were registered in Slovakia. The classification for economic and uneconomic reserves/resources requires an annual updating, concerning changes of market mineral prices and mine production costs. In terms of economic valuation of mineral resources, a new United Nations international classification for reserves/resources appears as a perspective alternative. Changes of geological and mining legislation are necessary for real valuation of Slovak mineral resources.

  17. Australian mineral industry annual review 1977 (including information to June 1978)

    Energy Technology Data Exchange (ETDEWEB)

    Ward, J

    1979-01-01

    This article records growth of the Australian mineral industry and reports production, consumption, treatment, trade, prices, new developments, exploration, and resources for all mineral commodities including fuels. Equivalent development abroad is summarized. Appendices include principal mineral producers, associations, etc. and royalties. Black coal is described under the headings: production, ex-mine value of output, employment, wages and salaries, production per manshift, interstate trade, port facilities, consumption, stock, prices, new developments, exploration, resources, world review, and coke. There are numerous tables of data and a flow chart of the Australian black coal industry, 1977. Brown coal includes production, consumption, new developments, exploration, resources, and world review.

  18. 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

  19. The European power industry : asymmetries and price volatility

    International Nuclear Information System (INIS)

    Isabel, M.; Soares, R.T.

    2005-01-01

    A time series model was used to obtain empirical evidence on the spot price volatility of the Spanish electricity market. The model was based on a single market operator and 2 system operators. A generalized autoregressive conditional heteroskedasticity (GARCH) model was used to model and forecast conditional variances related to the spot price volatility of the Spanish electricity market. A correlogram analysis was used to model the processes behind the time series. Autocorrelation and partial autocorrelation functions were used to demonstrate that the the derived electricity spot price series was not a random walk. Lags in various areas were attributed to the fact that a large proportion of electricity is consumed by industry. Weekly cycles justified values presented by a lags multiple of 7. Results of the modelling study showed that the method can be used in the risk management of electricity portfolios as well as in the pricing and hedging of different types of derivatives in electricity markets. It was concluded that further work is needed to reduce instability and asymmetries between generators, consumers and regulators. 16 refs., 5 tabs., 5 figs

  20. Pricing of temperature index insurance

    Directory of Open Access Journals (Sweden)

    Che Mohd Imran Che Taib

    2012-01-01

    Full Text Available The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. We take the data from Malaysia as our empirical case. Our results show that there is a significant difference between the burn and index pricing approaches on one hand, and the temperature modelling method on the other. The latter approach is pricing the insurance contract using a seasonal autoregressive time series model for daily temperature variations, and thus provides a precise probabilistic model for the fine structure of temperature evolution. We complement our pricing analysis by an investigation of the profit/loss distribution from the contract, in the perspective of both the insured and the insurer.

  1. Two-tier crude pricing in flux: U.S. postings phenomenon

    International Nuclear Information System (INIS)

    Anon.

    1992-01-01

    In recent time, US crude oil buyers have invented a means by which the difference between their posted offered buying prices to sellers and the futures market are reduced. Purpose: reduce the bonuses paid to buyers when the futures price soars above the current market price. The problem is that the bonus amount was calculated above the posted price of just one company. Some companies, nervous about possible inferences concerning proper free competition, are dropping the practice. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of March 27, 1992; and (2) the ED Fuel Price/Tax Series for countries of the Eastern Hemisphere, March 1992 Edition

  2. Honolulu Retail Monitoring Price Data Collection (2007-2011)

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — This database contains a time series of consumer-level prices for a sample of retail markets in Honolulu between 2007-2011. Data include weekly prices for fish...

  3. Brazil's mineral development: potential and problems

    Energy Technology Data Exchange (ETDEWEB)

    Lloyd, B; Wheeler, E

    1977-03-01

    Brazil's vast mineral wealth still lies in the ground largely unexploited. Lack of adequate communications and the past political instability of the country has greatly hampered mineral exploration, and risk capital for major schemes has only recently been forthcoming. In 1975, Brazil's oil imports alone cost US $3073 million, creating an unhealthy balance of payments deficit and causing the external national debt to reach US $22 billion by the end of that year--an increase of a further 25% in this debt took place during 1976. Substantial price rises in imported machinery followed that of oil, while the prices of Brazil's main exports, coffee, sugar and soya, have continued to fluctuate widely. As a result of the oil price rise Brazil has moved from a traditional trade balance to substantial deficit, although this has fallen from its 1974 peak of 4.6 billion, largely as a result of government policies. Brazil has untapped deposits of bauxite, tin, zinc, iron ore, nickel, as well as oil, and is firmly set on the path that will make her one of the world's major sources of raw materials by the year 2000. The government has made the exploitation of natural resources, particularly the previously neglected oil and gas sectors, one of the cornerstones of its economic strategy. Yet in 1975 the mineral sector produced less than 2% of Brazil's GNP, although it did contribute 11% of exports. Apart from iron oreand manganese, mineral production is small and the country is still a net importer of copper, zinc, nickel, tin, and lead. Without a substantial increase in exports the government's whole economic/social and political strategy will be at risk.

  4. The Pricing of Options on Assets with Stochastic Volatilities.

    OpenAIRE

    Hull, John C; White, Alan D

    1987-01-01

    One option-pricing problem which has hitherto been unsolved is the pricing of European call on an asset which has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black-Scholes price frequently overprices options and that the ...

  5. Economics : pricing, demand, and economic efficiency : a primer.

    Science.gov (United States)

    2008-11-01

    The Congestion Pricing Primer Series is part of : FHWAs outreach efforts to introduce the various : aspects of congestion pricing to decision-makers and : transportation professionals in the United States. The : primers are intended to lay out the...

  6. Australian mineral industry annual review for 1986

    Energy Technology Data Exchange (ETDEWEB)

    1988-01-01

    This volume of the Australian Mineral Industry Annual Review records the development and performance of the industry during the calendar year 1986. It reports production, consumption, treatment, trade, prices, new developments, exploration, and resources for mineral commodities including fuels, and summarises equivalent developments abroad. Part 1, 'General Review', after briefly surveying the world mineral industry, summarises developments in the Australian mineral industry as a whole. Part 2, 'Commodity Review', covers individual mineral commodities and commodity groups including brown coal, black coal and peat. Part 3, 'Mining Census', tabulates statistics extracted from the Mining Census, together with some mineral processing statistics from the Manufacturing Census. Part 4, tabulates quantity and value data on mineral output provided by the State departments of mines and their equivalents. The commodity review of black coal has been abstracted separately.

  7. 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.

  8. 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.

  9. Western Canada : changing pricing dynamics

    International Nuclear Information System (INIS)

    Frank, B.

    1998-01-01

    Natural gas supply and demand trends in Western Canada are reviewed in a series of overhead viewgraphs. Production versus pipeline capacity, required gas well completions in the WCSB to meet local demand and fill export pipeline capacity to year 2005, NYMEX and AECO price trends during 1995-2000, and the question of what will happen to prices with additional pipeline capacity to the U.S. Midwest were summarized. The best guess is that Midwest prices will need to be high enough to attract marginal supplies from the Gulf, i.e. prices have be around the Henry Hub + five cents/ mmbtu. The new Canadian pipelines, (Northern Border and Alliance) will lower Midwest prices somewhat, but the impact will be modest. Assuming that additional planned pipeline expansion come on-stream, the pressure to expand east of Chicago will be considerable. tabs., figs

  10. 25 CFR 213.17 - Government reserves right to purchase minerals produced.

    Science.gov (United States)

    2010-04-01

    ... 25 Indians 1 2010-04-01 2010-04-01 false Government reserves right to purchase minerals produced... Leases § 213.17 Government reserves right to purchase minerals produced. In time of war or other public... prevailing market price on the date of sale all or any part of the minerals produced under any lease. Rents...

  11. The oil price

    International Nuclear Information System (INIS)

    Alba, P.

    2000-01-01

    Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

  12. News impact for Turkish food prices

    Directory of Open Access Journals (Sweden)

    Meltem Chadwick

    2017-06-01

    Full Text Available Asymmetric volatility is a widely encountered concept particularly in financial series. It refers to the case that “bad news” generates more volatility than “good news” of equal magnitude. In an inflationary environment “bad news” is disclosed as increasing inflation that is expected to generate higher volatility. The present article examines whether unexpected price changes affect the volatility of prices asymmetrically for 90 retail food items of the Turkish consumer price index. These 90 food items have a weight of approximately 20 percent in headline consumer price index (CPI. We employ exponential generalized autoregressive conditional heteroscedastic (EGARCH model to extract asymmetric volatility, using monthly data between January 2003 and January 2017. Our results reveal that volatility of food prices respond asymmetrically to unexpected price shocks for 62 percent of the retail food items.

  13. The Interval Slope Method for Long-Term Forecasting of Stock Price Trends

    Directory of Open Access Journals (Sweden)

    Chun-xue Nie

    2016-01-01

    Full Text Available A stock price is a typical but complex type of time series data. We used the effective prediction of long-term time series data to schedule an investment strategy and obtain higher profit. Due to economic, environmental, and other factors, it is very difficult to obtain a precise long-term stock price prediction. The exponentially segmented pattern (ESP is introduced here and used to predict the fluctuation of different stock data over five future prediction intervals. The new feature of stock pricing during the subinterval, named the interval slope, can characterize fluctuations in stock price over specific periods. The cumulative distribution function (CDF of MSE was compared to those of MMSE-BC and SVR. We concluded that the interval slope developed here can capture more complex dynamics of stock price trends. The mean stock price can then be predicted over specific time intervals relatively accurately, in which multiple mean values over time intervals are used to express the time series in the long term. In this way, the prediction of long-term stock price can be more precise and prevent the development of cumulative errors.

  14. Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm

    International Nuclear Information System (INIS)

    Yu, Lean; Wang, Shouyang; Lai, Kin Keung

    2008-01-01

    In this study, an empirical mode decomposition (EMD) based neural network ensemble learning paradigm is proposed for world crude oil spot price forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite, and often small, number of intrinsic mode functions (IMFs). Then a three-layer feed-forward neural network (FNN) model was used to model each of the extracted IMFs, so that the tendencies of these IMFs could be accurately predicted. Finally, the prediction results of all IMFs are combined with an adaptive linear neural network (ALNN), to formulate an ensemble output for the original crude oil price series. For verification and testing, two main crude oil price series, West Texas Intermediate (WTI) crude oil spot price and Brent crude oil spot price, are used to test the effectiveness of the proposed EMD-based neural network ensemble learning methodology. Empirical results obtained demonstrate attractiveness of the proposed EMD-based neural network ensemble learning paradigm. (author)

  15. The productivity-inflation nexus: the case of the Australian mining sector

    International Nuclear Information System (INIS)

    Mahadevan, R.; Asafu Adjaye, J.

    2005-01-01

    This paper examines the causal links between productivity growth and two price series given by domestic inflation and the price of mineral products in Australia's mining sector for the period 1968/1969 to 1997/1998. The study also uses a stochastic translog cost frontier to generate improved estimates of total factor productivity (TFP) growth. The results indicate negative unidirectional causality running from both price series to mining productivity growth. Regression analysis further shows that domestic inflation has a small but adverse effect on mining productivity growth, thus providing some empirical support for Australia's 'inflation first' monetary policy, at least with respect to the mining sector. Inflation in mineral price, on the other hand, has a greater negative effect on mining productivity growth via mineral export growth. (author)

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

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  17. Provisional 2008 assessment of solid mineral fuels; Bilan provisoire 2008 des combustibles mineraux solides

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2009-03-15

    This article first comments data on solid mineral fuel consumption in France in 2008, i.e., the overall consumption, and the consumption by different sectors (energy production in coal plants, iron and steel industry, other industries, housing and office buildings). Then, it comments solid mineral fuel imports and their origins. It comments and explains the price evolution since 1999 (notably on the Antwerp-Rotterdam-Amsterdam market) in relationship with maritime transport price, availabilities and problems, and with the evolution of coal demand (notably in China) and oil prices. Finally, it briefly comments the French residual production and stocks.

  18. Housing price forecastability: A factor analysis

    DEFF Research Database (Denmark)

    Møller, Stig Vinther; Bork, Lasse

    2017-01-01

    We examine U.S. housing price forecastability using principal component analysis (PCA), partial least squares (PLS), and sparse PLS (SPLS). We incorporate information from a large panel of 128 economic time series and show that macroeconomic fundamentals have strong predictive power for future...... movements in housing prices. We find that (S)PLS models systematically dominate PCA models. (S)PLS models also generate significant out-of-sample predictive power over and above the predictive power contained by the price-rent ratio, autoregressive benchmarks, and regression models based on small datasets....

  19. Food versus fuel: What do prices tell us?

    International Nuclear Information System (INIS)

    Zhang Zibin; Lohr, Luanne; Escalante, Cesar; Wetzstein, Michael

    2010-01-01

    Sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short-run versus the long-run impacts. Using time-series prices on fuels and agricultural commodities, the aim is to investigate the long-run cointegration of these prices simultaneously with their multivariate short-run interactions. Results indicate no direct long-run price relations between fuel and agricultural commodity prices, and limited if any direct short-run relationships. In terms of short-run price movements, sugar prices are influencing all the other agricultural commodity prices except rice. With sugar the number one world input for ethanol, results indicate increased ethanol production is potentially influencing short-run agricultural commodity prices. Overall, results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event (shock).

  20. Economic Dynamics of the German Hog-Price Cycle

    Directory of Open Access Journals (Sweden)

    Ernst Berg

    2015-06-01

    Full Text Available We investigated the economic dynamics of the German hog-price cycle with an innovative ‘diagnostic’ modeling approach. Hog-price cycles are conventionally modeled stochastically—most recently as randomly-shifting sinusoidal oscillations. Alternatively, we applied Nonlinear Time Series analysis to empirically reconstruct a deterministic, low-dimensional, and nonlinear attractor from observed hog prices. We next formulated a structural (explanatory model of the pork industry to synthesize the empirical hog-price attractor. Model simulations demonstrate that low price-elasticity of demand contributes to aperiodic price cycling – a well know result – and further reveal two other important driving factors: investment irreversibility (caused by high specificity of technology, and liquidity-driven investment behavior of German farmers.

  1. Geology of the Delta, Escalante, Price, Richfield, and Salina 10 x 20 quadrangles, Utah

    International Nuclear Information System (INIS)

    Thayer, P.A.

    1981-11-01

    The National Uranium Resource Evaluation (NURE) program was established to evaluate domestic uranium resources in the continental United States and to identify areas favorable for uranium exploration. The Grand Junction Office of the Department of Energy is responsible for administering the program. The Savannah River Laboratory (SRL) is responsible for hydrogeochemical and stream-sediment reconnaissance (HSSR) of 3.9 million km 2 (1,500,000 mi 2 ) in 37 eastern and western states. This document provides geologic and mineral resources reports for the Delta, Escalante, Price, Richfield, and Salina 1 0 x 2 0 National Topographic Map Series quadrangles, Utah. The purpose of these reports is to provide background geologic and mineral resources information to aid in the interpretation of NURE geochemical reconnaissance data. Except for the Escalante Quadrangle, each report is accompanied by a geologic map and a mineral locality map (Plates 1-8, in pocket). The US Geological Survey previously published a 1 0 x 2 0 geologic map of the Escalante Quadrangle and described the uranium deposits in the area (Hackman and Wyant, 1973). NURE hydrogeochemical and stream-sediment reconnaissance data for these quadrangles have been issued previously in some of the reports included in the references

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

    OpenAIRE

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

    2005-01-01

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

  3. The relational of Mesozoic volcanism to uranium mineralization in Guyuan-Hongshanzi area

    International Nuclear Information System (INIS)

    Wu Rengui; Xu Zhe; Yu Zhenqing; Jiang Shan; Shen Kefeng

    2011-01-01

    Based on the time of Mesozoic volcanism,the characteristic of major and trace element, and REE pattern of the volcanic rocks in Guyuan-Hongshanzi area, The Mesozoic volcanism can be divided into the early cycle and later cycle during the Early Cretaceous, and it's magma series is classified in two sub-series, one is alkaline series of trachyte dominated and another is subalkaline series of rhyolite dominated. The relations between Mesozoic volcanism and uranium mineralization is mainly shown in four aspects: (1) Uranium mineralization controlled by the coexist of two magma series; (2) Uranium mineralization controlled by superhypabyssal porphyry body in later cycle volcanism during the Early Cretaceous; (3) The porphyry body close to uranium mineralization,bearing the genesis characteristics of crust-mantle action; and (4) High Si and K content in the chemical composition of the mineralization volcanic rocks. (authors)

  4. CHARCOAL PRICE ANALYSIS IN FOUR REGIONS OF MINAS GERAIS STATE-BRAZIL

    Directory of Open Access Journals (Sweden)

    José Luiz Pereira de Rezende

    2005-09-01

    Full Text Available The State of Minas Gerais is the largest producer and consumer of charcoal, that is used as term-reducer of iron ore,for producing pig iron. This study analyzed the time series of charcoal prices in four regions of Minas Gerais State. For the analysisof the price series, the SARIMA model was used, for finding a model that better forecasts prices for the four studied areas. The mostappropriate models were chosen using graphical analyses of the standardized residues, autocorrelation functions and partialautocorrelations, stochastic tests and criteria of evaluation of the order of the model. It concluded that: the differences of charcoalprices occur, basically, due to the geographical location; the analyses of domain of the time and domain of the frequency showed thatthere is difference in the price series of the four studied areas; the areas of Sete Lagoas and Belo Horizonte, giving that they are closelylocated, possess similar prices and they generated similar model; the studied areas presented differentiated models and supplied goodadjustments for the observed series. The best models were SARIMA (2,1,1x(1,0,012, for Belo Horizonte; SARIMA (2,0,0x(2,1,212,for Divinópolis; SARIMA (2,1,1x(1,0,012, for Sete Lagoas and SARIMA (1,1,1x(1,1,112, for Vertentes. Such models presented in aparsimonious way, containing a small number of parameters. All models SARIMA (p,d,q (P,D,Qs, for the four studied areas,presented white noise and supplied adequate price forecast.

  5. Modeling energy price dynamics: GARCH versus stochastic volatility

    International Nuclear Information System (INIS)

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

    2016-01-01

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

  6. Technological changes, new materials, and their impact on the demand for minerals

    International Nuclear Information System (INIS)

    Rogich, D.G.

    1991-01-01

    Almost all mineral commodities compete in an international market, and changing technologies and preferences can impact this materials market to either increase or decrease the demand for specific minerals. This paper presents information on the changes we are seeing in materials usage in the United States, some specific examples of market penetration and methods to evaluate this, and some preliminary data on worldwide trends. Traditionally, evaluating the viability of a mineral venture involves the estimation of anticipated costs, production rates, mine life, and discount rates. These estimated costs are then compared with current and expected future prices to see if the necessary return on investment is likely to be generated. Additionally, an examination of the current, and expected future competition in the market is certainly of interest since an assessment of where the operation's costs fall in relation to the total world supply determines how far demand/prices can fall before stronger operations can supply the whole market. Feedstock price has been the traditional measure in the minerals community, and most producers think of themselves as suppliers of particular commodities in competition with other similar suppliers. However, this approach must be altered when we seek to evaluate how individual commodities compete in a market where substitution is expanding

  7. Sellers to dominate price talks?

    International Nuclear Information System (INIS)

    McLean, A.

    2000-01-01

    The last decade has been a sad one for coal exporters with only two price increases going the sellers' way, one in 1995 and the other in 1996. True, the financial hardships imposed upon the miners have resulted in improvements in all aspects of the coal chain. Mine productivity as measured in tonnes of output per employee is up, while rail and port charges and even, albeit at more modest levels, government charges, are down. However there is a widespread viewpoint that this will be the year of the price rise and, potentially, a big one. The difference in the forthcoming coal negotiations with the Japanese buyers is that, this time, the tightness of the market, both in coking and thermal coal, is demand driven

  8. Price-volume multifractal analysis of the Moroccan stock market

    Science.gov (United States)

    El Alaoui, Marwane

    2017-11-01

    In this paper, we analyzed price-volume multifractal cross-correlations of Moroccan Stock Exchange. We chose the period from January 1st 2000 to January 20th 2017 to investigate the multifractal behavior of price change and volume change series. Then, we used multifractal detrended cross-correlations analysis method (MF-DCCA) and multifractal detrended fluctuation analysis (MF-DFA) to analyze the series. We computed bivariate generalized Hurst exponent, Rényi exponent and spectrum of singularity for each pair of indices to measure quantitatively cross-correlations. Furthermore, we used detrended cross-correlations coefficient (DCCA) and cross-correlation test (Q(m)) to analyze cross-correlation quantitatively and qualitatively. By analyzing results, we found existence of price-volume multifractal cross-correlations. The spectrum width has a strong multifractal cross-correlation. We remarked that volume change series is anti-persistent when we analyzed the generalized Hurst exponent for all moments q. The cross-correlation test showed the presence of a significant cross-correlation. However, DCCA coefficient had a small positive value, which means that the level of correlation is not very significant. Finally, we analyzed sources of multifractality and their degree of contribution in the series.

  9. Evaluation of tendered prices of natural mineral water, juice and non-alcoholic beer (public procurement research

    Directory of Open Access Journals (Sweden)

    Nataša Pomazalová

    2011-01-01

    Full Text Available The purpose of this paper is to evaluate tender prices of chosen beverages according to public procurement based on secondary data analysis. The empirical results of analysis (t-test and F-test show that average annual prices of these beverages are different and collected data are not included in the same sample. Tender prices are different in each year of observed years, although are based on public tender. Important evidence is that for the public tenders in the abroad is obligatory use of the Czech public procurement law. According to this act the base evaluation criterion is the lowest offered price. Data were collected during the years 2005–2009. This study deals with empirical approach, variability of prices of chosen beverages based on public tenders between the Czech Republic (Ministry of Defence and local suppliers in Kosovo. Results show low variability of prices, which are based on public tender and legal approach, regulated public procurement. The research conclusion is the fact, that tender prices for piece of non-alcoholic beverage are less than 10 % from annual mean (pcs./CZK of tendered prices.

  10. Prices, taxes around the world - And why. Annual survey results

    International Nuclear Information System (INIS)

    Anon.

    1992-01-01

    On a world average basis, gasoline and diesel No. 2 prices to consumers declined modestly between January 1991 and January 1992, Energy Detente's survey finds. The drops were in response to falling crude oil prices that followed the conclusion of the Persian Gulf War. Demand increases in 1991, where they occurred, are expected to continue in the short term. This issue details price changes by country and highlights causes in selected countries. Sizable oil-consumption declines in the former USSR and Eastern Bloc countries mask substantial increases among European member nations of OECD. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of May 15, 1992; and (2) the ED Fuel Price/Tax Series for countries of the Western Hemisphere, May 1992 Edition

  11. Enhancing market potentials, contract and trading of Nigerian solid minerals in world market

    International Nuclear Information System (INIS)

    Kwa, Y. B.

    1997-01-01

    The mineral endowments of Nigeria is discussed. Most of these minerals are mined for their export potential and also to meet domestic industrial needs. Minerals mined for export include tin, columbite, tantalite, lead/zinc, coal, and iron. Minerals meet specified requirements to qualify for export or application in the industrial sector. For export, a number of issues relating to pricing, shipping, insurance, international laws and contractual agreements must be clearly articulated

  12. The mineral sector and economic development in Ghana: A computable general equilibrium analysis

    Science.gov (United States)

    Addy, Samuel N.

    A computable general equilibrium model (CGE) model is formulated for conducting mineral policy analysis in the context of national economic development for Ghana. The model, called GHANAMIN, places strong emphasis on production, trade, and investment. It can be used to examine both micro and macro economic impacts of policies associated with mineral investment, taxation, and terms of trade changes, as well as mineral sector performance impacts due to technological change or the discovery of new deposits. Its economywide structure enables the study of broader development policy with a focus on individual or multiple sectors, simultaneously. After going through a period of contraction for about two decades, mining in Ghana has rebounded significantly and is currently the main foreign exchange earner. Gold alone contributed 44.7 percent of 1994 total export earnings. GHANAMIN is used to investigate the economywide impacts of mineral tax policies, world market mineral prices changes, mining investment, and increased mineral exports. It is also used for identifying key sectors for economic development. Various simulations were undertaken with the following results: Recently implemented mineral tax policies are welfare increasing, but have an accompanying decrease in the output of other export sectors. World mineral price rises stimulate an increase in real GDP; however, this increase is less than real GDP decreases associated with price declines. Investment in the non-gold mining sector increases real GDP more than investment in gold mining, because of the former's stronger linkages to the rest of the economy. Increased mineral exports are very beneficial to the overall economy. Foreign direct investment (FDI) in mining increases welfare more so than domestic capital, which is very limited. Mining investment and the increased mineral exports since 1986 have contributed significantly to the country's economic recovery, with gold mining accounting for 95 percent of the

  13. The compass rose pattern in electricity prices.

    Science.gov (United States)

    Batten, Jonathan A; Hamada, Mahmoud

    2009-12-01

    The "compass rose pattern" is known to appear in the phase portraits, or scatter diagrams, of the high-frequency returns of financial series. We first show that this pattern is also present in the returns of spot electricity prices. Early researchers investigating these phenomena hoped that these patterns signaled the presence of rich dynamics, possibly chaotic or fractal in nature. Although there is a definite autoregressive and conditional heteroscedasticity structure in electricity returns, we find that after simple filtering no pattern remains. While the series is non-normal in terms of their distribution and statistical tests fail to identify significant chaos, there is evidence of fractal structures in periodic price returns when measured over the trading day. The phase diagram of the filtered returns provides a useful visual check on independence, a property necessary for pricing and trading derivatives and portfolio construction, as well as providing useful insights into the market dynamics.

  14. Strategic Generation with Conjectured Transmission Price Responses in a Mixed Transmission Pricing System. Part 1. Formulation

    International Nuclear Information System (INIS)

    Hobbs, B.F.; Rijkers, F.A.M.

    2004-05-01

    The conjectured supply function (CSF) model calculates an oligopolistic equilibrium among competing generating companies (GenCos), presuming that GenCos anticipate that rival firms will react to price increases by expanding their sales at an assumed rate. The CSF model is generalized here to include each generator's conjectures concerning how the price of transmission services (point-to-point service and constrained interfaces) will be affected by the amount of those services that the generator demands. This generalization reflects the market reality that large producers will anticipate that they can favorably affect transmission prices by their actions. The model simulates oligopolistic competition among generators while simultaneously representing a mixed transmission pricing system. This mixed system includes fixed transmission tariffs, congestion-based pricing of physical transmission constraints (represented as a linearized dc load flow), and auctions of interface capacity in a path-based pricing system. Pricing inefficiencies, such as export fees and no credit for counterflows, can be simulated. The model is formulated as a linear mixed complementarity problem, which enables very large market models to be solved. In the second paper of this two-paper series, the capabilities of the model are illustrated with an application to northwest Europe, where transmission pricing is based on such a mixture of approaches

  15. Option pricing from wavelet-filtered financial series

    Science.gov (United States)

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

    2012-10-01

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

  16. PRICING STRATEGY FOR DIGITAL PRODUCTS

    Directory of Open Access Journals (Sweden)

    MARIA MAGDALENA CRIVEANU

    2018-02-01

    Full Text Available The current society imposes an alert pace on companies that need to adapt to change, become more flexible and adopt new strategies to maintain market share. Digital marketing is a useful tool for promoting products, as customers can access a range of product information at any time and from anywhere. At the same time, another advantage on the part of companies is the lower promotion costs as compared to traditional promotional methods, as well as the establishment of a connection and a communication bridge with each client. The most important component in the process of purchasing a product is inevitably the price. It communicates a series of information about the product and the customer so that the price can be an important element of persuasion in relation to other marketing strategies. Most of the time, the smallest price is the most important factor in making a decision about buying a product, and digital marketing offers the posibility to compare prices. In this sense, digital marketing can provide both an advantage and a disadvantage for traders, as the small price may invalidate other marketing strategies or product features. In this sense, pricing is a challenge for marketing departments because the pricing strategy is deferring from the sterile formula of pricing which meant covering costs and making profit. This paper aims to analyze the extent to which price is an important element in purchasing a product, as well as highlighting a variety of methods and techniques used in pricing. Quantitative research is based on a questionnaire applied to 100 respondents in order to identify the correct pricing strategy. Research results communicate an important message to merchants who have to adjust the price of each buyer individually, so that the buyer profile is particularly important in setting the price.

  17. Price generating process and volatility in the Nigerian agricultural ...

    African Journals Online (AJOL)

    The study examined the price generating process and volatility of Nigerian agricultural commodities market using secondary data for price series on meat, cereals, sugar, dairy and food for the period of January 1990 to February 2014. The data were analysed using both descriptive and inferential statistics. The descriptive ...

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

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  19. Analysis of historical series of industrial demand of energy; Analisi delle serie storiche dei consumi energetici dell`industria

    Energy Technology Data Exchange (ETDEWEB)

    Moauro, F. [ENEA, Centro Ricerche Casaccia, Rome (Italy). Dip. Energia

    1995-03-01

    This paper reports a short term analysis of the Italian demand for energy fonts and a check of a statistic model supposing the industrial demand for energy fonts as a function of prices and production, according to neoclassic neoclassic micro economic theory. To this pourpose monthly time series of industrial consumption of main energy fonts in 6 sectors, industrial production indexes in the same sectors and indexes of energy prices (coal, natural gas, oil products, electricity) have been used. The statistic methodology refers to modern analysis of time series and specifically to transfer function models. These ones permit rigorous identification and representation of the most important dynamic relations between dependent variables (production and prices), as relation of an input-output system. The results have shown an important positive correlation between energy consumption with prices. Furthermore, it has been shown the reliability of forecasts and their use as monthly energy indicators.

  20. Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

    Science.gov (United States)

    Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

    2015-06-01

    This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

  1. Publications issued in 1996. Priced and unpriced

    International Nuclear Information System (INIS)

    1997-01-01

    The publications issued by the IAEA's Division of Publications in 1996 are grouped in four categories: Priced and miscellaneous publications classified by divisions and by series; unpriced and miscellaneous publications classified by divisions and series. The information provided about each publication includes the symbol, language, title, centre and project code, data of time and number of pages

  2. The relationship between oil price shocks and China's macro-economy. An empirical analysis

    International Nuclear Information System (INIS)

    Du, Limin; Yanan, He; Wei; Chu

    2010-01-01

    This paper investigates the relationship between the world oil price and China's macro-economy based on a monthly time series from 1995:1 to 2008:12, using the method of multivariate vector autoregression (VAR). The results show that the world oil price affects the economic growth and inflation of China significantly, and the impact is non-linear. On the other hand, China's economic activity fails to affect the world oil price, which means that the world oil price is still exogenous with respect to China's macro-economy in time series sense, and China has not yet had an oil pricing power in the world oil markets. The structural stability tests demonstrate that there is a structural break in the VAR model because of the reforms of China's oil pricing mechanism, thus it is more appropriate to break the whole sample into different sub-samples for the estimation of the model. (author)

  3. Raman spectroscopy of garnet-group minerals

    Science.gov (United States)

    Mingsheng, P.; Mao, Ho-kwang; Dien, L.; Chao, E.C.T.

    1994-01-01

    The Raman spectra of the natural end members of the garnet-group minerals, which include pyrope, almandine and spessarite of Fe-Al garnet series and grossularite, andradite and uvarovite of Ca-Fe garnet series, have been studied. Measured Raman spectra of these minerals are reasonably and qualitatively assigned to the internal modes, translational and rotatory modes of SiO4 tetrahedra, as well as the translational motion of bivalent cations in the X site. The stretch and rotatory Alg modes for the Fe-Al garnet series show obvious Raman shifts as compared with those for the Ca-Fe garnet series, owing to the cations residing in the X site connected with SiO4 tetrahedra by sharing the two edges. The Raman shifts of all members within either of the series are attributed mainly to the properties of cations in the X site for the Fe-Al garnet series and in the Y site for the Ca-Fe garnet series. ?? 1994 Institute of Geochemistry, Chinese Academy of Sciences.

  4. Gasoline prices and the public interest

    International Nuclear Information System (INIS)

    1997-12-01

    The concerns that have been raised about gasoline prices in Newfoundland were addressed and the reasons why they differ significantly from one part of Newfoundland to another were examined. A research and investigation program was established to identify the factors contributing to the price of, and price variation in gasoline sold in the province. Companies directly involved in the gasoline retail business in the province were invited to answer an extensive questionnaire which asked detailed, confidential information concerning the company's operations. This report contains the results of the analysis of the responses, and provides a comprehensive picture of the operation of the petroleum industry. It also contains a series of recommendations for the government with respect to monitoring price fluctuations, gathering data about the industry, and constructing an independently owned and operated terminal storage facility. The report recommends against direct regulation. tabs., figs

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

    International Nuclear Information System (INIS)

    Zagaglia, Paolo

    2010-01-01

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

  6. Stylized facts of price gaps in limit order books

    International Nuclear Information System (INIS)

    Gu, Gao-Feng; Xiong, Xiong; Zhang, Yong-Jie; Chen, Wei; Zhang, Wei; Zhou, Wei-Xing

    2016-01-01

    Highlights: • We uncover several stylized facts of price gaps for Chinese stocks. • The distribution of price gaps has a power-law tail for all stocks. • Gap time series is long-range correlated and possesses multifractal nature. • The statistical properties vary from stock to stock and are not universal. • We unveil buy–sell asymmetry phenomena for individual stocks. - Abstract: Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly studied due to the less availability of ultrahigh frequency data. In the paper, we rebuild the LOB dynamics based on the order flow data of 26 A-share stocks traded on the Shenzhen Stock Exchange in 2003. Three key empirical statistical properties of price gaps are investigated. We find that the distribution of price gaps has a power-law tail for all stocks with an average tail exponent close to 3.2. Applying modern statistical methods, we confirm that the gap time series are long-range correlated and possess multifractal nature. These three features appear to be different in the measures across stocks, but they are similar for the buy and sell LOBs within each stock. Furthermore, we also unveil buy–sell asymmetry phenomena in the properties of price gaps on the buy and sell sides of the LOBs for individual stocks. These findings deepen our understanding of the dynamics of liquidity of common stocks and can be used to calibrate agent-based computational financial models.

  7. Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks.

    Science.gov (United States)

    Jin, Junghwan; Kim, Jinsoo

    2015-01-01

    Following the unconventional gas revolution, the forecasting of natural gas prices has become increasingly important because the association of these prices with those of crude oil has weakened. With this as motivation, we propose some modified hybrid models in which various combinations of the wavelet approximation, detail components, autoregressive integrated moving average, generalized autoregressive conditional heteroskedasticity, and artificial neural network models are employed to predict natural gas prices. We also emphasize the boundary problem in wavelet decomposition, and compare results that consider the boundary problem case with those that do not. The empirical results show that our suggested approach can handle the boundary problem, such that it facilitates the extraction of the appropriate forecasting results. The performance of the wavelet-hybrid approach was superior in all cases, whereas the application of detail components in the forecasting was only able to yield a small improvement in forecasting performance. Therefore, forecasting with only an approximation component would be acceptable, in consideration of forecasting efficiency.

  8. Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks.

    Directory of Open Access Journals (Sweden)

    Junghwan Jin

    Full Text Available Following the unconventional gas revolution, the forecasting of natural gas prices has become increasingly important because the association of these prices with those of crude oil has weakened. With this as motivation, we propose some modified hybrid models in which various combinations of the wavelet approximation, detail components, autoregressive integrated moving average, generalized autoregressive conditional heteroskedasticity, and artificial neural network models are employed to predict natural gas prices. We also emphasize the boundary problem in wavelet decomposition, and compare results that consider the boundary problem case with those that do not. The empirical results show that our suggested approach can handle the boundary problem, such that it facilitates the extraction of the appropriate forecasting results. The performance of the wavelet-hybrid approach was superior in all cases, whereas the application of detail components in the forecasting was only able to yield a small improvement in forecasting performance. Therefore, forecasting with only an approximation component would be acceptable, in consideration of forecasting efficiency.

  9. Application of Markov Model in Crude Oil Price Forecasting

    Directory of Open Access Journals (Sweden)

    Nuhu Isah

    2017-08-01

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

  10. 75 FR 13345 - Pricing for Certain United States Mint Products

    Science.gov (United States)

    2010-03-19

    ... DEPARTMENT OF THE TREASURY United States Mint Pricing for Certain United States Mint Products AGENCY: United States Mint, Department of the Treasury. ACTION: Notice. SUMMARY: The United States Mint is announcing the price of First Spouse Bronze Medals and 2010 First Spouse Bronze Medal Series: Four...

  11. ECONOMICAL PLANS EFFECTS ON CHARCOAL PRICES

    Directory of Open Access Journals (Sweden)

    José Luiz Pereira Rezende

    2007-06-01

    Full Text Available Energy is essential for human needs satisfaction. With the evolution of machinery, man becomes more and more dependent on the energy stocked in fossil fuels, comparatively to the primitive economy. Wood charcoal is a thermal-reducer used in Brazilian pig iron and steel industries, and its price is formed in an oligopsonic market. Over time, the charcoal prices have varied in function of endogenous and exogenous factors, needing, therefore, to be deflated so that they can be compared in two or more points in time. This work analyzed the variations of charcoal real prices, in national currency; compared and analyzed the real charcoal price in nominal and in real US Dollar and; analyzed the real prices of charcoal, comparatively to the real oil prices. The analyses were accomplished in the period from January 1975 to December 2002. The time series of charcoal prices, in domestic currency were deflated using IGP-DI, considering august, 1994=100, and charcoal prices were also converted to American dollar and deflated using CPI, considering the period 1982-84=100. It was compared, then, the real and nominal charcoal prices. It concluded that the real charcoal prices in Brazilian domestic currency, or in American dollar, presented a decreasing tendency along time. The inflationary disarray, in the 80´s and the first half of the 90 ´s, provoked a big price variation in the period; from the beginning the XXI century, charcoal prices were more influenced by the exchange rate; in the energy crisis period, charcoal prices suffered big changes that, however, did not persist along time.

  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......For risk management traders in the electricity market are mainly interested in the risk of negative (drops) or of positive (spikes) price jumps, i.e. the sellers face the risk of negative price jumps while the buyers face the risk of positive price jumps. Understanding the mechanism that drive...

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

    DEFF Research Database (Denmark)

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

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

  14. MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA

    Directory of Open Access Journals (Sweden)

    OSAZEE GODWIN OMOROKUNWA

    2014-10-01

    Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.

  15. Repeat Assessed Values Model for Housing Price Index

    Directory of Open Access Journals (Sweden)

    Carini Manuela

    2017-12-01

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

  16. Cryptocurrency price drivers: Wavelet coherence analysis revisited.

    Science.gov (United States)

    Phillips, Ross C; Gorse, Denise

    2018-01-01

    Cryptocurrencies have experienced recent surges in interest and price. It has been discovered that there are time intervals where cryptocurrency prices and certain online and social media factors appear related. In addition it has been noted that cryptocurrencies are prone to experience intervals of bubble-like price growth. The hypothesis investigated here is that relationships between online factors and price are dependent on market regime. In this paper, wavelet coherence is used to study co-movement between a cryptocurrency price and its related factors, for a number of examples. This is used alongside a well-known test for financial asset bubbles to explore whether relationships change dependent on regime. The primary finding of this work is that medium-term positive correlations between online factors and price strengthen significantly during bubble-like regimes of the price series; this explains why these relationships have previously been seen to appear and disappear over time. A secondary finding is that short-term relationships between the chosen factors and price appear to be caused by particular market events (such as hacks / security breaches), and are not consistent from one time interval to another in the effect of the factor upon the price. In addition, for the first time, wavelet coherence is used to explore the relationships between different cryptocurrencies.

  17. PRICE AND PRICING STRATEGIES

    OpenAIRE

    SUCIU Titus

    2013-01-01

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

  18. Forecasting Natural Rubber Price In Malaysia Using Arima

    Science.gov (United States)

    Zahari, Fatin Z.; Khalid, Kamil; Roslan, Rozaini; Sufahani, Suliadi; Mohamad, Mahathir; Saifullah Rusiman, Mohd; Ali, Maselan

    2018-04-01

    This paper contains introduction, materials and methods, results and discussions, conclusions and references. Based on the title mentioned, high volatility of the price of natural rubber nowadays will give the significant risk to the producers, traders, consumers, and others parties involved in the production of natural rubber. To help them in making decisions, forecasting is needed to predict the price of natural rubber. The main objective of the research is to forecast the upcoming price of natural rubber by using the reliable statistical method. The data are gathered from Malaysia Rubber Board which the data are from January 2000 until December 2015. In this research, average monthly price of Standard Malaysia Rubber 20 (SMR20) will be forecast by using Box-Jenkins approach. Time series plot is used to determine the pattern of the data. The data have trend pattern which indicates the data is non-stationary data and the data need to be transformed. By using the Box-Jenkins method, the best fit model for the time series data is ARIMA (1, 1, 0) which this model satisfy all the criteria needed. Hence, ARIMA (1, 1, 0) is the best fitted model and the model will be used to forecast the average monthly price of Standard Malaysia Rubber 20 (SMR20) for twelve months ahead.

  19. Shadow Prices for Undesirables in Swedish Industry: Indication of Environmental Kuznets Curves

    Energy Technology Data Exchange (ETDEWEB)

    Ankarhem, Mattias (e-mail: mattias.ankarhem@econ.umu.se)

    2005-04-15

    In this note, we estimate time series of shadow prices for Swedish emissions of CO{sub 2}, SO{sub 2} , and VOC for the period 1918 - 1994. The shadow prices are in the second step related to income to explain the environmental Kuznets curves previously found for Swedish data on the three emissions. A Shephard distance function approach is used to estimate a structural model of the industry's production process in order to calculate the opportunity costs of a reduction in the emissions. We conclude that the times series of the shadow prices obtained using this approach do not show support for EKCs for Swedish industry.

  20. A new approach for crude oil price analysis based on empirical mode decomposition

    International Nuclear Information System (INIS)

    Zhang, Xun; Wang, Shou-Yang; Lai, K.K.

    2008-01-01

    The importance of understanding the underlying characteristics of international crude oil price movements attracts much attention from academic researchers and business practitioners. Due to the intrinsic complexity of the oil market, however, most of them fail to produce consistently good results. Empirical Mode Decomposition (EMD), recently proposed by Huang et al., appears to be a novel data analysis method for nonlinear and non-stationary time series. By decomposing a time series into a small number of independent and concretely implicational intrinsic modes based on scale separation, EMD explains the generation of time series data from a novel perspective. Ensemble EMD (EEMD) is a substantial improvement of EMD which can better separate the scales naturally by adding white noise series to the original time series and then treating the ensemble averages as the true intrinsic modes. In this paper, we extend EEMD to crude oil price analysis. First, three crude oil price series with different time ranges and frequencies are decomposed into several independent intrinsic modes, from high to low frequency. Second, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend based on fine-to-coarse reconstruction. The economic meanings of the three components are identified as short term fluctuations caused by normal supply-demand disequilibrium or some other market activities, the effect of a shock of a significant event, and a long term trend. Finally, the EEMD is shown to be a vital technique for crude oil price analysis. (author)

  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. The 'haves' and 'have nots'. Gasoline price subsidies great and small

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    It is dramatic to compare national retail gasoline prices around the world in oil-rich, developing countries and oil-pore, developed countries. But a new Energy Detente study shows that countries less than 50% dependent upon oil imports, regardless of wealth, have comparatively low prices - and countries more than half dependent on oil imports have high prices. Internal market subsidies, it seems, are only a matter of degree. The 20 oil-producing countries consumed 130 gallon per capita per year, the non-oil countries 79 gallons. This double issue of ED contains the following: (1) the ED Refining Netback Data Series for the U.S. Gulf and West Coasts, Rotterdam; and Singapore as of September 6, and September 20, 1991; and (2) the ED Fuel Price/Tax Series for countries of both the Western and Eastern Hemispheres, September 1991 Edition. 6 figs., 10 tabs

  3. Australian minerals industry 1985-6

    Energy Technology Data Exchange (ETDEWEB)

    1987-01-01

    The performance of the Australian mineral industry in 1985-86 was again adversely affected by low commodity prices and tight market conditions. This is shown in a survey conducted by chartered accountants Coopers and Lybrand and published by the Australian Mining Industry Council (AMIC). In a preface to the report, the president of AMIC (Sir Bruce Watson) said: In just 10 years the minerals industry has emerged as Australia's major exporter, accounting for over 40% of total Australian exports of goods. This preeminent ranking has depended on a significant investment effort, and in the creation of a very large asset base. Financing this investment, and achieving the cash flow necessary to service it, are enormous tasks.

  4. Impact of the carbon price on the integrating European electricity market

    International Nuclear Information System (INIS)

    Aatola, Piia; Ollikainen, Markku; Toppinen, Anne

    2013-01-01

    We study the impact of the carbon price on the integrating electricity market in the EU. Our theoretical framework suggests that the price of carbon has a positive but uneven impact on electricity prices depending on the marginal production plant. The carbon price may increase price differences in the short run. We apply time series analysis on daily forward data from 2003 to 2011 and investigate whether we can find empirical evidence for our analytical findings. Our results support the hypotheses that integration in electricity prices has increased over time and that the carbon price has a positive but uneven impact on the integration of prices. - Highlights: • We model the integrating European electricity market under emissions trading scheme. • We examine the impact of carbon price on the electricity market prices. • We test theoretical hypotheses with econometric models. • Results show carbon price has a positive but uneven impact on electricity prices. • Integration among electricity prices has increased during 2003–2011

  5. Analysis on the choice of the most suitable metal prices in a mining investment project

    International Nuclear Information System (INIS)

    Torre, L. de la; Espi, J. a.

    2014-01-01

    The mineral price assigned in mining project design is critical to determining the economic feasibility of a project. Nevertheless, although it is not difficult to find literature about market metal prices, it is much more complicated to achieve a specific methodology for calculating the value or which justifications are appropriate to include. This study presents an analysis of various methods for selecting metal prices and investigates the mechanisms and motives underlying price selections. The results describe various attitudes adopted by the designers of mining investment project, and how the price can be determined not just by means of forecasting also by consideration of other relevant parameters. (Author)

  6. Prices and Price Setting

    NARCIS (Netherlands)

    R.P. Faber (Riemer)

    2010-01-01

    textabstractThis thesis studies price data and tries to unravel the underlying economic processes of why firms have chosen these prices. It focuses on three aspects of price setting. First, it studies whether the existence of a suggested price has a coordinating effect on the prices of firms.

  7. Arbitrage, market definition and monitoring a time series approach

    OpenAIRE

    Burke, S; Hunter, J

    2012-01-01

    This article considers the application to regional price data of time series methods to test stationarity, multivariate cointegration and exogeneity. The discovery of stationary price differentials in a bivariate setting implies that the series are rendered stationary by capturing a common trend and we observe through this mechanism long-run arbitrage. This is indicative of a broader market definition and efficiency. The problem is considered in relation to more than 700 weekly data points on...

  8. Color of Minerals. Earth Science Curriculum Project Pamphlet Series PS-6.

    Science.gov (United States)

    Rapp, George, Jr.

    The causes for many of the colors exhibited by minerals are presented to students. Several theories of modern physics are introduced. The nature of light, the manner in which light interacts with matter, atomic theory, and crystal structure are all discussed in relation to the origin of color in minerals. Included are color pictures of many…

  9. The Analysis of Pricing Power of Preponderant Metal Mineral Resources under the Perspective of Intergenerational Equity and Social Preferences: An Analytical Framework Based on Cournot Equilibrium Model

    Directory of Open Access Journals (Sweden)

    Meirui Zhong

    2014-01-01

    Full Text Available This paper combines intergenerational equity equilibrium and social preferences equilibrium with Cournot equilibrium solving the technological problem of intergenerational equity and strategic value compensation confirmation, achieving the effective combination between sustainable development concept and value evaluation, thinking and expanding the theoretical framework for the lack of pricing power of mineral resources. The conclusion of the theoretical model and the numerical simulation shows that intergenerational equity equilibrium and social preferences equilibrium enhance international trade market power of preponderant metal mineral resources owing to the production of intergenerational equity compensation value and strategic value. However, the impact exerted on Cournot market power by social preferences is inconsistent: that is, changes of altruistic Cournot equilibrium and reciprocal inequity Cournot equilibrium are consistent, while inequity aversion Cournot equilibrium has the characteristic of loss aversion, namely, under the consideration of inequity aversion Cournot competition, Counot-Nash equilibrium transforms monotonically with sympathy and jealousy of inequity aversion.

  10. The Economics of BitCoin Price Formation

    OpenAIRE

    Pavel Ciaian; Miroslava Rajcaniova; d'Artis Kancs

    2014-01-01

    This is the first article that studies BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of supply and demand, and digital currencies specific factors, e.g., BitCoin attractiveness for investors and users. The conceptual framework is based on the Barro (1979) model, from which we derive testable hypotheses. Using daily data for five years (2009–2015) and applying time-series analytical mechanisms, we find that market forces and Bit...

  11. Kolmogorov Space in Time Series Data

    OpenAIRE

    Kanjamapornkul, K.; Pinčák, R.

    2016-01-01

    We provide the proof that the space of time series data is a Kolmogorov space with $T_{0}$-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition. A spinor field of time series data comes from the rotation of data around price and time axis by defining a new extradimension to time series data. We show that there exist hidden eight dimensions in Kolmogorov space for ...

  12. AN EVALUATION OF POINT AND DENSITY FORECASTS FOR SELECTED EU FARM GATE MILK PRICES

    Directory of Open Access Journals (Sweden)

    Dennis Bergmann

    2018-01-01

    Full Text Available Fundamental changes to the common agricultural policy (CAP have led to greater market orientation which in turn has resulted in sharply increased variability of EU farm gate milk prices and thus farmers’ income. In this market environment reliable forecasts of farm gate milk prices are extremely important as farmers can make improved decisions with regards to cash flow management and budget preparation. In addition these forecasts may be used in setting fixed priced contracts between dairy farmers and processors thus providing certainty and reducing risk. In this study both point and density forecasts from various time series models for farm gate milk prices in Germany, Ireland and for an average EU price series are evaluated using a rolling window framework. Additionally forecasts of the individual models are combined using different combination schemes. The results of the out of sample evaluation show that ARIMA type models perform well on short forecast horizons (1 to 3 month while the structural time series approach performs well on longer forecast horizons (12 month. Finally combining individual forecasts of different models significantly improves the forecast performance for all forecast horizons.

  13. 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.

  14. Minerals industry survey 1987

    Energy Technology Data Exchange (ETDEWEB)

    1987-01-01

    This is the eleventh Minerals Industry Survey produced by the Australian Mining Industry Council. It represents an invaluable time series on the minerals industry's financial performance, as well as an up to date description of the industry for the latest financial year. The survey has been conceived as a supplement to and expansion of the various Australian Bureau of Statistics and Bureau of Mineral Resources, Geology and Geophysics publications which describe the exploration, mining and smelting and refining industries in Australia. The tables in this survey have been prepared by Coopers and Lybrand, Chartered Accountants, based on information supplied to them in confidence by the respondent companies.

  15. Gasoline Prices, Transport Costs, and the U.S. Business Cycles

    OpenAIRE

    Hakan Yilmazkuday

    2014-01-01

    The e¡èects of gasoline prices on the U.S. business cycles are investigated. In order to distinguish between gasoline supply and gasoline demand shocks, the price of gasoline is endogenously determined through a transportation sector that uses gasoline as an input of production. The model is estimated for the U.S. economy using five macroeconomic time series, including data on transport costs and gasoline prices. The results show that although standard shocks in the literature (e.g., technolo...

  16. Dynamic Evolution Analysis of Stock Price Fluctuation and Its Control

    Directory of Open Access Journals (Sweden)

    Yuhua Xu

    2018-01-01

    Full Text Available This paper studies a simple dynamical system of stock price fluctuation time series based on the rule of stock market. When the stock price fluctuation system is disturbed by external excitations, the system exhibits obviously chaotic phenomena, and its basic dynamic properties are analyzed. At the same time, a new fixed-time convergence theorem is proposed for achieving fixed-time control of stock price fluctuation system. Finally, the effectiveness of the method is verified by numerical simulation.

  17. Development of the German mineral oil market in 1995. Pt. 2

    International Nuclear Information System (INIS)

    Mohnfeld, J.; Heinze, W.

    1996-01-01

    Following a brief glance at the boundary conditions for the German market (world oil market, inland energy consumption), the development of inland sales is described. One after one, the mineral oil products Otto engine fuel, diesel fuel, light fuel oil and heavy fuel oil are considered. Further sections deal with crude oil supply, the supply of mineral oil produce, refinery production, the development in the sales sector, the profit situation of the mineral oil industry, the development of prices (according to products) and expenditure in foreign exchange for mineral oil. The article contains numerous tables and graphs; comparisons with the years previously illustrate development trends. (UA) [de

  18. Co-Movement of Major Commodity Price Returns : Time-Series Assessment

    OpenAIRE

    de Nicola, Francesca; De Pace, Pierangelo; Hernandez, Manuel A.

    2014-01-01

    This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of uncondi...

  19. Long-term observation of the mineral trioxide aggregate extrusion into the periapical lesion: a case series

    Institute of Scientific and Technical Information of China (English)

    Seok-Woo Chang; Tae-Seok Oh; WooCheol Lee; Gary Shun-Pan Cheung; Hyeon-Cheol Kim

    2013-01-01

    One-step apexification using mineral trioxide aggregate (MTA) has been reported as an alternative treatment modality with more benefits than the use of long-term calcium hydroxide for teeth with open apex. However, orthograde placement of MTA is a challenging procedure in terms of length control. This case series describes the sequence of events following apical extrusion of MTA into the periapical area during a one-step apexification procedure for maxillary central incisor with an infected immature apex. Detailed long-term observation revealed complete resolution of the periapical radiolucent lesion around the extruded MTA. These cases revealed that direct contact with MTA had no negative effects on healing of the periapical tissues. However, intentional MTA overfilling into the periapical lesion is not to be recommended.

  20. Mineral supply constraints necessitate a global policy response

    Science.gov (United States)

    Nickless, Edmund

    2016-04-01

    Adoption on 12 December 2015 of The Paris Agreement, the first universal climate agreement, suggests that nations will invest in infrastructures for renewable energy sources paving the way to a global low-carbon society. These large-scale changes will require vast amounts of metals and minerals. Regardless of whether known supplies are enough to meet demand in the near future, efforts must be made now to forestall unpredictable yet inevitable supply shortages in the decades to come, shortages that would dramatically impact the building of additional generation and distribution capacity, and deployment of low-carbon technology. But in response to the current downturn in commodity prices, the global mining industry is downsizing and reducing investment in the new exploration, putting at risk future security of supply. Mining and climate change are inextricably linked; the new adaptive technologies needed to tackle climate change depend on extraction of minerals and metals. An interdisciplinary group supported by the International Union of Geological Sciences, the International Council for Science Unions and UNESCO proposes measures to avert the looming minerals crisis that is developing in the context of current recycling capacity and exploration trends. Our immediate goal is to stimulate discussion of supply constraints using available data on mineral reserves. We build on recent discussions of supply risk and criticality with a focus on the source of primary resources over the next two to three decades when the availability of metals for recycling will remain low. Current massive production of iron ore and other such commodities despite record low prices indicates a failure of the traditional supply and demand constraints. Broader discussions of metal and mineral supply beyond current criticality are needed given the pace of technological and demographic change as well as rapid development spurts. Furthermore, accessible mineral deposits are irregularly distributed

  1. Correlations of stock price fluctuations under multi-scale and multi-threshold scenarios

    Science.gov (United States)

    Sui, Guo; Li, Huajiao; Feng, Sida; Liu, Xueyong; Jiang, Meihui

    2018-01-01

    The multi-scale method is widely used in analyzing time series of financial markets and it can provide market information for different economic entities who focus on different periods. Through constructing multi-scale networks of price fluctuation correlation in the stock market, we can detect the topological relationship between each time series. Previous research has not addressed the problem that the original fluctuation correlation networks are fully connected networks and more information exists within these networks that is currently being utilized. Here we use listed coal companies as a case study. First, we decompose the original stock price fluctuation series into different time scales. Second, we construct the stock price fluctuation correlation networks at different time scales. Third, we delete the edges of the network based on thresholds and analyze the network indicators. Through combining the multi-scale method with the multi-threshold method, we bring to light the implicit information of fully connected networks.

  2. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors described...

  3. On the importance of the long-term seasonal component in day-ahead electricity price forecasting

    International Nuclear Information System (INIS)

    Nowotarski, Jakub; Weron, Rafał

    2016-01-01

    In day-ahead electricity price forecasting (EPF) the daily and weekly seasonalities are always taken into account, but the long-term seasonal component (LTSC) is believed to add unnecessary complexity to the already parameter-rich models and is generally ignored. Conducting an extensive empirical study involving state-of-the-art time series models we show that (i) decomposing a series of electricity prices into a LTSC and a stochastic component, (ii) modeling them independently and (iii) combining their forecasts can bring – contrary to a common belief – an accuracy gain compared to an approach in which a given time series model is calibrated to the prices themselves. - Highlights: • A new class of Seasonal Component AutoRegressive (SCAR) models is introduced. • Electricity prices are decomposed into a trend-seasonal and a stochastic component. • Both components are modeled independently, their forecasts are combined. • Significant accuracy gains can be achieved compared to commonly used approaches.

  4. Modelling oil price volatility with structural breaks

    International Nuclear Information System (INIS)

    Salisu, Afees A.; Fasanya, Ismail O.

    2013-01-01

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

  5. Time Series Momentum

    DEFF Research Database (Denmark)

    Moskowitz, Tobias J.; Ooi, Yao Hua; Heje Pedersen, Lasse

    2012-01-01

    We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial...... under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities...

  6. Trends in College Pricing, 2014. Trends in Higher Education Series

    Science.gov (United States)

    Baum, Sandy; Ma, Jennifer; Bell, D'Wayne; Elliott, Diane Cardenas

    2014-01-01

    Between 2013-14 and 2014-15, average published tuition and fee prices increased by 2.9% for in-state students in the public four-year sector, by 3.3% for out-of-state students in the public four-year sector and for in-district students at public two-year colleges, and by 3.7% at private nonprofit four-year institutions. These increases are higher…

  7. A study of uranium series disequilibrium in core profiles and mineral separates from the samples of Lac du Bonnet granite from the URL site, Pinawa, Manitoba, Canada

    International Nuclear Information System (INIS)

    Ivanovich, M.; Longworth, G.; Wilkins, M.A.; Hasler, S.E.

    1987-12-01

    Uranium series disequilibrium measurements of actinide activities and activity ratios have been used to study the geochemical history of Lac du Bonnet granite, from the URL site, Pinawa, Canada. Measurements on core profiles between fractured surfaces and the parent rock show that the granite underwent high temperature events several million years ago, followed by more recent low temperature events within the last million years. The main locations for the rock/water interaction and exchange of actinides are the fracture surfaces. The results of similar measurements on separated mineral phases show that the 'soft' minerals such as biotite and feldspar are more vulnerable to weathering than the 'hard' accessory minerals such as zircon. (author)

  8. THE LONG MEMORY PROPERTY OF HUNGARIAN MARKET PIG PRICES: A COMPARISON OF THREE DIFFERENT METHODS

    Directory of Open Access Journals (Sweden)

    SÁNDOR KOVÁCS

    2012-10-01

    Full Text Available The present study investigates the long memory property of market pig prices. Simply knowing that these time series have long term dependence could have strong significance when forecasting prices. The presence of long memory is crucial information in making business decisions and creating portfolios. Long memory can be measured by calculating the so-called Hurst exponent. In our article, we studied and described three different methods (Rescaled range, Detrended Fluctuation Analysis, Autoregressive Fractionally Integrated Moving Average. Data consist of four time series (piglet, young pig, sow, slaughter pig between 1991 and 2011. Before conducting the econometric analysis, all the series were seasonally adjusted using the TRAMO/SEATS method. Data preparation was followed by differencing the time series and testing their normality and stationarity. In the next step, we divided the analysed period into four parts and determined the Hurst exponent for each sub-period, using all three methods. In summary, results showed that slaughter pig prices are random; pig and piglet prices developed similarly and have long memory, while sow price changes definitely have short memory. Among the methods of pinpointing long term memory, ARFIMA was used for making the forecast. The forecasting ability of the method was compared to the traditional ARIMA model, with ARFIMA proving to be the better of the two.

  9. Mineral resources potential of Antarctica

    National Research Council Canada - National Science Library

    Splettstoesser, John F; Dreschhoff, Gisela A. M

    1990-01-01

    .... This volume of the Antarctic Research Series results from an attempt to assemble a summary of current factual knowledge and scientific data related to issues of mineral resources in Antarctica...

  10. Overview of the Malaysian mineral industry

    Energy Technology Data Exchange (ETDEWEB)

    Dahan, A.R.B. (Department of Mines (Malaysia))

    1992-08-01

    The article describes the status of the mining industry in Malaysia. Tin dominated the industry until a price fall caused closure of many mines in 1987-1990. Other minerals mined include copper, gold, iron ore, bauxite, barite, kaolin, limestone, clays, sand and gravel. Coal production in Malaysia resumed when an opencast mine was opened in July 1988 in Sarawak. Another started operation in early 1989 by the underground method. At the end of 1990 there was a total of 53 exploration rights granted for gold, coal, base metals and industrial minerals. A few coalfields have been identified. Generally the industry has suffered a decline because of lack of new investment. 1 fig.

  11. Petroleum product pricing in Asian developing countries: Lessons from the past and future issues

    International Nuclear Information System (INIS)

    Bhattacharyya, S.C.

    1997-01-01

    This paper looks at the pricing of petroleum products in ten Asian developing countries using a data series for 1973--1992. Prices of petroleum products are compared with international prices. Differential prices are measured with respect to diesel prices. It is found that energy prices are used as instruments for revenue earnings. Pricing policies vary widely among countries and neighbors have different fuel prices. Countries try to align the local prices of petroleum products in line with international prices but with a lag of 1--2 years. The wave of liberalization and privatization is sweeping many developing countries. Additionally, environmental issues are gaining importance even in developing countries. The paper also discusses these emerging issues that need to be taken into account in the petroleum product pricing

  12. Do stock prices drive people crazy?

    Science.gov (United States)

    Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

    2015-03-01

    This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

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

    OpenAIRE

    Walburger, Allan M.; Foster, Kenneth A.

    1997-01-01

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

  14. Estimation of mean-reverting oil prices: a laboratory approach

    International Nuclear Information System (INIS)

    Bjerksund, P.; Stensland, G.

    1993-12-01

    Many economic decision support tools developed for the oil industry are based on the future oil price dynamics being represented by some specified stochastic process. To meet the demand for necessary data, much effort is allocated to parameter estimation based on historical oil price time series. The approach in this paper is to implement a complex future oil market model, and to condense the information from the model to parameter estimates for the future oil price. In particular, we use the Lensberg and Rasmussen stochastic dynamic oil market model to generate a large set of possible future oil price paths. Given the hypothesis that the future oil price is generated by a mean-reverting Ornstein-Uhlenbeck process, we obtain parameter estimates by a maximum likelihood procedure. We find a substantial degree of mean-reversion in the future oil price, which in some of our decision examples leads to an almost negligible value of flexibility. 12 refs., 2 figs., 3 tabs

  15. The effect of the implementation of low price medicine policy on medicine price in China: A retrospective study.

    Science.gov (United States)

    Guan, Xiaodong; Yang, Mingchun; Man, Chunxia; Tian, Ye; Shi, Luwen

    2018-04-30

    In an effort to relieve the pressure of drug shortages, the Chinese government implemented Low-price Medicines (LPM) policy to raise the price cap in July 2014. The purpose of this study is to examine the effect of the implementation of this policy on drug price in China. Price data of 491 LPM, including 218 low-price chemical medicines (LPCM) and 273 low-price traditional Chinese medicines (LPTCM), were collected from 699 hospitals. We used interrupted time series design to identify the variation of monthly Laspeyres Indexes (LI) and Paasche Indexes (PI) for LPM, LPCM, and LPTCM. The result demonstrated that although LPM expenditures increased, the proportion of LPM expenditures accounting for all medicine expenditures fell from 3.6% to 3.2%. After the implementation of LPM policy, there was a significant increasing trend in LPM-PI, LPCM-PI, and LPTCM-PI. The trend in LPM-LI and LPCM-LI was found from descending to rising. However, for LPTCM, the trend in the LI remained to decrease after the policy implementation. Despite the LPM policy had an increasing impact on the LPM drug price, the proportion of LPM expenditures accounting for all medicine expenditures did not increase. More efforts are needed in the future to promote the rational drug use in China. Copyright © 2018 John Wiley & Sons, Ltd.

  16. The Mineral Question: How Energy and Technology Will Determine the Future of Mining

    International Nuclear Information System (INIS)

    Bardi, Ugo

    2013-01-01

    Almost 150 years after that Jevons (1866) published his paper “The Coal Question” a debate on mineral depletion has been ongoing between two main schools of thought: one that sees depletion as an important problem for the near future and another that sees technology and human ingenuity as making depletion only a problem for the remote future. Today, however, we have created intellectual tools that permit us to frame the problem on the basis of physical factors, in particular on the basis of thermodynamics. The present paper examines the problem of mineral depletion from a broad viewpoint, with a specific view on the role of energy in the mining and production processes. The conclusion is that energy is a fundamental factor in determining how long we can expect the supply of mineral resources to last at the present prices and production levels. The rapid depletion of our main energy resources, fossil fuels, is creating a serious supply problem that is already being felt in terms of high prices of all mineral commodities. Technology can mitigate the problem, but not solve it. In a non-remote future, the world’s industrial system will have to undergo fundamental changes in order to adapt to a reduced supply of mineral commodities.

  17. Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Heston, Steven; Jacobs, Kris

    2013-01-01

    We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric...... evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series properties of stock returns with the cross-section of option prices. It provides a unified explanation...... for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the physical distribution....

  18. 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.

  19. 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.

  20. Review of uranium market price

    International Nuclear Information System (INIS)

    Maragatham Kumar; Nik Arlina Nik Ali; Koh You Beng

    2007-01-01

    Uranium is used as an abundant source of concentrated energy and is the principal fuel for the generation of electricity by nuclear reactors. In nuclear reactors, the uranium fuel is assembled in such a way that a controlled fission chain reaction can be achieved. Since uranium is the main source of nuclear energy, demand prospects for uranium has increased dramatically with the renewed global interest in nuclear power generation in recent years. Although the global uranium market is relatively small worldwide, compared to other mineral and energy sources, it is a very important market as nuclear power generation accounts for about 18% of global electricity supply. After reaching historic lows in 1990s, uranium prices have risen substantially in recent years. The outlook for nuclear power has changed since 2000, with concerns over global warming, proven excellent safety record, competitive costs, progress on nuclear waste disposal issues and also continuing new nuclear plant construction around the world. These and various other influencing factors have resulted in the uranium market evolving from one that was driven by excess secondary supplies to that by primary production. This paper reviews the global market prices for the years 1987 until 2006 and the factors, which influence the changes in global uranium market prices. (Author)

  1. 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.

  2. Time series analysis of the behavior of brazilian natural rubber

    Directory of Open Access Journals (Sweden)

    Antônio Donizette de Oliveira

    2009-03-01

    Full Text Available The natural rubber is a non-wood product obtained of the coagulation of some lattices of forest species, being Hevea brasiliensis the main one. Native from the Amazon Region, this species was already known by the Indians before the discovery of America. The natural rubber became a product globally valued due to its multiple applications in the economy, being its almost perfect substitute the synthetic rubber derived from the petroleum. Similarly to what happens with other countless products the forecast of future prices of the natural rubber has been object of many studies. The use of models of forecast of univariate timeseries stands out as the more accurate and useful to reduce the uncertainty in the economic decision making process. This studyanalyzed the historical series of prices of the Brazilian natural rubber (R$/kg, in the Jan/99 - Jun/2006 period, in order tocharacterize the rubber price behavior in the domestic market; estimated a model for the time series of monthly natural rubberprices; and foresaw the domestic prices of the natural rubber, in the Jul/2006 - Jun/2007 period, based on the estimated models.The studied models were the ones belonging to the ARIMA family. The main results were: the domestic market of the natural rubberis expanding due to the growth of the world economy; among the adjusted models, the ARIMA (1,1,1 model provided the bestadjustment of the time series of prices of the natural rubber (R$/kg; the prognosis accomplished for the series supplied statistically adequate fittings.

  3. Inflation and Wheat Prices in Pakistan: 1990-2010

    OpenAIRE

    MUHAMMAD IRFAN JAVAID ATTARI

    2012-01-01

    This study is going to examine the relationship among consumer price index (CPI), economic performance, and wheat support prices in order to determine the level of inflation in case of Pakistan. The analysis is made on the monthly time series data from January-1990 to December-2010. The CPI is used as an inflation indicator by taking the percentage change; the GDP is used as the growth variable for measuring economic performance. The ARDL technique had been used to investigate such relationsh...

  4. Price forecasting of day-ahead electricity markets using a hybrid forecast method

    International Nuclear Information System (INIS)

    Shafie-khah, M.; Moghaddam, M. Parsa; Sheikh-El-Eslami, M.K.

    2011-01-01

    Research highlights: → A hybrid method is proposed to forecast the day-ahead prices in electricity market. → The method combines Wavelet-ARIMA and RBFN network models. → PSO method is applied to obtain optimum RBFN structure for avoiding over fitting. → One of the merits of the proposed method is lower need to the input data. → The proposed method has more accurate behavior in compare with previous methods. -- Abstract: Energy price forecasting in a competitive electricity market is crucial for the market participants in planning their operations and managing their risk, and it is also the key information in the economic optimization of the electric power industry. However, price series usually have a complex behavior due to their nonlinearity, nonstationarity, and time variancy. In this paper, a novel hybrid method to forecast day-ahead electricity price is proposed. This hybrid method is based on wavelet transform, Auto-Regressive Integrated Moving Average (ARIMA) models and Radial Basis Function Neural Networks (RBFN). The wavelet transform provides a set of better-behaved constitutive series than price series for prediction. ARIMA model is used to generate a linear forecast, and then RBFN is developed as a tool for nonlinear pattern recognition to correct the estimation error in wavelet-ARIMA forecast. Particle Swarm Optimization (PSO) is used to optimize the network structure which makes the RBFN be adapted to the specified training set, reducing computation complexity and avoiding overfitting. The proposed method is examined on the electricity market of mainland Spain and the results are compared with some of the most recent price forecast methods. The results show that the proposed hybrid method could provide a considerable improvement for the forecasting accuracy.

  5. Price forecasting of day-ahead electricity markets using a hybrid forecast method

    Energy Technology Data Exchange (ETDEWEB)

    Shafie-khah, M., E-mail: miadreza@gmail.co [Tarbiat Modares University, Tehran (Iran, Islamic Republic of); Moghaddam, M. Parsa, E-mail: parsa@modares.ac.i [Tarbiat Modares University, Tehran (Iran, Islamic Republic of); Sheikh-El-Eslami, M.K., E-mail: aleslam@modares.ac.i [Tarbiat Modares University, Tehran (Iran, Islamic Republic of)

    2011-05-15

    Research highlights: {yields} A hybrid method is proposed to forecast the day-ahead prices in electricity market. {yields} The method combines Wavelet-ARIMA and RBFN network models. {yields} PSO method is applied to obtain optimum RBFN structure for avoiding over fitting. {yields} One of the merits of the proposed method is lower need to the input data. {yields} The proposed method has more accurate behavior in compare with previous methods. -- Abstract: Energy price forecasting in a competitive electricity market is crucial for the market participants in planning their operations and managing their risk, and it is also the key information in the economic optimization of the electric power industry. However, price series usually have a complex behavior due to their nonlinearity, nonstationarity, and time variancy. In this paper, a novel hybrid method to forecast day-ahead electricity price is proposed. This hybrid method is based on wavelet transform, Auto-Regressive Integrated Moving Average (ARIMA) models and Radial Basis Function Neural Networks (RBFN). The wavelet transform provides a set of better-behaved constitutive series than price series for prediction. ARIMA model is used to generate a linear forecast, and then RBFN is developed as a tool for nonlinear pattern recognition to correct the estimation error in wavelet-ARIMA forecast. Particle Swarm Optimization (PSO) is used to optimize the network structure which makes the RBFN be adapted to the specified training set, reducing computation complexity and avoiding overfitting. The proposed method is examined on the electricity market of mainland Spain and the results are compared with some of the most recent price forecast methods. The results show that the proposed hybrid method could provide a considerable improvement for the forecasting accuracy.

  6. ARCH Models Efficiency Evaluation in Prediction and Poultry Price Process Formation

    Directory of Open Access Journals (Sweden)

    Behzad Fakari Sardehae

    2016-09-01

    Full Text Available Introduction: Poultry is an important commodity for household consumption. In recent years, price fluctuation for this commodity has caused an uncertain condition for consumers and poultry prices over the past two years has changed a lot. This has caused many changes and uncertainty in a purchase decision. Analysis of changes and volatility modeling can be a great help to predict the poultry prices and great facilities in creating appropriate policies in future. The prices of staples such as poultry consumption basket is highly variable because much of the protein is necessary for daily energy are supplied in this way to households. So when the price of chicken which has been changed over the past two years and has always been in the press and media attention, has been selected in this study. Fluctuations in price of chicken have caused a surge in consumer expectations and contributed in volatility of chicken price. Materials and Methods: In this study ARCH models have been used for daily price of poultry of Iran’s market and this was investigated for2012-13and2013-14.BecauseARCH models can model the impact of heterogeneous variance over time in time series data then the variance of time series, which is limited in time, has no time limit. Many time series are more complex than a linear patterns, thus, non-linear models are of particular importance in Economic Sciences and Econometrics. Accordingly, Engle presented that ARCH model can model the heterogeneous variance components of the error term. That is a disturbing element and modeling can help to examine and explore the relationship between the components can be found disturbing. Basically, these models fit the data to a cluster and periodic oscillations with high volatility and low volatility associated with the period. In this study, we used several different models like ARCH, GARCH, IGARCH, and TGARCH. The distribution of the error term of the model also followt-student distribution

  7. Performance Analysis of Indonesia’s Mining Sector Price Index

    Directory of Open Access Journals (Sweden)

    Hastra Reza Satyatama

    2017-07-01

    Full Text Available Subprime mortage’s crisis in United States 2008 giving effect to the global capital markets especially the stock price index of the mining sector Indonesia. This research analyzes the effect of BI Rate, exchange rate, world gold price, crude oil price, and Dow Jones Industrial Average on the stock price index of the mining sector. This research employs time series monthly data of 2009-2016 with Error Correction Model-Engle Granger (ECM-EG as the method. The analysis showed that the BI rate, exchange rate and world gold price, has a negative and significant effect. World oil prices affect positively but not significant meanwhile the Dow Jones Industrial Average has a positive and significant impact on the stock price index of the mining sector. For investors in the mining sector, should pay attention to the exchange rate of the rupiah and Dow Jones Index significantly in the mining sector of the stock price index.DOI: 10.15408/sjie.v6i2.5395 

  8. Photovoltaic System Pricing Trends. Historical, Recent, and Near-Term Projections, 2015 Edition

    Energy Technology Data Exchange (ETDEWEB)

    Feldman, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Margolis, Robert [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bolinger, Mark [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Chung, Donald [National Renewable Energy Lab. (NREL), Golden, CO (United States); Fu, Ran [National Renewable Energy Lab. (NREL), Golden, CO (United States); Seel, Joachim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Davidson, Carolyn [National Renewable Energy Lab. (NREL), Golden, CO (United States); Darghouth, Naïm [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2015-08-25

    This presentation, based on research at Lawrence Berkeley National Laboratory and the National Renewable Energy Laboratory, provides a high-level overview of historical, recent, and projected near-term PV pricing trends in the United States focusing on the installed price of PV systems. It also attempts to provide clarity surrounding the wide variety of potentially conflicting data available about PV system prices. This PowerPoint is the fourth edition from this series.

  9. The Hurst exponent in energy futures prices

    Science.gov (United States)

    Serletis, Apostolos; Rosenberg, Aryeh Adam

    2007-07-01

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

  10. Exploring the dynamics of financial markets: from stock prices to strategy returns

    International Nuclear Information System (INIS)

    Borland, Lisa

    2016-01-01

    Exploring the dynamics of financial time-series is an exciting and interesting challenge because of the many truly complex interactions that underly the price formation process. In this contribution we describe some of the anomalous statistical features of such time-series and review models of the price dynamics both across time and across the universe of stocks. In particular we discuss a non-Gaussian statistical feedback process of stock returns which we have developed over the past years with the particular application of option pricing. We then discuss a cooperative model for the correlations of stock dynamics which has its roots in the field of synergetics, where numerical simulations and comparisons with real data are presented. Finally we present summarized results of an empirical analysis probing the dynamics of actual trading strategy return streams.

  11. Silver-bearing minerals in the Xinhua hydrothermal vein-type Pb-Zn deposit, South China

    Science.gov (United States)

    Wang, Minfang; Zhang, Xubo; Guo, Xiaonan; Pi, Daohui; Yang, Meijun

    2018-02-01

    Electron probe microanalysis (EPMA) results are reported for newly identified silver-bearing minerals from the Xinhua deposit, Yunkaidashan area, South China. The Xinhua deposit is a hydrothermal vein-type Pb-Zn deposit and is hosted in the Pubei Complex, which consists of a cordierite-biotite granite with a U-Pb zircon age of 244.3 ± 1.8-251.9 ± 2.2 Ma. The mineralization process is subdivided into four mineralization stages, characterized by the following mineral associations: mineralization stage I with quartz, pyrite, and sphalerite; mineralization stage II with siderite, galena, and tetrahedrite; mineralization stage III with quartz and galena; and mineralization stage IV with quartz, calcite, and baryte. Tetrahedrite series minerals, such as freibergite, argentotetrahedrite, and tennantite are the main Ag-bearing minerals in the Xinhua deposit. The greatest concentration of silver occurs in phases from mineralization stage II. Microscopic observations reveal close relationship between galena and tetrahedrite series minerals that mostly occur as irregular inclusions within galena. The negative correlation between Cu and Ag in the lattices of tetrahedrite series minerals suggests that Cu sites are occupied by Ag atoms. Zn substitution for Fe in argentotetrahedrite and Cd substitution for Pb in tetrahedrite are also observed. Micro-thermometric data reveal that both homogenization temperatures and calculated salinities of hydrothermal fluids decrease progressively from the early to the later mineralization stages. The metal ions, such as Ag+, Cu+, Pb2+, and Zn2+, are transported as chlorine complex ions in the early mineralization stage and as bisulfide complex ions in the late mineralization stage, caused by changes in oxygen fugacity, temperature, and pH of the hydrothermal fluids. Because of the varying solubility of different metal ions, Pb2+, Zn2+, and Cu2+ ions are initially precipitated as galena, sphalerite, and chalcopyrite, respectively. With

  12. The impacts of energy prices on energy intensity: Evidence from China

    International Nuclear Information System (INIS)

    Hang, Leiming; Tu, Meizeng

    2007-01-01

    In this paper, we present a review of the deregulation of energy prices in China between 1985 and 2004 and assess the impacts of changes in energy prices on aggregate energy intensity and coal/oil/electricity intensity. We used time series data to provide estimates of energy price elasticities. Empirical results showed that: (1) The own-price elasticities of coal, oil, and aggregate energy were negative in periods both before and after 1995, implying that higher relative prices of different energy types lead to the decrease in coal, oil, and aggregate energy intensities. However, the positive own-price elasticity of electricity after 1995 probably indicates that the price effect was weaker than other factors such as income effect and population effect. (2) The impacts of energy prices were asymmetric over time. (3) Sectoral adjustment also drove the decrease in aggregate energy intensity. Although raising energy prices to boost efficiency of energy use seems to be an effective policy tool, other policy implications concerned with energy prices, such as energy supply security and fuel poverty, must also be considered

  13. High-voltage horizontal shaft squirrel cage type induction motor TOSMIGHTY{sub TM}-T98 series; Yokojiku koatsu kagogata yudo dendoki TOSMIGHTY{sub TM}-T98 series

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1999-03-01

    T98 series developed as succeeding series of T90 for as short as 2 years expanded a standardization range from 450- 630 to 450-900 in frame number, and covered a power range up to 15,000kW in 4-pole motor base. The concept of T98 series is as follows: (1) ON TIME (rapid correspondence to requests, delivery time shortest in the world), (2) ON SPEC (security for customer`s demand quality, satisfaction of various international standards), and (3) ON PRICE (compactness, space saving and reasonable price by development of elementary technologies through joint research with the research division). This series is placed as strategic series for sales promotion through the existing electronic catalog (CD-ROM) and acquisition of further BASEEFA certifications. (translated by NEDO)

  14. High-voltage horizontal shaft squirrel cage type induction motor TOSMIGHTY[sub TM]-T98 series. Yokojiku koatsu kagogata yudo dendoki TOSMIGHTY[sub TM]-T98 series

    Energy Technology Data Exchange (ETDEWEB)

    1999-03-01

    T98 series developed as succeeding series of T90 for as short as 2 years expanded a standardization range from 450- 630 to 450-900 in frame number, and covered a power range up to 15,000kW in 4-pole motor base. The concept of T98 series is as follows: (1) ON TIME (rapid correspondence to requests, delivery time shortest in the world), (2) ON SPEC (security for customer's demand quality, satisfaction of various international standards), and (3) ON PRICE (compactness, space saving and reasonable price by development of elementary technologies through joint research with the research division). This series is placed as strategic series for sales promotion through the existing electronic catalog (CD-ROM) and acquisition of further BASEEFA certifications. (translated by NEDO)

  15. Interdependencies in the energy-bioenergy-food price systems: A cointegration analysis

    International Nuclear Information System (INIS)

    Ciaian, Pavel; Kancs, d'Artis

    2011-01-01

    The present paper studies the interdependencies between the energy, bioenergy and food prices. We develop a vertically integrated multi-input, multi-output market model with two channels of price transmission: a direct biofuel channel and an indirect input channel. We test the theoretical hypothesis by applying time-series analytical mechanisms to nine major traded agricultural commodity prices, including corn, wheat, rice, sugar, soybeans, cotton, banana, sorghum and tea, along with one weighted average world crude oil price. The data consists of 783 weekly observations extending from January 1994 to December 2008. The empirical findings confirm the theoretical hypothesis that the prices for crude oil and agricultural commodities are interdependent including also commodities not directly used in bioenergy production: an increase in oil price by 1 $/barrel increases the agricultural commodity prices between 0.10 $/tonne and 1.80 $/tonne. Contrary to the theoretical predictions, the indirect input channel of price transmission is found to be small and statistically insignificant. (author)

  16. An empirical analysis of gasoline price convergence for 20 OECD countries

    Energy Technology Data Exchange (ETDEWEB)

    Bentzen, J.

    2003-07-01

    Two decades have passed now since the oil price shocks of the 1970s and since then energy prices have - apart from short periods of price instability - evolved relatively smoothly in the industrialized countries. Energy taxes in many countries differ markedly thereby causing differences in final energy prices, but as similar tax levels are becoming more common, e.g. in the European Union, convergence concerning energy prices might be expected to appear. In the present paper national gasoline price data covering the time period since the 1970s for a sample of OECD countries are used in order to test for this often addressed topic of convergence. The empirical part of the paper applies different time series based tests of convergence, where gasoline prices exhibit convergence for most OECD-Europe countries in the case where US$ is used for measurement of the energy prices indicating a convergence or tax harmonization process is taking place for these countries. (au)

  17. An empirical analysis of gasoline price convergence for 20 OECD countries

    International Nuclear Information System (INIS)

    Bentzen, J.

    2003-01-01

    Two decades have passed now since the oil price shocks of the 1970s and since then energy prices have - apart from short periods of price instability - evolved relatively smoothly in the industrialized countries. Energy taxes in many countries differ markedly thereby causing differences in final energy prices, but as similar tax levels are becoming more common, e.g. in the European Union, convergence concerning energy prices might be expected to appear. In the present paper national gasoline price data covering the time period since the 1970s for a sample of OECD countries are used in order to test for this often addressed topic of convergence. The empirical part of the paper applies different time series based tests of convergence, where gasoline prices exhibit convergence for most OECD-Europe countries in the case where US$ is used for measurement of the energy prices indicating a convergence or tax harmonization process is taking place for these countries. (au)

  18. Uranium price forecasting methods

    International Nuclear Information System (INIS)

    Fuller, D.M.

    1994-01-01

    This article reviews a number of forecasting methods that have been applied to uranium prices and compares their relative strengths and weaknesses. The methods reviewed are: (1) judgemental methods, (2) technical analysis, (3) time-series methods, (4) fundamental analysis, and (5) econometric methods. Historically, none of these methods has performed very well, but a well-thought-out model is still useful as a basis from which to adjust to new circumstances and try again

  19. Modeling and complexity of stochastic interacting Lévy type financial price dynamics

    Science.gov (United States)

    Wang, Yiduan; Zheng, Shenzhou; Zhang, Wei; Wang, Jun; Wang, Guochao

    2018-06-01

    In attempt to reproduce and investigate nonlinear dynamics of security markets, a novel nonlinear random interacting price dynamics, which is considered as a Lévy type process, is developed and investigated by the combination of lattice oriented percolation and Potts dynamics, which concerns with the instinctive random fluctuation and the fluctuation caused by the spread of the investors' trading attitudes, respectively. To better understand the fluctuation complexity properties of the proposed model, the complexity analyses of random logarithmic price return and corresponding volatility series are preformed, including power-law distribution, Lempel-Ziv complexity and fractional sample entropy. In order to verify the rationality of the proposed model, the corresponding studies of actual security market datasets are also implemented for comparison. The empirical results reveal that this financial price model can reproduce some important complexity features of actual security markets to some extent. The complexity of returns decreases with the increase of parameters γ1 and β respectively, furthermore, the volatility series exhibit lower complexity than the return series

  20. Getting rid of the unwanted: highlights of developments and challenges of biobeneficiation of iron ore minerals-a review.

    Science.gov (United States)

    Adeleke, Rasheed A

    2014-12-01

    The quest for quality mineral resources has led to the development of many technologies that can be used to refine minerals. Biohydrometallurgy is becoming an increasingly acceptable technology worldwide because it is cheap and environmentally friendly. This technology has been successfully developed for some sulphidic minerals such as gold and copper. In spite of wide acceptability of this technology, there are limitations to its applications especially in the treatment of non-sulphidic minerals such as iron ore minerals. High levels of elements such as potassium (K) and phosphorus (P) in iron ore minerals are known to reduce the quality and price of these minerals. Hydrometallurgical methods that are non-biological involving the use of chemicals are usually used to deal with this problem. However, recent advances in mining technologies favour green technologies, known as biohydrometallurgy, with minimal impact on the environment. This technology can be divided into two, namely bioleaching and biobeneficiation. This review focuses on Biobeneficiation of iron ore minerals. Biobeneficiation of iron ore is very challenging due to the low price and chemical constitution of the ore. There are substantial interests in the exploration of this technology for improving the quality of iron ore minerals. In this review, current developments in the biobeneficiation of iron ore minerals are considered, and potential solutions to challenges faced in the wider adoption of this technology are proposed.

  1. Alcohol price elasticities in control and license states in the United States, 1982-99.

    Science.gov (United States)

    Trolldal, Björn; Ponicki, William

    2005-08-01

    The demand for alcohol has been demonstrated repeatedly to be sensitive to price changes. However, estimated price elasticities vary by study region and over time. One explanation for these variations might be that different countries or parts of countries have had different alcohol control systems. The hypothesis addressed in this study was that a regulated market leads to higher transaction costs associated with purchasing alcohol, which in turn increases the full price of the beverages (the nominal cash price plus transaction costs). As a result, the cash price of alcohol represents a smaller part of the full price in a highly regulated market. Assuming that customers respond primarily to changes in full price, the demand for alcohol should be less sensitive to changes in cash price where regulation is stricter. This study examined whether variations in price elasticities were a function of the different regulatory systems in control and license states in the United States during the period 1982-99. Time-series cross-sectional analyses (in 50 states over 18 years) were conducted. Elasticities were estimated using a multiplicative model based upon first-differences of time-series within states. Disposable income and other socio-demographic variables were used as control variables. All data were obtained from archival sources. The demand for spirits and beer were significantly more sensitive to price changes in license states than in control states. The estimated price elasticity for wine sales was also somewhat larger in license states, but not significantly so. The lower price elasticities for spirits and beer in the control states support the hypothesis that customers respond primarily to changes in the full price of alcohol.

  2. Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

    NARCIS (Netherlands)

    Ruijter, M.J.; Oosterlee, C.W.

    2012-01-01

    The COS method for pricing European and Bermudan options with one underlying asset was developed in [F. Fang and C. W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826--848] and [F. Fang and C. W. Oosterlee, Numer. Math., 114 (2009), pp. 27--62]. In this paper, we extend the method to higher

  3. Price interactions and discovery among natural gas spot markets in North America

    International Nuclear Information System (INIS)

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

    2008-01-01

    Recent advances in modeling causal flows with time series analysis are used to study relationships among eight North American natural gas spot market prices. Results indicate that the Canadian and US natural gas market is a single highly integrated market. Further results indicate that price discovery tends to reflect both regions of excess demand and supply. Across North America, Malin Hub in Oregon, Chicago Hub, Illinois, Waha, Texas, and Henry Hub, Louisiana region, are the most important markets for price discovery. Opal Hub in Wyoming is an information sink in contemporaneous time, receiving price information but passing on no price information. AECO Hub in Alberta, Canada, receives price signals from several markets and passes on information to Opal and the Oklahoma region. (author)

  4. Pharmaceutical policies: effects of reference pricing, other pricing, and purchasing policies.

    Science.gov (United States)

    Acosta, Angela; Ciapponi, Agustín; Aaserud, Morten; Vietto, Valeria; Austvoll-Dahlgren, Astrid; Kösters, Jan Peter; Vacca, Claudia; Machado, Manuel; Diaz Ayala, Diana Hazbeydy; Oxman, Andrew D

    2014-10-16

    , healthcare utilisation and health outcomes or costs (expenditures); the study had to be a randomised trial, non-randomised trial, interrupted time series (ITS), repeated measures (RM) study or a controlled before-after study of a pharmaceutical pricing or purchasing policy for a large jurisdiction or system of care. Two review authors independently extracted data and assessed the risk of bias. Results were summarised in tables. There were too few comparisons with similar outcomes across studies to allow for meta-analysis or meaningful exploration of heterogeneity. We included 18 studies (seven identified in the update): 17 of reference pricing, one of which also assessed maximum prices, and one of index pricing. None of the studies were trials. All included studies used ITS or RM analyses. The quality of the evidence was low or very low for all outcomes. Three reference pricing studies reported cumulative drug expenditures at one year after the transition period. Two studies reported the median relative insurer's cumulative expenditures, on both reference drugs and cost share drugs, of -18%, ranging from -36% to 3%. The third study reported relative insurer's cumulative expenditures on total market of -1.5%. Four reference pricing studies reported median relative insurer's expenditures on both reference drugs and cost share drugs of -10%, ranging from -53% to 4% at one year after the transition period. Four reference pricing studies reported a median relative change of 15% in reference drugs prescriptions at one year (range -14% to 166%). Three reference pricing studies reported a median relative change of -39% in cost share drugs prescriptions at one year (range -87% to -17%). One study of index pricing reported a relative change of 55% (95% CI 11% to 98%) in the use of generic drugs and -43% relative change (95% CI -67% to -18%) in brand drugs at six months after the transition period. The same study reported a price change of -5.3% and -1.1% for generic and brand drugs

  5. How is perceived inflation related to actual price changes in the European Union?

    NARCIS (Netherlands)

    Antonides, G.

    2008-01-01

    We analyze for which types of consumer expenditures the rate of price change influences consumer perception of inflation. We use both harmonized consumer price indices (HCPI) and series of perceived inflation from Eurostat in the 1996¿2006 time period for 13 European countries. After removing

  6. The Australian mineral resources industry in 2006 - ongoing business and new challenges

    Energy Technology Data Exchange (ETDEWEB)

    Leschhorn, F.

    2006-08-15

    Australia has the potential to remain as a stable long-term supplier of important minerals for the entire world (Table 1). The national income of Australia is direct related to the exports of minerals and it is no wonder that the annual poker-style price negotiations for iron ore and coking coal have become the most important events on the Australian economic calendar. The 2005 price increases for the two biggest export commodities, iron ore and coal, alone have contributed to a 2% rise of the national income. The total value of exported minerals will be 91.8 bn AS in 2006/2007. This boom was mainly driven by the surge of demand from China. In addition to iron ore and coal there are also gold, copper, nickel, bauxite, and many more metals which are creating headlines. Diamond and recently uranium mining have become hot topics. Besides the big players there are hundreds of small exploration and mining companies especially in the gold and base metal sector. Australia's rich resources, social stability and economic strengths have shaped a unique investment environment which continues to attract investors from around the world. The following will give you an overview on Australia's supply potential for the most important minerals. (orig.)

  7. The oil price; Le prix du petrole

    Energy Technology Data Exchange (ETDEWEB)

    Alba, P. [Institut Francais du Petrole (IFP), 92 - Rueil-Malmaison (France)

    2000-05-01

    Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

  8. Price elasticity estimation of electricity demand in France

    International Nuclear Information System (INIS)

    Bourbonnais, Regis; Keppler, Jan Horst

    2013-10-01

    On request of the French Union of Electricity (UFE), the authors have carried out a series of econometric statistical tests in order to determine the price elasticity of electricity demand in France. The results obtained are all solid and realistic

  9. Comparative analysis of used car price evaluation models

    Science.gov (United States)

    Chen, Chuancan; Hao, Lulu; Xu, Cong

    2017-05-01

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

  10. 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).

  11. The Mineral Question: How Energy and Technology will determine the Future of Mining

    Directory of Open Access Journals (Sweden)

    Ugo eBardi

    2013-12-01

    Full Text Available Almost 150 years after that William Stanley Jevons published his paper The Coal Question (Jevons, 1866 the debate on mineral depletion has been ongoing between two main schools of thought: one that sees depletion as an important problem for the near future and another that sees technology and human ingenuity as the most important factors in making depletion a problem for the remote future. Today, however, we have created intellectual tools that permit us to frame the problem on the basis of physical factors, in particular on the basis of thermodynamics. The present paper examines the problem of mineral depletion from a broad viewpoint, with a specific view on the role of energy in the mining and production processes. The conclusion is that energy is a fundamental factor in determining how long we can expect the supply of mineral resources to last at the present prices and production levels. The rapid depletion of our main energy resources, fossil fuels, is creating a serious supply problem that is already being felt in terms of high prices of all mineral commodities. Technology can mitigate the problem, but not solve it. In a non remote future, the world's industrial system will have to undergo fundamental changes in order to adapt to a reduced supply of mineral commodities.

  12. The role of storage dynamics in annual wheat prices

    Science.gov (United States)

    Schewe, Jacob; Otto, Christian; Frieler, Katja

    2017-05-01

    Identifying the drivers of global crop price fluctuations is essential for estimating the risks of unexpected weather-induced production shortfalls and for designing optimal response measures. Here we show that with a consistent representation of storage dynamics, a simple supply-demand model can explain most of the observed variations in wheat prices over the last 40 yr solely based on time series of annual production and long term demand trends. Even the most recent price peaks in 2007/08 and 2010/11 can be explained by additionally accounting for documented changes in countries’ trade policies and storage strategies, without the need for external drivers such as oil prices or speculation across different commodity or stock markets. This underlines the critical sensitivity of global prices to fluctuations in production. The consistent inclusion of storage into a dynamic supply-demand model closes an important gap when it comes to exploring potential responses to future crop yield variability under climate and land-use change.

  13. Comparing the spot prices from Powernext and EEX

    International Nuclear Information System (INIS)

    Galli, A.; Armstrong, M.

    2005-01-01

    Powernext SA is a Multilateral Trading Facility in charge of managing the French power exchange through an optional and anonymous organised exchange. Powernext started operating on 27 November 2001. Although the German exchange, EEX, has been functioning for much longer, the two have many common points. Both use the same system for fixing the day-ahead spot price, the one developed by NordPool. In contrast to Omel in Spain, power producers in France and Germany are not obliged to sell through the exchange. In addition, the cross-border transmission lines that physically link the French and German grids, not only make the electricity supply more reliable they also allow cross-border commercial transactions which should homogenize prices in both countries. So after nearly a year of operation it is interesting to compare the spot prices on the two exchanges in order to have a better understanding of the statistical properties of the prices in the two markets and the relationship between them. This information will be used when modelling the structure of the day-ahead spot prices. The data used to carry out the study consists of the (hourly) spot prices for electricity from Powernext and EEX, for the period from 1 January 2002 to 2 December 2002. Data from the first five weeks of trading were not included because traded volumes were relatively low initially and so these data are not necessarily representative. This report is divided into four sections. The first one presents the basic statistics, starting with the histograms of all the 8064 spot prices in the 336 days, for both exchanges. In time series data, it is usual to find three types of seasonality: daily, weekly and annual. As the available data cover less than one calendar year, it is too early to attempt to study annual trends. So we limit ourselves to studying daily and weekly fluctuations. Plotting the hourly average prices for each day of the week shows some interesting differences between Powernext and

  14. 7 CFR 1124.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1124.50 Section 1124.50 Agriculture Regulations of the Department of Agriculture (Continued... prices, and advanced pricing factors. See § 1000.50. ...

  15. 7 CFR 1030.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1030.50 Section 1030.50 Agriculture Regulations of the Department of Agriculture (Continued... prices, and advanced pricing factors. See § 1000.50. ...

  16. Gas prices and price process

    International Nuclear Information System (INIS)

    Groenewegen, G.G.

    1992-01-01

    On a conference (Gas for Europe in the 1990's) during the Gasexpo '91 the author held a speech of which the Dutch text is presented here. Attention is paid to the current European pricing methods (prices based on the costs of buying, transporting and distributing the natural gas and prices based on the market value, which is deducted from the prices of alternative fuels), and the transparency of the prices (lack of information on the way the prices are determined). Also attention is paid to the market signal transparency and gas-gas competition, which means a more or less free market of gas distribution. The risks of gas-to-gas competition for a long term price stability, investment policies and security of supply are discussed. Opposition against the Third Party Access (TPA), which is the program to implement gas-to-gas competition, is caused by the fear of natural gas companies for lower gas prices and lower profits. Finally attention is paid to government regulation and the activities of the European Commission (EC) in this matter. 1 fig., 6 ills., 1 tab

  17. Stationarity changes in long-run energy commodity prices

    International Nuclear Information System (INIS)

    Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne

    2016-01-01

    Situated at the intersection of the literatures on speculative storage and non-renewable commodity scarcity, this paper considers whether changes in persistence have occurred in long-run U.S. prices of the energy commodities crude oil, natural gas and bituminous coal. We allow for a structural break when testing for a break in persistence to avoid a change in the stochastic properties of prices being confounded by an unaccounted-for deterministic shift in the price series. We find that coal prices are trend stationary throughout their evolution and that oil prices change from stationarity to non-stationarity in the decade between the late 1960s to late 1970s. The result on gas prices is ambiguous. Our results demonstrate the importance of accounting for a possible structural shift when testing for breaks in persistence, while being robust to the exact date of the structural break. Based on our analysis we caution against viewing long-run energy commodity prices as being non-stationary and conclude in favor of modeling commodity market fundamentals as stationary, meaning that speculative storage will tend to have a dampening effect on prices. We also cannot reject that long-run prices of coal and, with some hesitation, gas follow a Hotelling-type rule. In contrast, we reject the Hotelling rule for oil prices since the late 1960s/early 1970s. - Highlights: • This paper contributes to the literatures on speculative storage and scarcity. • We test if long-run U.S. coal, oil and gas prices became non-stationary. • We pre-test for structural breaks when testing for changes in persistence. • Coal prices are found to be trend stationary, oil prices become non-stationary. • We caution against modeling commodity market fundamentals as non-stationary.

  18. Oil prices: Breaks and trends

    International Nuclear Information System (INIS)

    Noguera, José

    2013-01-01

    This paper contributes to the literature of the stationarity of financial time series and the literature on oil and macroeconomics in several ways. First, it uses Kejriwal and Perron (2010) sequential procedure to endogenously determine multiple structural changes in real oil prices without facing the circular testing problem between structural changes and stationary assumptions of previous tests. Second, it performs a diagnostic check to detect the significance and magnitude of the potential breaks. Third, it uses the above information to test for the existence of stochastic trends in real oil prices, and fourth, it speculates about possible explanations for the break dates found in order to encourage further work and discussions. The exercise uses monthly data from January 1861 to August 2011. - Highlights: ► The model endogenously determine multiple structural changes in real oil prices. ► The methods used does not face the circular testing problem. ► It also detect the significance and magnitude of the breaks detected. ► It tests for the existence of stochastic trends. ► It explains the reasons for the break dates found

  19. Unit root behavior in energy futures prices

    OpenAIRE

    Serletis, Apostolos

    1992-01-01

    This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown po...

  20. Modelling prices in competitive electricity markets

    International Nuclear Information System (INIS)

    Bunn, D.W.

    2004-04-01

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

  1. Detecting a currency’s dominance using multivariate time series analysis

    Science.gov (United States)

    Syahidah Yusoff, Nur; Sharif, Shamshuritawati

    2017-09-01

    A currency exchange rate is the price of one country’s currency in terms of another country’s currency. There are four different prices; opening, closing, highest, and lowest can be achieved from daily trading activities. In the past, a lot of studies have been carried out by using closing price only. However, those four prices are interrelated to each other. Thus, the multivariate time series can provide more information than univariate time series. Therefore, the enthusiasm of this paper is to compare the results of two different approaches, which are mean vector and Escoufier’s RV coefficient in constructing similarity matrices of 20 world currencies. Consequently, both matrices are used to substitute the correlation matrix required by network topology. With the help of degree centrality measure, we can detect the currency’s dominance for both networks. The pros and cons for both approaches will be presented at the end of this paper.

  2. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

    DEFF Research Database (Denmark)

    Ergemen, Yunus Emre; Haldrup, Niels; Rodríguez-Caballero, Carlos Vladimir

    to strong seasonal periodicity, and along the cross-sectional dimension, i.e. the hours of the day, there is a strong dependence which necessarily has to be accounted for in order to avoid spurious inference when focusing on the time series dependence alone. The long-range dependence is modelled in terms...... of a fractionally integrated panel data model and it is shown that both prices and loads consist of common factors with long memory and with loadings that vary considerably during the day. Due to the competitiveness of the Nordic power market the aggregate supply curve approximates well the marginal costs...... data approaches to analyse the time series and the cross-sectional dependence of hourly Nord Pool electricity spot prices and loads for the period 2000-2013. Hourly electricity prices and loads data are characterized by strong serial long-range dependence in the time series dimension in addition...

  3. Crude Oil Price Forecasting Based on Hybridizing Wavelet Multiple Linear Regression Model, Particle Swarm Optimization Techniques, and Principal Component Analysis

    Science.gov (United States)

    Shabri, Ani; Samsudin, Ruhaidah

    2014-01-01

    Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series. PMID:24895666

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

    Science.gov (United States)

    Shabri, Ani; Samsudin, Ruhaidah

    2014-01-01

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

  5. KeyPathwayMinerWeb

    DEFF Research Database (Denmark)

    List, Markus; Alcaraz, Nicolas; Dissing-Hansen, Martin

    2016-01-01

    , for instance), KeyPathwayMiner extracts connected sub-networks containing a high number of active or differentially regulated genes (proteins, metabolites) in the molecular profiles. The web interface at (http://keypathwayminer.compbio.sdu.dk) implements all core functionalities of the KeyPathwayMiner tool set......We present KeyPathwayMinerWeb, the first online platform for de novo pathway enrichment analysis directly in the browser. Given a biological interaction network (e.g. protein-protein interactions) and a series of molecular profiles derived from one or multiple OMICS studies (gene expression...... such as data integration, input of background knowledge, batch runs for parameter optimization and visualization of extracted pathways. In addition to an intuitive web interface, we also implemented a RESTful API that now enables other online developers to integrate network enrichment as a web service...

  6. Price control survey, continued: Five countries: A South-South perspective

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    Among the developing countries, there are multiple strata today, from star performers to those seemingly stuck in self-deepening poverty. Domestic energy-pricing policy, as it will continue to play its key role in economic development, is scrutinized in this issue featuring five developing nations. They make up some of the world's have not and have little peoples, striving to participate in the world economy. The nations examined are Thailand, South Korea, Chile, Venezuela, and Bolivia. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of Dec. 20, 1991; and (2) the ED Fuel Price/Tax Series for countries of the Eastern Hemisphere, December 1991 edition

  7. International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks

    International Nuclear Information System (INIS)

    Bondia, Ripsy; Ghosh, Sajal; Kanjilal, Kakali

    2016-01-01

    Increasing greenhouse gas emissions, exhaustibility and geo-politics induced price volatility of crude oil has magnified the importance of looking for alternative sources of energy. In this paper, we investigate the long term relationship of stock prices of alternative energy companies with oil prices in a multivariate framework. To this end, we use threshold cointegration tests, which endogenously incorporate possible regime shifts in long run relationship of underlying variables. In contrast to the findings of the previous study by Managi and Okimoto (2013), our results indicate presence of cointegration among the variables with two endogenous structural breaks. This study confirms that ignoring the presence of structural breaks in a long time series data, as has been done in previous study, can produce misleading results. In terms of causality, while the stock prices of alternative energy companies are impacted by technology stock prices, oil prices and interest rates in the short run, there is no causality running towards prices of alternative energy stock prices in the long run. The study discusses the possible reasons behind the empirical findings and concludes with a discussion on short run and long run investment opportunities for the investors. - Highlights: • Cointegration between alternative energy companies stock price and oil price. • Threshold cointegration tests are employed. • Cointegration among the variables exists with two endogenous structural breaks. • Alternative energy companies stock price impacted by oil prices in short run. • No causality running towards prices of alternative energy stock prices in long run.

  8. Monetary Policy and Price Stability in Nigeria

    Directory of Open Access Journals (Sweden)

    Idoko Ahmed Itodo

    2017-06-01

    Full Text Available Irregular price changes, with its economic consequences of market risks and uncertainties, have been one of the most challenging problems facing the Nigerian economy. Successive financial sector reforms, which seek to enhance the role of monetary policy instruments in macroeconomic management, in view of the theoretical and empirical link between monetary policy and general price level, have been implemented with less than satisfactory results. This paper examines the monetary policy in stabilizing price level in Nigeria. We employ the Vector Autoregressive (VAR model, with in-built differencing to take care of unit root in these time series data, to capture this relationship. From our findings, we discover that, money supply has no significant relationship with price level in Nigeria. This, we believe, may be due to the influence of the large informal financial sector which controls a very significant fraction of money in circulation. Thus, policy reforms that would curb the influence of the informal financial sector should be implemented in order to allow the central monetary authority to work better, and enhance the role of monetary management in Nigeria.

  9. Partner Country Series: Gas Pricing - China's Challenges and IEA Experience

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2012-07-01

    China will play a positive role in the global development of gas, the International Energy Agency’s (IEA) Executive Director, Maria Van der Hoeven has said in Beijing on 11 September, 2012 when launching a new IEA report: Gas Pricing and Regulation, China’s challenges and IEA experiences. In line with its aim to meet growing energy demand while shifting away from coal, China has set an ambitious goal of doubling its use of natural gas from 2011 levels by 2015. Prospects are good for significant new supplies – both domestic and imported, conventional and unconventional – to come online in the medium-term, but notable challenges remain, particularly concerning gas pricing and the institutional and regulatory landscape. While China’s circumstances are, in many respects unique, some current issues are similar to those a number of IEA countries have faced. This report highlights some key challenges China faces in its transition to greater reliance on natural gas, then explores in detail relevant experiences from IEA countries, particularly in the United Kingdom, the Netherlands, and the United States as well as the European Union (EU). Preliminary suggestions about how lessons learned in other countries could be applied to China’s situation are offered as well. The aim of this report is to provide stakeholders in China with a useful reference as they consider decisions about the evolution of the gas sector in their country.

  10. Chaos in oil prices? Evidence from futures markets

    International Nuclear Information System (INIS)

    Adrangi, B.; Chatrath, A.; Dhanda, K.K.; Raffiee, K.

    2001-01-01

    We test for the presence of low-dimensional chaotic structure in crude oil, heating oil, and unleaded gasoline futures prices from the early 1980s. Evidence on chaos will have important implications for regulators and short-term trading strategies. While we find strong evidence of non-linear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes, with controls for seasonal variation in prices, generally explain the non-linearities in the data. We also demonstrate that employing seasonally adjusted price series contributes to obtaining robust results via the existing tests for chaotic structure. Maximum likelihood methodologies, that are robust to the non-linear dynamics, lend support for Samuelson's hypothesis on contract-maturity effects in futures price-changes. However, the tests for chaos are not found to be sensitive to the maturity effects in the futures contracts. The results are robust to controls for the oil shocks of 1986 and 1991

  11. Price Forecasting of Electricity Markets in the Presence of a High Penetration of Wind Power Generators

    Directory of Open Access Journals (Sweden)

    Saber Talari

    2017-11-01

    Full Text Available Price forecasting plays a vital role in the day-ahead markets. Once sellers and buyers access an accurate price forecasting, managing the economic risk can be conducted appropriately through offering or bidding suitable prices. In networks with high wind power penetration, the electricity price is influenced by wind energy; therefore, price forecasting can be more complicated. This paper proposes a novel hybrid approach for price forecasting of day-ahead markets, with high penetration of wind generators based on Wavelet transform, bivariate Auto-Regressive Integrated Moving Average (ARIMA method and Radial Basis Function Neural Network (RBFN. To this end, a weighted time series for wind dominated power systems is calculated and added to a bivariate ARIMA model along with the price time series. Moreover, RBFN is applied as a tool to correct the estimation error, and particle swarm optimization (PSO is used to optimize the structure and adapt the RBFN to the particular training set. This method is evaluated on the Spanish electricity market, which shows the efficiency of this approach. This method has less error compared with other methods especially when it considers the effects of large-scale wind generators.

  12. A METHODOLOGY FOR THE CHOICE OF THE BEST FITTING CONTINUOUS-TIME STOCHASTIC MODELS OF CRUDE OIL PRICE: THE CASE OF RUSSIA

    Directory of Open Access Journals (Sweden)

    Hamidreza Mostafaei

    2013-01-01

    Full Text Available In this study, it has been attempted to select the best continuous- time stochastic model, in order to describe and forecast the oil price of Russia, by information and statistics about oil price that has been available for oil price in the past. For this purpose, method of The Maximum Likelihood Estimation is implemented for estimation of the parameters of continuous-time stochastic processes. The result of unit root test with a structural break, reveals that time series of the crude oil price is a stationary series. The simulation of continuous-time stochastic processes and the mean square error between the simulated prices and the market ones shows that the Geometric Brownian Motion is the best model for the Russian crude oil price.

  13. Co-movements of Alaska North Slope and UK Brent crude oil prices

    International Nuclear Information System (INIS)

    Ewing, B.T.; Harter, C.L.

    2000-01-01

    In order to study the inter-relationships of international crude oil markets, empirical analyses are used to investigate univariate and multivariate relationships between Alaska North Slope and UK Brent oil prices. Using monthly data from the period 1974-1996, the results show that both price series follow a random walk and that these oil markets share a long-run common trend. The empirical results suggest that the two markets are 'unified'. That is, they are competitive, and there is price convergence in the markets. (author)

  14. Hydrothermal minerals

    Digital Repository Service at National Institute of Oceanography (India)

    Nath, B.N.

    flux. Circulation of seawater through the oceanic crust and upper mantle gives rise to a complex series of physical and chemical reactions that lead to the 1) formation of seafloor mineral deposits; 2) alteration of oceanic crust; 3) control... temperature in the high-temperature reaction zone near the heat source. Important parameters in determining the high- temperature fluid composition are • pressure, • temperature, • water/rock ratio, • rock composition, • recharge fluid...

  15. Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape

    International Nuclear Information System (INIS)

    Serinaldi, Francesco

    2011-01-01

    In the context of the liberalized and deregulated electricity markets, price forecasting has become increasingly important for energy company's plans and market strategies. Within the class of the time series models that are used to perform price forecasting, the subclasses of methods based on stochastic time series and causal models commonly provide point forecasts, whereas the corresponding uncertainty is quantified by approximate or simulation-based confidence intervals. Aiming to improve the uncertainty assessment, this study introduces the Generalized Additive Models for Location, Scale and Shape (GAMLSS) to model the dynamically varying distribution of prices. The GAMLSS allow fitting a variety of distributions whose parameters change according to covariates via a number of linear and nonlinear relationships. In this way, price periodicities, trends and abrupt changes characterizing both the position parameter (linked to the expected value of prices), and the scale and shape parameters (related to price volatility, skewness, and kurtosis) can be explicitly incorporated in the model setup. Relying on the past behavior of the prices and exogenous variables, the GAMLSS enable the short-term (one-day ahead) forecast of the entire distribution of prices. The approach was tested on two datasets from the widely studied California Power Exchange (CalPX) market, and the less mature Italian Power Exchange (IPEX). CalPX data allow comparing the GAMLSS forecasting performance with published results obtained by different models. The study points out that the GAMLSS framework can be a flexible alternative to several linear and nonlinear stochastic models. - Research Highlights: ► Generalized Additive Models for Location, Scale and Shape (GAMLSS) are used to model electricity prices' time series. ► GAMLSS provide the entire dynamicaly varying distribution function of prices resorting to a suitable set of covariates that drive the instantaneous values of the parameters

  16. Relating price strategies and price-setting practices

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Lans, van der I.A.

    2013-01-01

    Purpose - This article addresses the relationship between price strategies and price-setting practices. The first derive from a normative tradition in the pricing literature and the latter from a descriptive tradition. Price strategies are visible in the market, whereas price-setting practices are

  17. Short‑Term and Long‑Term Relationships Between Prices of Imported Oil and Fuel Products in the U. S.

    Directory of Open Access Journals (Sweden)

    Václav Adamec

    2016-01-01

    Full Text Available In this study, we analyzed a system of five monthly time series integrated I(1: average price of crude oil imported to the U.S. from OPEC countries (Opec, imported oil price from other than OPEC countries (NonOpec in USD per barrel, average price of regular gasoline in the U.S. (Regular, premium quality gasoline price (Premium and kerosene price (Kerosene in U.S. cents per gallon. Cointegration was established by EG test and the series were analyzed by VECM model with lag selected via BIC criterion. Cointegration rank was determined by the Johansen procedure. According to VECM coefficients, prices of oil from OPEC countries and beyond OPEC exert influence upon all commodity prices in the system, but in a contradictory manner. Responses to innovation shocks in Opec and NonOpec stabilized within 8 to 10 months upon a nonzero shift and further became permanent. Innovation shock in both types of gasoline and Kerosene had only short-term significant impact upon the system. Forecast error variance in all variables is explained mainly by variation in oil prices, especially Opec, which persists with increased horizon. For a short horizon h = 1, FEVDs in gasoline and kerosene prices are primarily made of variation in the respective fuel prices.

  18. 7 CFR 1131.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1131.53 Section 1131.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  19. 7 CFR 1005.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1005.53 Section 1005.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  20. 7 CFR 1126.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1126.53 Section 1126.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  1. 7 CFR 1032.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1032.53 Section 1032.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  2. 7 CFR 1030.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1030.53 Section 1030.53 Agriculture Regulations of the Department of Agriculture... of class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  3. 7 CFR 1033.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1033.53 Section 1033.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  4. 7 CFR 1001.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1001.53 Section 1001.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  5. 7 CFR 1007.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1007.53 Section 1007.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  6. 7 CFR 1006.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1006.53 Section 1006.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  7. A comparison between MS-VECM and MS-VECMX on economic time series data

    Science.gov (United States)

    Phoong, Seuk-Wai; Ismail, Mohd Tahir; Sek, Siok-Kun

    2014-07-01

    Multivariate Markov switching models able to provide useful information on the study of structural change data since the regime switching model can analyze the time varying data and capture the mean and variance in the series of dependence structure. This paper will investigates the oil price and gold price effects on Malaysia, Singapore, Thailand and Indonesia stock market returns. Two forms of Multivariate Markov switching models are used namely the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model (MSMH-VECM) and the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model with exogenous variable (MSMH-VECMX). The reason for using these two models are to capture the transition probabilities of the data since real financial time series data always exhibit nonlinear properties such as regime switching, cointegrating relations, jumps or breaks passing the time. A comparison between these two models indicates that MSMH-VECM model able to fit the time series data better than the MSMH-VECMX model. In addition, it was found that oil price and gold price affected the stock market changes in the four selected countries.

  8. 7 CFR 1033.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1033.50 Section 1033.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  9. 7 CFR 1005.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1005.50 Section 1005.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  10. 7 CFR 1001.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1001.50 Section 1001.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  11. 7 CFR 1006.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1006.50 Section 1006.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  12. 7 CFR 1126.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1126.50 Section 1126.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  13. 7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  14. 7 CFR 1131.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1131.50 Section 1131.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  15. 7 CFR 1007.50 - Class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1007.50 Section 1007.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

  16. 7 CFR 1124.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1124.53 Section 1124.53 Agriculture Regulations of the Department of Agriculture... Announcement of class prices, component prices, and advanced pricing factors. See § 1000.53. ...

  17. Testing For Seasonal Cointegration and Error Correction: The U.S. Pecan Price-Inventory Relationship

    OpenAIRE

    Ibrahim, Mohammed; Florkowski, Wojciech J.

    2005-01-01

    Using time series data we examine behavior of pecan prices and inventories at zero and seasonal frequencies, given results of seasonal cointegration tests. Both, seasonally unadjusted and adjusted quarterly data are used (1991-2002). Results suggest that, first, shelled and total pecan inventories and shelled pecan prices have common unit roots at both the non-seasonal and seasonal frequencies; second, there is no long run equilibrium between pecan prices and shelled or total inventories when...

  18. Multiscale synchrony behaviors of paired financial time series by 3D multi-continuum percolation

    Science.gov (United States)

    Wang, M.; Wang, J.; Wang, B. T.

    2018-02-01

    Multiscale synchrony behaviors and nonlinear dynamics of paired financial time series are investigated, in an attempt to study the cross correlation relationships between two stock markets. A random stock price model is developed by a new system called three-dimensional (3D) multi-continuum percolation system, which is utilized to imitate the formation mechanism of price dynamics and explain the nonlinear behaviors found in financial time series. We assume that the price fluctuations are caused by the spread of investment information. The cluster of 3D multi-continuum percolation represents the cluster of investors who share the same investment attitude. In this paper, we focus on the paired return series, the paired volatility series, and the paired intrinsic mode functions which are decomposed by empirical mode decomposition. A new cross recurrence quantification analysis is put forward, combining with multiscale cross-sample entropy, to investigate the multiscale synchrony of these paired series from the proposed model. The corresponding research is also carried out for two China stock markets as comparison.

  19. Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?

    International Nuclear Information System (INIS)

    Wild, Phillip; Hinich, Melvin J.; Foster, John

    2010-01-01

    In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to June 2009 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 30/06/2009 using a FORTRAN 95 program. We find the presence of significant third and fourth-order (nonlinear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data. (author)

  20. Edgeworth Price Cycles, Cost-Based Pricing, and Sticky Pricing in Retail Gasoline Markets

    OpenAIRE

    Michael D. Noel

    2007-01-01

    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 ...

  1. Are lower income smokers more price sensitive?: the evidence from Korean cigarette tax increases.

    Science.gov (United States)

    Choi, Seng Eun

    2016-03-01

    The cigarette excise taxes and the price of a typical pack of cigarettes in Korea have not increased since 2005, and effective tax rate as a fraction of price and real price of cigarettes have both been falling. As smoking prevalence is higher among lower income people than among higher income people in Korea, the regressivity of cigarette excise taxes is often cited as a barrier to tobacco tax and price policy. While studies in several other high-income countries have shown that higher income individuals are less price sensitive, few studies have examined the differential impact of cigarette tax increases by income group in Korea. Most of the Korean literature has estimated the demand for cigarettes using time-series aggregate sales data or household level survey data, which record household cigarette expenditures rather than individual cigarette consumption. Studies using survey data often lack time-series variation and estimate cigarette demand using household expenditure data, while studies using time-series aggregate sales data lack cross-sectional variation. I examine differences in the effects of cigarette price on the cigarette consumption of various income groups using individual-level cigarette consumption records from the Korea National Health and Nutrition Examination Survey (KHNNES). I also analyse the implications of cigarette taxes and price increases on the relative tax burdens of different income groups. I use pooled data from the KNHNES for the 1998-2011 period to estimate the price elasticity of cigarette consumption of four income groups. Treating cigarette consumption as a latent variable, I employ an econometric procedure that corrects for non-random sample selection, or the fact that some non-smokers might have smoked at a low enough price, and estimate the price elasticity of cigarette consumption by income group. The estimated price elasticities include the responsiveness of potential smokers as well as current smokers. Lower income Korean

  2. North American natural gas storage, market and price outlook

    International Nuclear Information System (INIS)

    George, R.

    1999-01-01

    A series of overhead viewgraphs accompanied this presentation which dealt with the fundamental factors and short-term considerations that will impact Canadian and U.S. natural gas pricing. The short-term pricing outlook and some transportation issues were also highlighted. The major transportation issues for 1999/2000 are: (1) Nova tolling, (2) incentive tolling and negotiations, (3) decontracting, (4) pipeline project schedules, and (5) land use and environmental considerations. The major supply issues are: (1) impact of oil prices on gas drilling and production, (2) impact of merger and acquisition activity, and (3) land use and environmental considerations. The major demand issues for the same time period are: (1) greenhouse gas emissions, (2) electricity restructuring, and (3) new end-use technologies. 3 tabs., 21 figs

  3. The growth of energy consumption and prices in the USA, West Germany, and the UK, 1950 to 1980

    Science.gov (United States)

    Doblin, C. P.

    1982-05-01

    The relationship between energy price and consumption was studied, especially reactions to oil price rises in the 1970's. Industrial, domestic, and road transportation energy consumption were examined. Until 1973, consumption rose steadily, while the inflation-adjusted price dropped. Immediate reaction to the two large price rises was a drop in consumption, but overall consumption continued to grow when the growth in total energy consumption was reversed. This change is due to adverse business conditions, displacement of coal by oil, oil by gas, and mineral fuels by electricity in given sectors, switches to less energy intensive activities, a change in the mix of gross national products, and weather conditions, as well as by price rises. Energy conservation measures had little impact.

  4. Competitive Pricing by a Price Leader

    OpenAIRE

    Abhik Roy; Dominique M. Hanssens; Jagmohan S. Raju

    1994-01-01

    We examine the problem of pricing in a market where one brand acts as a price leader. We develop a procedure to estimate a leader's price rule, which is optimal given a sales target objective, and allows for the inclusion of demand forecasts. We illustrate our estimation procedure by calibrating this optimal price rule for both the leader and the follower using data on past sales and prices from the mid-size sedan segment of the U.S. automobile market. Our results suggest that a leader-follow...

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

    International Nuclear Information System (INIS)

    Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana

    2016-01-01

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

  6. Crude Oil Price Forecasting Based on Hybridizing Wavelet Multiple Linear Regression Model, Particle Swarm Optimization Techniques, and Principal Component Analysis

    Directory of Open Access Journals (Sweden)

    Ani Shabri

    2014-01-01

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

  7. Interdependence between crude oil and world food prices: A detrended cross correlation analysis

    Science.gov (United States)

    Pal, Debdatta; Mitra, Subrata K.

    2018-02-01

    This article explores the changing interdependence between crude oil and world food prices at varying time scales using detrended cross correlation analysis that would answer whether the interdependence (if any) differed significantly between pre and post-crisis period. Unlike the previous studies that exogenously imposed break dates for dividing the time series into sub-samples, we tested whether the mean of the crude oil price changed over time to find evidence for structural changes in the crude oil price series and endogenously determine three break dates with minimum Bayesian information criterion scores. Accordingly, we divided the entire study period in four sample periods - January 1990 to October 1999, November 1999 to February 2005, March 2005 to September 2010, and October 2010 to July 2016, where the third sample period coincided with the period of food crisis and enabled us to compare the fuel-food interdependence across pre-crisis, during the crisis, and post-crisis periods. The results of the detrended cross correlation analysis extended corroborative evidence for increasing positive interdependence between the crude oil price and world food price index along with its sub-categories, namely dairy, cereals, vegetable oil, and sugar. The article ends with the implications of these results in the domain of food policy and the financial sector.

  8. Production of mineral ash-wool

    International Nuclear Information System (INIS)

    Micevic, Z.; Djekic, S.

    1996-01-01

    The project entitled 'Production of Mineral Ash-Wool' presents a new technology of possible use of the fly ash, generated as a waste product from the fossil fueled power plants, as a basic raw material for manufacturing of different products from a new mineral ash-wool. The wide area of mineral ash-wool application (civil engineering, industry, power generation, etc.) and the advantages of this new technology (important raw material obtained free of charge, substitution of expensive silicate stone, use of electric energy for melting instead for coke, vicinity of factory location close to the fossil fueled power plant, lower product price, reduction of environmental pollution, etc.) have resulted in the performance of the bench scale tests. Positive results have been obtained, as a good initial base for the realization of this project. The named study as an detailed analysis has been carried out for the assessment of: supply and sales market, analysis of possible and selection of an optimal location of the factory in the frame of fossil fueled power plant 'Kosovo', selection of the production capacity and alternative preliminary technical designs of the factory for the mineral ash-wool production. For the studied alternatives, specifications and capital investments evaluations for equipment and works (mechanical, civil engineering and electromechanical part) have been made as well as assessments of production costs. Based on the performed economical and financial analyses, as well as the sensitivity analyses one could be concluded that the investments in the factory for the mineral ash-wool production is highly economically acceptable. (author). 1 fig., 1 tab., 3 refs

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

    Science.gov (United States)

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

    2015-02-01

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

  10. List prices vs. bargain prices: which solution to estimate consumer price indices?

    OpenAIRE

    Carlo De Gregorio

    2010-01-01

    Alternative approaches to CPI surveys are here evaluated, in markets where final prices are based on some sort of price listing. Three types of surveys are compared: local surveys (LOC), with small samples and a local price collection; list price surveys (LIS), with huge samples and centralised collection; mixed surveys (MXD), in which LOC and LIS are jointly used. Based on a multiplicative pricing model, some conditions are derived to establish the relative efficiency of these approaches. Th...

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

    International Nuclear Information System (INIS)

    Moutinho, Victor; Vieira, Joel; Carrizo Moreira, Antonio

    2011-01-01

    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.

  12. 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.

  13. Forecasting of electricity prices with neural networks

    Energy Technology Data Exchange (ETDEWEB)

    Gareta, Raquel [Centro de Investigacion de Recursos y Consumos Energeticos (CIRCE), Universidad de Zaragoza, Centro Politecnico Superior, Maria de Luna, 3, 50018 Zaragoza (Spain); Romeo, Luis M. [Centro de Investigacion de Recursos y Consumos Energeticos (CIRCE), Universidad de Zaragoza, Centro Politecnico Superior, Maria de Luna, 3, 50018 Zaragoza (Spain)]. E-mail: luismi@unizar.es; Gil, Antonia [Centro de Investigacion de Recursos y Consumos Energeticos (CIRCE), Universidad de Zaragoza, Centro Politecnico Superior, Maria de Luna, 3, 50018 Zaragoza (Spain)

    2006-08-15

    During recent years, the electricity energy market deregulation has led to a new free competition situation in Europe and other countries worldwide. Generators, distributors and qualified clients have some uncertainties about the future evolution of electricity markets. In consequence, feasibility studies of new generation plants, design of new systems and energy management optimization are frequently postponed. The ability of forecasting energy prices, for instance the electricity prices, would be highly appreciated in order to improve the profitability of utility investments. The development of new simulation techniques, such as Artificial Intelligence (AI), has provided a good tool to forecast time series. In this paper, it is demonstrated that the Neural Network (NN) approach can be used to forecast short term hourly electricity pool prices (for the next day and two or three days after). The NN architecture and design for prices forecasting are described in this paper. The results are tested with extensive data sets, and good agreement is found between actual data and NN results. This methodology could help to improve power plant generation capacity management and, certainly, more profitable operation in daily energy pools.

  14. Forecasting of electricity prices with neural networks

    International Nuclear Information System (INIS)

    Gareta, Raquel; Romeo, Luis M.; Gil, Antonia

    2006-01-01

    During recent years, the electricity energy market deregulation has led to a new free competition situation in Europe and other countries worldwide. Generators, distributors and qualified clients have some uncertainties about the future evolution of electricity markets. In consequence, feasibility studies of new generation plants, design of new systems and energy management optimization are frequently postponed. The ability of forecasting energy prices, for instance the electricity prices, would be highly appreciated in order to improve the profitability of utility investments. The development of new simulation techniques, such as Artificial Intelligence (AI), has provided a good tool to forecast time series. In this paper, it is demonstrated that the Neural Network (NN) approach can be used to forecast short term hourly electricity pool prices (for the next day and two or three days after). The NN architecture and design for prices forecasting are described in this paper. The results are tested with extensive data sets, and good agreement is found between actual data and NN results. This methodology could help to improve power plant generation capacity management and, certainly, more profitable operation in daily energy pools

  15. Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

    OpenAIRE

    Louise M. Arthur; Colin A. Carter; Fay Abizadeh

    1988-01-01

    A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing th...

  16. Bank Share Prices and Profitability

    OpenAIRE

    Daniel Daugaard; Tom Valentine

    1993-01-01

    This paper considers the influence of economic conditions and financial markets on Australian bank share prices and profitability. It uses time series analysis to obtain an indication of the effectiveness of banks in managing their exposure to interest rates and exchange rates. The results give rise to some comments on the extent to which banks actively manage their exposure to financial and economic variables. The discussion of risk management activities necessarily raises the question of ho...

  17. Moessbauer spectroscopy of minerals. Pt. 3. Octahedral-site Fe2+ quadrupole splitting distributions in the phlogopite-annite series

    International Nuclear Information System (INIS)

    Rancourt, D.G.

    1994-01-01

    We develop the methodology of quadrupole splitting distribution (QSD) analysis by evaluating the influences of absorber thickness, absorber texture, and the asumed Lorentzian width on the extracted QSD. We then present the first study to describe the Moessbauer spectra of members of a mineral family in terms of QSDs. The Fe 2+ QSD and its characteristics (average QS, peak QS, skewness, and standard deviation) show gradual trends with changing Fe/(Fe+Mg) in a synthetic Al-deficient phlogopite-annite series. Al-deficient natural samples of phlogopite and annite show similar behaviour. The Fe 2+ QSDs can be interpreted as population distribuitions of local distortion environments (LDEs) and, as such, contain much information that will become more accessible as theoretical calculations linking particular LDEs to corresponding QS values are developed. (orig.)

  18. Multiresolution analysis of Bursa Malaysia KLCI time series

    Science.gov (United States)

    Ismail, Mohd Tahir; Dghais, Amel Abdoullah Ahmed

    2017-05-01

    In general, a time series is simply a sequence of numbers collected at regular intervals over a period. Financial time series data processing is concerned with the theory and practice of processing asset price over time, such as currency, commodity data, and stock market data. The primary aim of this study is to understand the fundamental characteristics of selected financial time series by using the time as well as the frequency domain analysis. After that prediction can be executed for the desired system for in sample forecasting. In this study, multiresolution analysis which the assist of discrete wavelet transforms (DWT) and maximal overlap discrete wavelet transform (MODWT) will be used to pinpoint special characteristics of Bursa Malaysia KLCI (Kuala Lumpur Composite Index) daily closing prices and return values. In addition, further case study discussions include the modeling of Bursa Malaysia KLCI using linear ARIMA with wavelets to address how multiresolution approach improves fitting and forecasting results.

  19. Contract Source Selection: An Analysis of Lowest Price Technically Acceptable and Tradeoff Strategies

    Science.gov (United States)

    2016-06-15

    using- spss - statistics.php Lamoureux, J., Murrow, M., & Walls, C. (2015). Relationship of source selection methods to contract outcomes: an analysis ...Contract Source Selection: an Analysis of Lowest Price Technically Acceptable and Tradeoff Strategies 15 June 2016 LCDR Jamal M. Osman, USN...ACQUISITION RESEARCH PROGRAM SPONSORED REPORT SERIES Contract Source Selection: an Analysis of Lowest Price Technically Acceptable and Tradeoff

  20. Marketing mix of chosen Slovak mineral water

    Directory of Open Access Journals (Sweden)

    Juhanová Silvia

    2001-09-01

    Full Text Available Considering its small area, Slovakia abounds in many sources of mineral waters and a considerable amount of them can be used for the commercial utilization. STN 86 8000 divides mineral waters in the natural mineral waters, natural mineral table waters and the natural mineral healing waters. Natural mineral water is, after the present norm, in effect water, which rises from natural trapped sources. This type of water contains more than 1 gram of dissolved substances or 1 gram of dissolved CO 2 in 1 litter. Natural mineral table water is water that, with its chemical composition as well as its physical and sensorial attributes is suitable as a refresher. It contains at least 1 gram of melted CO2 and up to 6 grams of dissolved illiquid substances in 1 litter. The mentioned substances are not characterised by any marked pharmacological effect. Natural mineral healing water is water, which with an eye to its chemical composition and physical properties, have a scientifically demonstrable effects to the human health and it is generally used for healing purposes. In the present contribution, an attention is orientated to the occurrence of listed types of waters in Slovakia, in connection with geological conditions of their circulation and accumulation and especially with possibilities of their use on the Slovak buyer’s market.The marketing mix is a complex of information, which can be regulated. Firms accumulate this information to satisfy a customer. Marketing mix of mineral waters includes information about four variables: product (characteristics of product, quality, packing, design..., prices, advertisement, distribution (the way how to get product to customer. Data listed in the contribution come from the sectional market research, which was performed between December 1st and December 22nd 2000 in twenty groceries in

  1. The outlook for oil prices in 1992 - results of a survey

    International Nuclear Information System (INIS)

    Hawdon, D.

    1992-01-01

    The eighth in a series of oil price expectation studies took place on 18th March 1992 at the Prospects for Oil Prices conference held at the University of Surrey. Thirty-one participants returned a questionnaire designed to elicit 12 month ahead and 5 year ahead price expectations. Respondents were asked to indicate their view of the likely price of oil in certain broad price ranges. These were selected to cover the wide variation of prices experienced since the early 1970s. The results show the 12 month's ahead expectations all clustered in the range $10 to $25 per barrel and $16-$20 as the median predicted price. In comparison with the 1991 expectations, a much higher proportion of respondents (77.4 as compared to 50% in 1991) gave $16-20 as their expected price range, whilst fewer expected prices to rise (19% compared with 46% in 1991). The stability of the 12 month ahead price expectations is a remarkable feature of a period which has witnessed much tension in the Middle East and in the former Soviet Union. This stability extends to the 5 year ahead forecasts as well. Here the median expectation is for prices to rise to the $21-25 per barrel range in money of the day terms though there is evidence of a growing scepticism about the oil market's ability to sustain higher prices in the long run. (author)

  2. Determinants of food price inflation in Finland—The role of energy

    International Nuclear Information System (INIS)

    Irz, Xavier; Niemi, Jyrki; Liu, Xing

    2013-01-01

    The agricultural commodity crisis of 2006–2008 and the recent evolution of commodity markets have reignited anxieties in Finland over fast-rising food prices and food security. Little is known about the strength of the linkages between food markets and input markets, such as the energy market. Using monthly series of price indices from 1995 to 2010, we estimate a vector error-correction (VEC) model in a cointegration framework in order to investigate the short-term and long-term dynamics of food price formation. The results indicate that a statistically significant long-run equilibrium relationship exists between the prices of food and those of the main variable inputs consumed by the food chain, namely agricultural commodities, labour, and energy. When judged by the magnitude of long-run pass-through rates, farm prices represent the main determinant of food prices, followed by wages in food retail and the price of energy. The parsimonious VEC model suggests that the dynamics of food price formation are dominated by a relatively quick process of adjustment to the long-run equilibrium, the half life of the transitional dynamics being six to eight months following a shock. - Highlights: • We investigate the dynamics of food price formation in Finland. • We establish the existence of a long-run equilibrium relationship between the prices of food, energy, agricultural commodities, and wages. • Energy price plays a significant but limited role in determining the equilibrium level of food prices

  3. Fiscal Deficits and Stock Prices in India: Empirical Evidence

    Directory of Open Access Journals (Sweden)

    Pooja Joshi

    2015-08-01

    Full Text Available The study aims at examining how fiscal deficits affect the performance of the stock market in India by using annual data from 1988–2012. The study makes use of Ng-Perron unit root tests to check the non-stationarity property of the series; the Auto Regressive Distributed Lag (ARDL bounds test and a Vector Error Correction Model (VECM for testing both short and long run dynamic relationships. The variance decomposition (VDC is used to predict the exogenous shocks of the variables. The findings of the bounds test reveal that the estimated equation and the series are co-integrated. The ARDL results suggest a long run negative relationship exists between budget deficit and stock prices and do not show any significant relationship in the short run. The VECM result shows that fiscal deficits influence the stock price only in the short run. The results of the Variance Decomposition show that stock price movement in the long run is mostly explained by shocks of fiscal deficits. The study implies that the government must adopt appropriate macroeconomic policies to reduce budget deficit, which will result in stock market growth and in turn will lead to the financial development of the country.

  4. 7 CFR 1000.53 - Announcement of class prices, component prices, and advanced pricing factors.

    Science.gov (United States)

    2010-01-01

    ... advanced pricing factors. 1000.53 Section 1000.53 Agriculture Regulations of the Department of Agriculture..., component prices, and advanced pricing factors. (a) On or before the 5th day of the month, the market... administrator for each Federal milk marketing order shall announce the following prices and pricing factors for...

  5. An analysis of the oil prices: stationary and forecasting models; Uma analise dos precos do petroleo no mercado internacional: estacionaridade e modelos de previsao

    Energy Technology Data Exchange (ETDEWEB)

    Salles, Andre A. de; Veiga, Iago E. B. da Costa; Machado, Rafael G.T. [Universidade Federal do Rio de Janeiro (UFRJ), RJ (Brazil)

    2008-07-01

    The movements of the oil prices in the international market are important for any planning, so the study of this variable is relevant for the investment and financing decisions of the production. The purpose of this work is to study the time series of the quotations of the spot prices of the crude oil in the international market. The objectives of this work are to study the movements of time series of the prices, and the returns, of the crude oil prices gives emphasis in the stationary. The other focus of this work is to develop forecasting models for the oil prices, or the returns of the oil prices. The selected sample was of the daily quotation of the prices of types WTI and Brent, for the period from January 2005 to April 2007. (author)

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

    Directory of Open Access Journals (Sweden)

    Z. Rasouli Birami

    2016-10-01

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

  7. Effect of tax laws on mineral exploration in Canada

    Energy Technology Data Exchange (ETDEWEB)

    DeYoung, Jr, J H

    1977-06-01

    It is concluded that tax law variations, rather than differences in commodity price changes, have been responsible for shifts in mineral exploration from one political region to another. This view is substantiated by the fact that decreasing mineral exploration in certain parts of Canada has coincided with increased mineral exploration in areas of the USA and in other parts of Canada, and with diversification by mining companies into non-mining activities. It is difficult to analyze separately the effect of all the different considerations facing the managers of the exploration budgets. These decision makers are concerned with the possibility of discovering ore deposits by using available methods; with the costs of finding, acquiring, developing, producing, and marketing mineral commodities; and with expected revenues from product sales. Budget-allocation decisions by those engaged in exploration are influenced by many characteristics of a region including: geology, topography, climate, population density, political structure, applicable legislation on zoning, taxation, and environmental controls, and transportation facilities. The decline in mineral exploration in Canada, particularly in British Columbia, which followed increases in taxes for mining companies has provided policymakers with several examples that should be considered in the development of future mineral policies. These examples are discussed.

  8. Ex-vessel Fish Price Database: Disaggregating Prices for Low-Priced Species from Reduction Fisheries

    Directory of Open Access Journals (Sweden)

    Travis C. Tai

    2017-11-01

    Full Text Available Ex-vessel fish prices are essential for comprehensive fisheries management and socioeconomic analyses for fisheries science. In this paper, we reconstructed a global ex-vessel price database with the following areas of improvement: (1 compiling reported prices explicitly listed as “for reduction to fishmeal and fish oil” to estimate prices separately for catches destined for fishmeal and fish oil production, and other non-direct human consumption purposes; (2 including 95% confidence limit estimates for each price estimation; and (3 increasing the number of input data and the number of price estimates to match the reconstructed Sea Around Us catch database. Our primary focus was to address this first area of improvement as ex-vessel prices for catches destined for non-direct human consumption purposes were substantially overestimated, notably in countries with large reduction fisheries. For example in Peru, 2010 landed values were estimated as 3.8 billion real 2010 USD when using separate prices for reduction fisheries, compared with 5.8 billion using previous methods with only one price for all end-products. This update of the price database has significant global and country-specific impacts on fisheries price and landed value trends over time.

  9. Forecasting European thermal coal spot prices

    Directory of Open Access Journals (Sweden)

    Alicja Krzemień

    2015-01-01

    Finally, in order to analyse the time series model performance a Generalized Regression Neural Network (GRNN was used and its performance compared against the whole AR(2 process. Empirical results obtained confirmed that there is no statistically significant difference between both methods. The GRNN analysis also allowed pointing out the main drivers that move the European Thermal Coal Spot prices: crude oil, USD/CNY change and supply side drivers.

  10. The key numbers of the mineral raw materials

    International Nuclear Information System (INIS)

    Mandil, C.

    1996-01-01

    Mineral raw materials come from fossil reserves or ores resulting from the geologic and climatic history of the Earth. The access to economic development for 80% of the worldwide population and the high rate of demographic growth (probably 8 billions of inhabitants in 2025) are important factors that can greatly multiply the worldwide consumption of ores. In parallel, environmental concerns and the increasing need for a better equilibrium between wildlife preservation and the supply of economic needs, lead to a more reasonable and mastered use of natural resources. The aim of this book is to shade light and give global elements of thoughts on mineral resources, and for the main of those (about 30 metals and mineral substances), to review the most useful data and references about their production and consumption. For each question, chapters are devoted to the situation of France in its worldwide context. One chapter concerns the uranium ores (reserves, production, prices evolution, consumption, economic flux and companies involved). (J.S.)

  11. Equal exchange: Determining a fair price for carbon

    Energy Technology Data Exchange (ETDEWEB)

    Hodes, G.; Kamel, S.

    2007-12-14

    This first volume in the new series CD4CDM Perspective Series focuses on determining an equal exchange between carbon buyers and sellers in CDM transactions. Contributors to this volume represent a wide spectrum of the various market actors that are interacting in order to realize both successful and equitable carbon transactions. The following issues are discussed: Global carbon price dynamics; CDM project risk profiles and/or premiums; Importance of time factors and delivery guarantees; Impact of regulatory drivers and post-Kyoto outlook; Region-specific outlooks; Strategies, contracting models and approaches. (BA)

  12. Oil prices and the U.S. business cycle

    International Nuclear Information System (INIS)

    Lescaroux, F.

    2006-06-01

    The recent surge in oil prices rakes up old fears and the spectre of stagflation hangs over worldwide economic growth's forecasts. After 30 years of research however analysts still disagree about the influence of oil prices on macro-economic variations and the estimations of the consequences of a costlier barrel differ. As to the United States for example, elasticities between real GDP and oil price form a wide spectrum stretching from a value close to -1% to -11,6%. In this context, we try to identify the potential sources of instability in the oil price-macro-economy relationship in order to explain the width of this range. First we draw attention to the distinction between the effects of an upward disequilibrium and of an upturn in the equilibrium in the oil price series. This distinction lets us share the range of published results in two parts: the elasticities of real American GDP with respect to an upward imbalance and with respect to a rise in the equilibrium price would lie approximately in the ranges extending, respectively, from -1% to -5,5% and from -5% to -11,6%. We direct our work towards the analysis of the consequences of short-run variations in the oil prices on the U.S. business cycle. We identify a set of influences which condition the vulnerability of an economy and then construct an econometric sectoral and non-linear model inspired from Marshall's theory. The simulations conducted let us explain the long-run weakening in the oil price-macro-economy relationship and highlight the prominent part played by imported inflation and monetary policy in the crisis of the 70's and 80's. According to the values of the structural factors in the model and to the shape of the oil price short-run disequilibrium, the elasticities evaluated cover the whole range of published elasticities. (author)

  13. Buyer and seller data from pay what you want and name your own price laboratory markets.

    Science.gov (United States)

    Krämer, Florentin; Schmidt, Klaus M; Spann, Martin; Stich, Lucas

    2017-06-01

    Pay What You Want (PWYW) and Name Your Own Price (NYOP) are customer-driven pricing mechanisms that give customers (some) pricing power and that have been used in service industries with high fixed costs to price discriminate without setting a reference price. This paper describes buyer and seller data in a series of induced-value laboratory experiments that compare PWYW and NYOP in monopoly and competitive situations. Sellers are in a one-shot interaction with buyers. Sellers using customer-driven pricing mechanisms may exogenously or endogenously receive additional promotional benefits, for instance through word-of-mouth effects. The major findings based on the data presented here are reported in the paper "Delegating Pricing Power to Customers: Pay What You Want or Name Your Own Price?" (Krämer et al., 2017) [3].

  14. Buyer and seller data from pay what you want and name your own price laboratory markets

    Directory of Open Access Journals (Sweden)

    Florentin Krämer

    2017-06-01

    Full Text Available Pay What You Want (PWYW and Name Your Own Price (NYOP are customer-driven pricing mechanisms that give customers (some pricing power and that have been used in service industries with high fixed costs to price discriminate without setting a reference price. This paper describes buyer and seller data in a series of induced-value laboratory experiments that compare PWYW and NYOP in monopoly and competitive situations. Sellers are in a one-shot interaction with buyers. Sellers using customer-driven pricing mechanisms may exogenously or endogenously receive additional promotional benefits, for instance through word-of-mouth effects. The major findings based on the data presented here are reported in the paper "Delegating Pricing Power to Customers: Pay What You Want or Name Your Own Price?" (Krämer et al., 2017 [3].

  15. Price strategy and pricing strategy: terms and content identification

    OpenAIRE

    Panasenko Tetyana

    2015-01-01

    The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.

  16. Mood and the market: can press reports of investors' mood predict stock prices?

    Science.gov (United States)

    Cohen-Charash, Yochi; Scherbaum, Charles A; Kammeyer-Mueller, John D; Staw, Barry M

    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.

  17. Time series analysis applied to construct US natural gas price functions for groups of states

    International Nuclear Information System (INIS)

    Kalashnikov, V.V.; Matis, T.I.; Perez-Valdes, G.A.

    2010-01-01

    The study of natural gas markets took a considerably new direction after the liberalization of the natural gas markets during the early 1990s. As a result, several problems and research opportunities arose for those studying the natural gas supply chain, particularly the marketing operations. Consequently, various studies have been undertaken about the econometrics of natural gas. Several models have been developed and used for different purposes, from descriptive analysis to practical applications such as price and consumption forecasting. In this work, we address the problem of finding a pooled regression formula relating the monthly figures of price and consumption volumes for each state of the United States during the last twenty years. The model thus obtained is used as the basis for the development of two methods aimed at classifying the states into groups sharing a similar price/consumption relationship: a dendrogram application, and an heuristic algorithm. The details and further applications of these grouping techniques are discussed, along with the ultimate purpose of using this pooled regression model to validate data employed in the stochastic optimization problem studied by the authors.

  18. Dynamic impacts of high oil prices on the bioethanol and feedstock markets

    International Nuclear Information System (INIS)

    Cha, Kyung Soo; Bae, Jeong Hwan

    2011-01-01

    This study investigates the impacts of high international oil prices on the bioethanol and corn markets in the US. Between 2007 and 2008, the prices of major grain crops had increased sharply, reflecting the rise in international oil prices. These dual price shocks had caused substantial harm to the global economy. Employing a structural vector auto-regression model (SVAR), we analyze how increases in international oil prices could impact the prices of and demand for corn, which is used as a major bioethanol feedstock in the US. The results indicate that an increase in the oil price would increase bioethanol demand for corn and corn prices in the short run and that corn prices would stabilize in the long run as corn exports and feedstock demand for corn decline. Consequently, policies supporting biofuels should encourage the use of bioethanol co-products for feed and the development of marginal land to mitigate increases in the feedstock price. - Research highlights: → World economy experienced 'dual shocks', which were caused by skyrocketed oil prices and grain prices between 2007 and 2008. → Sharp increases in ethanol production in response to high oil prices were considered as a major driving force to 'ag-flation' in the United States. → Applying a time series econometric tool, called the 'structural vector auto-regression model', we evaluated relationship between ethanol production and corn prices. → The result shows that ethanol production affects corn prices in the short run, while corn prices are lowered as other corn demands (feed for livestock or export demand) decline in the long run.

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

    International Nuclear Information System (INIS)

    Bennedsen, Mikkel

    2017-01-01

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

  20. Value based pricing: the least valued pricing strategy

    OpenAIRE

    Hoenen, Bob

    2017-01-01

    Pricing has been one of the least researched topics in marketing, although within these pricing strategies: cost-plus pricing is considered as the leading pricing strategy worldwide. Why should companies use such an unprofitable strategy, where fighting for a higher market share due to low prices is more a rule than exception? VBP is one of the most underestimated strategies by organizations. The definition of VBP is: 'value pricing applies to products that have the potential of being differe...

  1. 48 CFR 36.207 - Pricing fixed-price construction contracts.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Pricing fixed-price... Contracting for Construction 36.207 Pricing fixed-price construction contracts. (a) Generally, firm-fixed... methods. (b) Lump-sum pricing shall be used in preference to unit pricing except when— (1) Large...

  2. Pricing of path dependent derivatives with discretely monitored underlying assets

    Science.gov (United States)

    Choi, Hyomin

    This dissertation presents two different approaches to path dependent option pricing with discrete sampling. Provided the underlying asset of a path dependent derivative contract follows an affine process, we use the forward characteristic method to evaluate its fair price. Our study shows that the valuation method is numerically accessible as long as the contract payoff is a linear combination of log return of its underlying asset price. We compute various examples of such contracts and give contract-tailored formulas that we use in these examples. In the second part, we consider variance options under stochastic volatility model. We analyze the difference between variance option prices with discrete and continuous sampling as a function of N, the number of observations made in the former. We find the series expansion of the difference with respect to 1/N and find its leading term. By adding this leading term to the value of continuously sampled variance option, we obtain a simple and well-understood approximation of discretely sample variance option price.

  3. Price strategy and pricing strategy: terms and content identification

    Directory of Open Access Journals (Sweden)

    Panasenko Tetyana

    2015-11-01

    Full Text Available The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.

  4. Electricity price forecasting in deregulated markets: A review and evaluation

    Energy Technology Data Exchange (ETDEWEB)

    Aggarwal, Sanjeev Kumar; Saini, Lalit Mohan; Kumar, Ashwani [Department of Electrical Engineering, National Institute of Technology, Kurukshetra, Haryana (India)

    2009-01-15

    The main methodologies used in electricity price forecasting have been reviewed in this paper. The following price-forecasting techniques have been covered: (i) stochastic time series, (ii) causal models, and (iii) artificial intelligence based models. The quantitative analysis of the work done by various authors has been presented based on (a) time horizon for prediction, (b) input variables, (c) output variables, (d) results, (e) data points used for analysis, (f) preprocessing technique employed, and (g) architecture of the model. The results have been presented in the form of tables for ease of comparison. Classification of various price-influencing factors used by different researchers has been done and put for reference. Application of various models as applied to different electricity markets is also presented for consideration. (author)

  5. Electricity price forecasting in deregulated markets: A review and evaluation

    International Nuclear Information System (INIS)

    Aggarwal, Sanjeev Kumar; Saini, Lalit Mohan; Kumar, Ashwani

    2009-01-01

    The main methodologies used in electricity price forecasting have been reviewed in this paper. The following price-forecasting techniques have been covered: (i) stochastic time series, (ii) causal models, and (iii) artificial intelligence based models. The quantitative analysis of the work done by various authors has been presented based on (a) time horizon for prediction, (b) input variables, (c) output variables, (d) results, (e) data points used for analysis, (f) preprocessing technique employed, and (g) architecture of the model. The results have been presented in the form of tables for ease of comparison. Classification of various price-influencing factors used by different researchers has been done and put for reference. Application of various models as applied to different electricity markets is also presented for consideration. (author)

  6. Two-fractal overlap time series: Earthquakes and market crashes

    Indian Academy of Sciences (India)

    velocity over the other and time series of stock prices. An anticipation method for some of the crashes have been proposed here, based on these observations. Keywords. Cantor set; time series; earthquake; market crash. PACS Nos 05.00; 02.50.-r; 64.60; 89.65.Gh; 95.75.Wx. 1. Introduction. Capturing dynamical patterns of ...

  7. El efecto del precio del tabaco sobre el consumo: un análisis de datos agregados para México The effect of tobacco prices on consumption: a time series data analysis for Mexico

    Directory of Open Access Journals (Sweden)

    Rosa Itandehui Olivera-Chávez

    2010-01-01

    Full Text Available Objetivo. Estimar la elasticidad precio de la demanda de cigarros en México con base en fuentes de información y metodología distintas a las utilizadas en estudios previos sobre el tema. Material y métodos. Se utilizaron series trimestrales de consumo, ingreso y precio para el periodo de 1994 a 2005. Se estimó un modelo de demanda de largo plazo mediante mínimos cuadrados ordinarios (MCO y se investigó la existencia de una relación de cointegración. Además, se estimó un modelo mediante mínimos cuadrados ordinarios dinámicos (MCOD para corregir posibles problemas de endogeneidad de las variables independientes y autocorrelación de los residuales. Resultados. Las estimaciones mediante MCOD mostraron que un incremento del precio de los cigarros de 10% podría reducir el consumo en 2.5% (pObjective. To estimate the price elasticity of the demand for cigarettes in Mexico based on data sources and a methodology different from the ones used in previous studies on the topic. Material and Methods. Quarterly time series of consumption, income and price for the time period 1994 to 2005 were used. A long-run demand model was estimated using Ordinary Least Squares (OLS and the existence of a cointegration relationship was investigated. Also, a model using Dinamic Ordinary Least Squares (DOLS was estimated to correct for potential endogeneity of independent variables and autocorrelation of the residuals. Results. DOLS estimates showed that a 10% increase in cigarette prices could reduce consumption in 2.5% (p<0.05 and increase government revenue in 16.11%. Conclusions. The results confirmed the effectiveness of taxes as an instrument for tobacco control in Mexico. An increase in taxes can be used to increase cigarette prices and therefore to reduce consumption and increase government revenue.

  8. Logistics: Price Rises Incurred by High Oil Price

    Institute of Scientific and Technical Information of China (English)

    Lai Zhihui

    2011-01-01

    @@ "When the oil price grows by 100%, the logistic indus-try will see a price growth of 40%, while the logistics in-dustry a price rise of 35%, which means every price increase of 5% in the oil price will bring along that of 2% in this industry." said Liu Zongsheng, General Manager of Itochu Logistics Co., Ltd., on the seminar "Focusing on the eco-nomic consequences of raising oil price, interest rate and deposit reserve ratio", which was held recently.

  9. Formation and forecast of the daily price of the electric power in the chain Nare-Guatape-San Carlos

    International Nuclear Information System (INIS)

    Romero, Alejandro; Carvajal, Luis

    2003-01-01

    This work shows three different methodologies for the understanding and forecast of the electric energy prices in the chain Nare - Guatape - San Carlos: lineal multivariate model, autoregressive deterministic model and Fourier series decomposition. The electric energy price depends basically of the reservoir level and river flow, not only its own but the reservoir down and up, waters. About prices forecast, they can be modeled with an autoregressive process. Prices forecast follows the tendency and captures with acceptable precision the maximum prices due especially to the low hydrology and price variability for daily and weekly regulation reservoirs

  10. Enhancing medicine price transparency through price information mechanisms.

    Science.gov (United States)

    Hinsch, Michael; Kaddar, Miloud; Schmitt, Sarah

    2014-05-08

    Medicine price information mechanisms provide an essential tool to countries that seek a better understanding of product availability, market prices and price compositions of individual medicines. To be effective and contribute to cost savings, these mechanisms need to consider prices in their particular contexts when comparing between countries. This article discusses in what ways medicine price information mechanisms can contribute to increased price transparency and how this may affect access to medicines for developing countries. We used data collected during the course of a WHO project focusing on the development of a vaccine price and procurement information mechanism. The project collected information from six medicine price information mechanisms and interviewed data managers and technical experts on key aspects as well as observed market effects of these mechanisms.The reviewed mechanisms were broken down into categories including objective and target audience, as well as the sources, types and volumes of data included. Information provided by the mechanisms was reviewed according to data available on medicine prices, product characteristics, and procurement modalities. We found indications of positive effects on access to medicines resulting from the utilization of the reviewed mechanisms. These include the uptake of higher quality medicines, more favorable results from contract negotiations, changes in national pricing policies, and the decrease of prices in certain segments for countries participating in or deriving data from the various mechanisms. The reviewed mechanisms avoid the methodological challenges observed for medicine price comparisons that only use national price databases. They work with high quality data and display prices in the appropriate context of procurement modalities as well as the peculiarities of purchasing countries. Medicine price information mechanisms respond to the need for increased medicine price transparency and have the

  11. Dynamic Pricing

    DEFF Research Database (Denmark)

    Sharifi, Reza; Anvari-Moghaddam, Amjad; Fathi, S. Hamid

    2017-01-01

    Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes h...... of dynamic pricing can lead to increased willingness of consumers to participate in DR programs which in turn improve the operation of liberalized electricity markets.......Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes...

  12. Analysis of Options Contract, Option Pricing in Agricultural Products

    Directory of Open Access Journals (Sweden)

    H. Tamidy

    2016-03-01

    of standardizing the underlying asset 4- Impossibility of creating cross supply of the underlying asset In addition, after the introduction of the model parameters, we offers method calculating of the volatility (standard deviation price with using historical data (time series. Parameters of Blk- Scholes model are introduced and option contract of selected product will pricing. After effect of the rise and fall agreement prices (in the form of 9-defined scenario on the price of put option and sales option are studied. In this study, after forming the hypothetical option market for the Canola, option pricing is done. In this section, the criteria for selecting an appropriate asset base is expressed for option contract. The Black–Scholes model is introduced for the valuation of call option and European put option contract. After introducing the model parameters, the calculation of volatility (standard deviation of price using historical data (time series is presented .To achieve this aim, the Black – Scholes model was used under 9 strike price scenario of 5, 10, 15, 20 percent above; 5, 10, 15, and 20 percent lower and finally equal to current prices. This model was run in Excel 2010 and Derivea gem 1.5. Results and Discussion: The results showed 43% price volatility for canola that reflects uncertainty in its price. In the next stage of pricing, the purchase and sale of the selected product was done under the nine price scenarios. The results showed that the highest authority to purchase option was for scenario K1 and the highest buy option was for the K9 scenario. The least expensive buy option is K9 and the least expensive sell option is K1. Conclusion: The results show that the increase of strike price under these scenarios leads to a decrease of call option price and decrease of put option price. In addition, the farmers, businesspersons and agricultural products transforming factories with a different degree of risk disclosure can participate in these markets

  13. High-order fuzzy time-series based on multi-period adaptation model for forecasting stock markets

    Science.gov (United States)

    Chen, Tai-Liang; Cheng, Ching-Hsue; Teoh, Hia-Jong

    2008-02-01

    Stock investors usually make their short-term investment decisions according to recent stock information such as the late market news, technical analysis reports, and price fluctuations. To reflect these short-term factors which impact stock price, this paper proposes a comprehensive fuzzy time-series, which factors linear relationships between recent periods of stock prices and fuzzy logical relationships (nonlinear relationships) mined from time-series into forecasting processes. In empirical analysis, the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and HSI (Heng Seng Index) are employed as experimental datasets, and four recent fuzzy time-series models, Chen’s (1996), Yu’s (2005), Cheng’s (2006) and Chen’s (2007), are used as comparison models. Besides, to compare with conventional statistic method, the method of least squares is utilized to estimate the auto-regressive models of the testing periods within the databases. From analysis results, the performance comparisons indicate that the multi-period adaptation model, proposed in this paper, can effectively improve the forecasting performance of conventional fuzzy time-series models which only factor fuzzy logical relationships in forecasting processes. From the empirical study, the traditional statistic method and the proposed model both reveal that stock price patterns in the Taiwan stock and Hong Kong stock markets are short-term.

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

    International Nuclear Information System (INIS)

    Marossy, Z.

    2007-01-01

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

  15. Factors associated with the pricing of childhood vaccines in the U.S. public sector.

    Science.gov (United States)

    Chen, Weiwei; Messonnier, Mark; Zhou, Fangjun

    2018-02-01

    Vaccine purchase cost has grown substantially over the last few decades. A closer look at vaccine prices reveals that not all vaccines shared the same increasing pattern. Various factors, such as vaccine attributes, competition, and supply shortages, could relate to price changes. In this study, we examined whether a variety of factors influenced the prices of noninfluenza childhood vaccines purchased in the public sector from 1996 to 2014. The association differed among price-capped vaccines and combination vaccines. There was an increasing time trend in real prices for non-price-capped vaccines, which was mostly offset by the effect of market longevity. The effect of competition in lowering prices was more pronounced among non-price-capped vaccines when manufacturer and vaccine component fixed effects were excluded. Supply shortage, manufacturer name change, and number of vaccine doses in series showed no effect. The results may help policy makers better understand price behaviors and make more informed decisions in vaccine planning and financing. Copyright © 2017 John Wiley & Sons, Ltd.

  16. Prices of agricultural commodities, biofuels and fossil fuels in long-run relationships: a comparative study for the USA and Europe

    DEFF Research Database (Denmark)

    Groth, Tanja; Bentzen, Jan

    2013-01-01

    Time-series data for the USA and Europe representing prices of agricultural commodities, biofuels and fossil fuels are used for a comparative analysis of long-run price relationships. There is some evidence for cointegration between ethanol and gasoline, especially for the USA, and in the case...... of biodiesel, stronger evidence of cointegration between biodiesel, diesel and soya oil for both the USA and Europe. Finally, biofuel prices do not seem to influence agricultural commodity prices or fossil fuel prices....

  17. ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING

    Directory of Open Access Journals (Sweden)

    TÜNDE VERES

    2011-01-01

    Full Text Available The pricing methods in practice need really complex view of the business situation and depend on the strategy and market position of a company. The structure of a price seems simple: cost plus margin. Both categories are special area in the management accounting. Information about the product costs, the allocation methodologies in cost accounting, the analyzing of revenue and different level of the margin needs information from accounting system. This paper analyzes the pricing methods from management accounting aspects to show out the role of the accounting system in the short term and long term pricing and transfer pricing decisions.

  18. U–Pb, Rb–Sr, and U-series isotope geochemistry of rocks and fracture minerals from the Chalk River Laboratories site, Grenville Province, Ontario, Canada

    International Nuclear Information System (INIS)

    Neymark, L.A.; Peterman, Z.E.; Moscati, R.J.; Thivierge, R.H.

    2013-01-01

    Highlights: • AECL evaluates Chalk River Laboratories site as potential nuclear waste repository. • Isotope-geochemical data for rocks and fracture minerals at CRL site are reported. • Zircons from gneiss and granite yielded U–Pb ages of 1472 ± 14 and 1045 ± 6 Ma. • WR Rb–Sr and Pb–Pb systems do not show substantial large-scale isotopic mobility. • U-series and REE data do not support oxidizing conditions at depth in the past 1 Ma. - Abstract: As part of the Geologic Waste Management Facility feasibility study, Atomic Energy of Canada Ltd. (AECL) is evaluating the suitability of the Chalk River Laboratories (CRL) site in Ontario, situated in crystalline rock of the southwestern Grenville Province, for the possible development of an underground repository for low- and intermediate-level nuclear waste. This paper presents petrographic and trace element analyses, U–Pb zircon dating results, and Rb–Sr, U–Pb and U-series isotopic analyses of gneissic drill core samples from the deep CRG-series characterization boreholes at the CRL site. The main rock types intersected in the boreholes include hornblende–biotite (±pyroxene) gneisses of granitic to granodioritic composition, leucocratic granitic gneisses with sparse mafic minerals, and garnet-bearing gneisses with variable amounts of biotite and/or hornblende. The trace element data for whole-rock samples plot in the fields of within-plate, syn-collision, and volcanic arc-type granites in discrimination diagrams used for the tectonic interpretation of granitic rocks. Zircons separated from biotite gneiss and metagranite samples yielded SHRIMP-RG U–Pb ages of 1472 ± 14 (2σ) and 1045 ± 6 Ma, respectively, in very good agreement with widespread Early Mesoproterozoic plutonic ages and Ottawan orogeny ages in the Central Gneiss Belt. The Rb–Sr, U–Pb, and Pb–Pb whole-rock errorchron apparent ages of most of the CRL gneiss samples are consistent with zircon U–Pb age and do not indicate

  19. 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...

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

    Science.gov (United States)

    Tuncay, Çağlar

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

  1. 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

  2. PRICE GENERATING PROCESS AND VOLATILITY IN NIGERIAN AGRICULTURAL COMMODITIES MARKET

    Directory of Open Access Journals (Sweden)

    Osaihiomwan Ojogho

    2015-10-01

    Full Text Available The literature on agricultural commodity price volatility in Nigeria has constantly reflected that an excessive price movement is harmful for both producers and consumers, particularly for those who are not able to cope with that new source of economic uncertainty. It has also raised an extensive debate on the main determinants behind the large agricultural commodity price swings observed in the last years without recourse for the price generating process. To narrow this gap, the study examined the price generating process and volatility in the Nigerian agricultural commodities market using secondary data for price series on meat, cereals, sugar, dairy and aggregate food for the period of January 1990 to February 2014. The data were analysed using the linear Gaussian State-Space (SS model. The results of the descriptive statistics showed that the coefficients of variation for cereals (39.88%, food (32.65% and dairy price (43.08% were respectively higher during the overall time period (January 1990 to February 2014 than during the first (January 1990 to January 2002 and second (February 2002 to February 2014 sub-time periods. The results of the inferential statistics showed that authoregressive moving average (ARMA model is the most selected Nigeria agricultural commodity price generating model for the time periods, that a unit increase in the past price state of cereals, dairy, sugar, meat and aggregate food would increase the future price of sugar, meat and aggregate food by N0.14, N0.28 and N0.15 respectively but decrease future price of cereals and dairy by about N1.00 and N0.21 respectively, and that the one-step ahead predicted value for the first out-ofsample period for cereals, meat, dairy and sugar price were 6317.86, 10.24 and 2.06 respectively. The Nigerian agricultural commodity prices have experienced high variability over the period, and such volatility, price-generating process and the determinants of the Nigerian food commodities

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

    Directory of Open Access Journals (Sweden)

    Hyun No Kim

    2018-03-01

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

  4. Time series analysis applied to construct US natural gas price functions for groups of states

    Energy Technology Data Exchange (ETDEWEB)

    Kalashnikov, V.V. [Departamento de Ingenieria Industrial y de Sistemas, Tecnologico de Monterrey, Av. Eugenio Garza Sada 2501 Sur, Col. Tecnologico, Monterrey, Nuevo Leon, 64849 (Mexico); Matis, T.I. [Deparment of Industrial Engineering, Texas Tech University, 2500 Broadway, Lubbock, TX 79409 (United States); Perez-Valdes, G.A. [Departamento de Ingenieria Industrial y de Sistemas, Tecnologico de Monterrey, Av. Eugenio Garza Sada 2501 Sur, Col. Tecnologico, Monterrey, Nuevo Leon, 64849 (Mexico); Deparment of Industrial Engineering, Texas Tech University, 2500 Broadway, Lubbock, TX 79409 (United States)

    2010-07-15

    The study of natural gas markets took a considerably new direction after the liberalization of the natural gas markets during the early 1990s. As a result, several problems and research opportunities arose for those studying the natural gas supply chain, particularly the marketing operations. Consequently, various studies have been undertaken about the econometrics of natural gas. Several models have been developed and used for different purposes, from descriptive analysis to practical applications such as price and consumption forecasting. In this work, we address the problem of finding a pooled regression formula relating the monthly figures of price and consumption volumes for each state of the United States during the last twenty years. The model thus obtained is used as the basis for the development of two methods aimed at classifying the states into groups sharing a similar price/consumption relationship: a dendrogram application, and an heuristic algorithm. The details and further applications of these grouping techniques are discussed, along with the ultimate purpose of using this pooled regression model to validate data employed in the stochastic optimization problem studied by the authors. (author)

  5. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

    OpenAIRE

    John Y. Campbell; Robert J. Shiller

    1986-01-01

    A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for U. S. time series 1871-1986: versions using real interest rate data, aggregate re...

  6. IS THE PRICE RIGHT? PRICING FOR LONG TERM PROFITABILITY

    Directory of Open Access Journals (Sweden)

    Andrea Erika NYÁRÁDI

    2007-01-01

    Full Text Available The way how we choose our pricing strategy has a significant impact on company’s success. Nowadays companies more and more adopt a new way of thinking in pricing, namely pricing for a long term period in order to bring higher profitability, to build an efficient pricing strategy. Marketers have only recently begun to focus seriously on effective pricing. These companies are the so called progressive companies. They have begun doing more than just worrying about pricing. To increase profitability many are abandoning traditional reactive pricing procedures in favor of proactive pricing, making explicit corporate decisions to change their focus to growth in top-line sales to growth in profitability. The long-term implications of price strategies are still under-researched, and managers should be aware of shifts in customer reactions that may result from frequent adoption of certain strategies. The company pricing strategy should be seen in relation to developments in the company variables, internal ones (capital strength, competencies, organizational conditions, efficiency of the work force etc. as well as external ones (customers, competitors, the technological development etc., adopting strategic pricing. In this paper I will present the most effective pricing strategies leading to long term profitability, and also suggest practical conditions for pricing strategies to maximize profit in the long run.

  7. Patients' views on price shopping and price transparency.

    Science.gov (United States)

    Semigran, Hannah L; Gourevitch, Rebecca; Sinaiko, Anna D; Cowling, David; Mehrotra, Ateev

    2017-06-01

    Driven by the growth of high deductibles and price transparency initiatives, patients are being encouraged to search for prices before seeking care, yet few do so. To understand why this is the case, we interviewed individuals who were offered access to a widely used price transparency website through their employer. Qualitative interviews. We interviewed individuals enrolled in a preferred provider organization product through their health plan about their experience using the price transparency tool (if they had done so), their past medical experiences, and their opinions on shopping for care. All interviews were transcribed and manually coded using a thematic coding guide. In general, respondents expressed frustration with healthcare costs and had a positive opinion of the idea of price shopping in theory, but 2 sets of barriers limited their ability to do so in reality. The first was the salience of searching for price information. For example, respondents recognized that due to their health plan benefits design, they would not save money by switching to a lower-cost provider. Second, other factors were more important than price for respondents when choosing a provider, including quality and loyalty to current providers. We found a disconnect between respondents' enthusiasm for price shopping and their reported use of a price transparency tool to shop for care. However, many did find the tool useful for other purposes, including checking their claims history. Addressing the barriers to price shopping identified by respondents can help inform ongoing and future price transparency initiatives.

  8. Essays in financial transmission rights pricing

    Science.gov (United States)

    Posner, Barry

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

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

    OpenAIRE

    van Oest, R.D.; Paap, R.

    2004-01-01

    textabstractWe propose a new reference price framework for brand choice. In this framework, we employ a Markov-switching process with an absorbing state to model unobserved price recall of households. Reference prices result from the prices households are able to remember. Our model can be used to learn how many prices observed in the past are used for reference price formation. Furthermore, we learn to what extent households have sufficient price knowledge to form an internal reference price...

  10. Forecasting Day-Ahead Electricity Prices : Utilizing Hourly Prices

    NARCIS (Netherlands)

    E. Raviv (Eran); K.E. Bouwman (Kees); D.J.C. van Dijk (Dick)

    2013-01-01

    textabstractThe daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual

  11. The Determinants of House Prices and Construction: An Empirical Investigation of the Swiss Housing Economy

    DEFF Research Database (Denmark)

    Borowiecki, Karol

    2009-01-01

    This paper studies the Swiss housing price determinants. The Swiss housing economy is reproduced by employing a macro-series from the last seventeen years and constructing a vector-autoregressive model. Conditional on a comparatively broad set of fundamental determinants considered, i.e. wealth......, banking, demographic and real estate specific variables, the following findings are made: 1) real house price growth and construction activity dynamics are most sensitive to changes in population and construction prices, whereas real GDP, in contrary to common empirical findings in other countries, turns...

  12. Elicited Bid Functions in a (a)Symmetric First-Price Auctions

    NARCIS (Netherlands)

    Pezanis-Christou, P.; Sadrieh, A.

    2003-01-01

    We report on a series of experiments that examine bidding behavior in first-price sealed bid auctions with symmetric and asymmetric bidders.To study the extent of strategic behavior, we use an experimental design that elicits bidders complete bid functions in each round (auction) of the

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

    International Nuclear Information System (INIS)

    Henriques, Irene; Sadorsky, Perry

    2008-01-01

    Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices. In this paper, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices, oil prices, and interest rates. Our results show technology stock prices and oil prices each individually Granger cause the stock prices of alternative energy companies. Simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices. These results should be of use to investors, managers and policy makers. (author)

  14. Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

    OpenAIRE

    Raviv, Eran; Bouwman, Kees E.; van Dijk, Dick

    2013-01-01

    This discussion paper led to a publication in 'Energy Economics' , 2015, 50, 227-239. The daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual hours. This paper demonstrates that the disaggregated hourly prices contain useful predictive information for the daily average ...

  15. World mineral energy resources and their distribution in time and space

    International Nuclear Information System (INIS)

    Toens, P.D.; Camisani-Calzolari, F.A.G.M.; Van der Merwe, P.J.; Andreoli, M.A.G.

    1985-01-01

    If the estimated total geological potential of the world mineral energy resources is reduced to a common denominator, then the total resources are estimated at 20 600 terawatt years (TWyr). Assuming that all these resources are recoverable, and applying today's technology, they would suffice for 1 700 years under no-growth conditions and approximately 130 years assuming an annual growth rate of 3%. It should, however, be borne in mind that only about 15% (or 3 100 TWry) of the world's resources can be regarded as proved or partly proved and recoverable at current price levels and with current technology. Assuming a no-growth scenario, these resources will meet future energy requirements for a period of approximately 260 years. At a 3% annual growth rate resources will last for about 70 years. From these figures it is clear that the known mineral energy resources will be depleted in the near future. The challenge to the geologist to locate additional energy potential is enormous and in order to do so, the distribution of known resources in time and space was reappraised. The present investigation confirms the time-bound character of the mineralising processes. These took place in a series of clearly defined rhythms ranging from the early Proterozoic to the Recent. Uranium and thorium constitute the only energy resources of the Proterozoic. In contrast, the Phanerozoiceon contains the totality of fossil fuels and at least 60% of the nuclear resources; strata younger than 600 Ma therefore represent the most favourable target areas for prospecting

  16. Oil price and financial markets: Multivariate dynamic frequency analysis

    International Nuclear Information System (INIS)

    Creti, Anna; Ftiti, Zied; Guesmi, Khaled

    2014-01-01

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

  17. Higher Education Prices and Price Indexes. 1976 Supplement.

    Science.gov (United States)

    Halstead, Kent D.

    The 1976 supplement presents higher education price index data for fiscal years 1971 through 1976. The basic study, "Higher Education Prices and Price Indexes" (ED 123 996) presents complete descriptions of the indexes together with index values and price data for fiscal years 1961 through 1974. Indexes are presented for research and development,…

  18. Another look on the relationships between oil prices and energy prices

    International Nuclear Information System (INIS)

    Lahiani, Amine; Miloudi, Anthony; Benkraiem, Ramzi; Shahbaz, Muhammad

    2017-01-01

    This paper employs the Quantile Autoregressive Distributed Lags (QARDL) model developed recently by Cho et al. (2015) to investigate the pass-through of oil prices to a set of energy prices. This approach allows analyzing simultaneously short-term connections and long-run cointegrating relationships across a range of quantiles. It also provides insights on the short-run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low, medium and high quantiles. Two key findings emerge from this paper. First, all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price. Second, we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run. This paper has important policy implications for forecasters, energy policy-makers and portfolio managers. - Highlights: • The pass-through of oil prices to a set of energy prices is investigated for US economy. • All considered energy prices are shown to be cointegrated with oil price across quantiles. • Oil price is a significant predictor of individual petroleum products prices in the short run. • Oil price also predicts natural gas prices in the short run.

  19. Meta-Analysis of Price Elasticity for Urban Domestic Water Consumption in Iran

    Directory of Open Access Journals (Sweden)

    Mina Tajabadi

    2018-03-01

    Full Text Available Price elasticity plays a critical role in determining water tariff and its system. Many economic decision makers and researchers have estimated demand function for different cities in order to predict the associated income and price elasticity. In this research we reviewed 20 studies on urban domestic water demand function from which 63 price elasticity values were obtained. Since the price elasticity values obtained from these studies had significant statistical differences, the aim of this research is to determine the effective factors in price elasticity values as well as to analyze differences in such values using meta-analysis technique. The meta-analysis technique focuses on variation in water price elasticity results. The statistical meta-analysis technique focuses on two main objectives of publication bias or publication heterogeneity in reported results. The results indicated that publication bias is negligible while publication heterogeneity is significant. The major factors affecting price elasticity values are classified into 4 categories including theoretical, model, data and socio-geographical specifications. The result indicated that variables such as income, time-series datasets, natural logarithm function and use of stone-geary theory which is the basis for predicting many domestic water demand functions, significantly overestimate the price elasticity values. Also the geographical condition of the region, population density and use of OLS technique to estimate the demand parameters underestimates the price elasticity values.

  20. Non-linear forecasting in high-frequency financial time series

    Science.gov (United States)

    Strozzi, F.; Zaldívar, J. M.

    2005-08-01

    A new methodology based on state space reconstruction techniques has been developed for trading in financial markets. The methodology has been tested using 18 high-frequency foreign exchange time series. The results are in apparent contradiction with the efficient market hypothesis which states that no profitable information about future movements can be obtained by studying the past prices series. In our (off-line) analysis positive gain may be obtained in all those series. The trading methodology is quite general and may be adapted to other financial time series. Finally, the steps for its on-line application are discussed.

  1. Impact of speculator's expectations of returns and time scales of investment on crude oil price behaviors

    International Nuclear Information System (INIS)

    He, Ling-Yun; Fan, Ying; Wei, Yi-Ming

    2009-01-01

    Based on time series of crude oil prices (daily spot), this paper analyses price fluctuation with two significant parameters τ (speculators' time scales of investment) and ε (speculators' expectations of return) by using Zipf analysis technique, specifically, by mapping τ-returns of prices into 3-alphabeted sequences (absolute frequencies) and 2-alphabeted sequences (relative frequencies), containing the fundamental information of price fluctuations. This paper empirically explores parameters and identifies various types of speculators' cognition patterns of price behavior. In order to quantify the degree of distortion, a feasible reference is proposed: an ideal speculator. Finally, this paper discusses the similarities and differences between those cognition patterns of speculators' and those of an ideal speculator. The resultant analyses identify the possible distortion of price behaviors by their patterns. (author)

  2. Pricing of electricity in Indonesia

    International Nuclear Information System (INIS)

    Amarullah, M.

    1983-01-01

    The objectives of this study are 1) to establish a sound theoretical basis for the determinants of electricity demand in Indonesia, 2) to measure the welfare losses of existing electricity pricing, and 3) to suggest a method of reducing these welfare losses. An econometric model for electricity demand is estimated using pooled time-series of fifteen regions in Indonesia covering the period 1970-1979. The short run price elasticities for both residential and industrial/business sectors are found to be inelastic, while the long run price elasticities for these sectors are found to be quite elastic with a value of -.61 for the residential sector and of -1.1 for the industrial/business sector. Income elasticity is .8 in the short run and around 1.00 for the long run. The exposure variable that captures the accessibility of electricity, has long run elasticity of 1.00 for the residential sector and less than 1.00 for the industrial/business sector. Due to distributional considerations, the 1980's electricity rate was set below its efficient level, and has created a welfare loss of Rp.8273.23 million per month. This accounts for 36.03% of the monthly electricity revenue. A rebate mechanism is recommended in this study, which provides a way to mitigate conflicting aspects of efficiency and equity

  3. Mineral exploration trends and developments in 1981

    International Nuclear Information System (INIS)

    Hood, P.J.

    1982-01-01

    Mineral exploration activity worldwide in 1981 appeared to be at a slighly higher level than in previous years in spite of the continued generally depressed base metal prices. Uranium exploration activity has fallen in the past four years from a peak in 1976-77. In airborne geophysical surveying, the aeromagnetic and combined airborne electromagnetic/ magnetic techniques continued to be employed particularly in Africa. In-field data processing resulting from the incorporation of microprocessors into ground equipment has continued to increase, and computer systems for base camp use are being introduced

  4. The impact of electricity price changes on industrial prices and the general price level in Korea

    International Nuclear Information System (INIS)

    Lim, Seul-Ye; Yoo, Seung-Hoon

    2013-01-01

    Electricity has played an important role in the economic development of Korea and, thus, has become a critical factor in sustaining the well-being of the Korean people. This study attempts to investigate the impact of electricity price changes on industrial prices and the general price level using input–output (I–O) analysis. To this end, we apply the I–O price model to the 2011 I–O table recently produced by the Bank of Korea, paying particular attention to the electricity sector by considering it as exogenous and then investigating its impacts. The impacts of the electricity price changes on each industrial sector's prices and the general price level are quantitatively derived. For example, the overall impact of a 10% increase in electricity price on the Korean national economy is estimated to be 0.4367%. We also report the results from the model with the electricity sector endogenous and the model with endogenous electricity and labor sectors. This information can be usefully utilized in decision-making regarding price management for electricity. - Highlights: • We investigate the impact of electricity price changes on the Korean economy. • We use the input–output (I–O) analysis specifying the electricity sector as exogenous. • We apply the I–O price model to 2010 I–O table produced by the Bank of Korea. • The impact of a 10% increase in electricity price on the Korean economy is 0.2176%

  5. STRUCTURAL BREAKS, COINTEGRATION, AND CAUSALITY BY VECM ANALYSIS OF CRUDE OIL AND FOOD PRICE

    Directory of Open Access Journals (Sweden)

    Aynur Pala

    2013-01-01

    Full Text Available This papers investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM. Empirical results for monthly data from 1990:01 to 2011:08 indicated that evidence for breaks after 2008:08 and 2008:11. We find a clear long-run relationship between these series for the full and sub sample. Cointegration regression coefficient is negative at the 1990:01-2008:08 time period, but adversely positive at the 2008:11-2011:08 time period. This results represent that relation between crude oil and food price chanced.

  6. Assessment of the geoavailability of trace elements from minerals in mine wastes: analytical techniques and assessment of selected copper minerals

    Science.gov (United States)

    Driscoll, Rhonda; Hageman, Phillip L.; Benzel, William M.; Diehl, Sharon F.; Adams, David T.; Morman, Suzette; Choate, LaDonna M.

    2012-01-01

    In this study, four randomly selected copper-bearing minerals were examined—azurite, malachite, bornite, and chalcopyrite. The objectives were to examine and enumerate the crystalline and chemical properties of each of the minerals, to determine which, if any, of the Cu-bearing minerals might adversely affect systems biota, and to provide a multi-procedure reference. Laboratory work included use of computational software for quantifying crystalline and amorphous material and optical and electron imaging instruments to model and project crystalline structures. Chemical weathering, human fluid, and enzyme simulation studies were also conducted. The analyses were conducted systematically: X-ray diffraction and microanalytical studies followed by a series of chemical, bio-leaching, and toxicity experiments.

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

    International Nuclear Information System (INIS)

    Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar

    2010-01-01

    In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process. In this way, the model allows for mean-reversion and possible jumps. All parameters are modulated by a hidden Markov chain in discrete time. They are able to switch between different economic regimes representing the interaction of various factors. Through the application of reference probability technique, adaptive filters are derived, which in turn, provide optimal estimates for the state of the Markov chain and related quantities of the observation process. The EM algorithm is applied to find optimal estimates of the model parameters in terms of the recursive filters. We implement this self-calibrating model on a deseasonalised series of daily spot electricity prices from the Nordic exchange Nord Pool. On the basis of one-step ahead forecasts, we found that the model is able to capture the empirical characteristics of Nord Pool spot prices. (author)

  8. The Impact of Oil Price Volatility on Macroeconomic Activity in Russia

    Directory of Open Access Journals (Sweden)

    Katsuya Ito

    2010-07-01

    Full Text Available Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world’s second largest oil exporter. The purpose of this paper is to empirically examine the impact of oil prices on the macroeconomic variables in Russia using the VAR model. The time span covered by the series is from 1994:Q1 to 2009:Q3, giving 63 observations. The analysis leads to the finding that a 1% increase (decrease in oil prices contributes to the depreciation (appreciation of the exchange rate by 0.17% in the long run, whereas it leads to a 0.46% GDP growth (decline. Likewise, we find that in the short run (8 quarters rising oil prices cause not only the GDP growth and the exchange rate depreciation, but also a marginal increase in inflation rate.

  9. Price fairness

    OpenAIRE

    Diller, Hermann

    2013-01-01

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

  10. Three essays on access pricing

    Science.gov (United States)

    Sydee, Ahmed Nasim

    is intended to capture some essential characteristics of networks in which components interact with one another when combined into an integrated system. The model shows how the topology of the network determines the access prices in different components of the network. The general results that emerge from the analysis can be summarized as follows. First, the monopoly power of a pipeline operator is reduced by the entry of a new pipeline supply connected in parallel to the same demand node. When the pipelines are connected in series, the one upstream enjoys a first-move advantage over the one downstream, and the toll set by the upstream pipeline operator after entry by the downstream pipeline operator will rise above the original monopoly level. The equilibrium prices of natural gas at the various nodes of the network are also discussed. (Abstract shortened by UMI.)

  11. Effect of oil price on Nigeria’s food price volatility

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.

  12. What U.S. Data Should be Used to Measure the Price Elasticity of Demand for Alcohol?*

    Science.gov (United States)

    Ruhm, Christopher J.; Jones, Alison Snow; McGeary, Kerry Anne; Kerr, William C.; Terza, Joseph V.; Greenfield, Thomas K.; Pandian, Ravi S.

    2012-01-01

    This paper examines how estimates of the price elasticity of demand for beer vary with the choice of alcohol price series examined. Our most important finding is that the commonly used ACCRA price data are unlikely to reliably indicate alcohol demand elasticities—estimates obtained from this source vary drastically and unpredictably. As an alternative, researchers often use beer taxes to proxy for alcohol prices. While the estimated beer taxes elasticities are more stable, there are several problems with using taxes, including difficulties in accounting for cross-price effects. We believe that the most useful estimates reported in this paper are obtained using annual Uniform Product Code (UPC) “barcode” scanner data on grocery store alcohol prices. These estimates suggest relatively low demand elasticity, probably around −0.3, with evidence that the elasticities are considerably overstated in models that control for beer but not wine or spirits prices. PMID:23022631

  13. Price dscovery in the foreign exchange markets with dfferentially informed traders

    NARCIS (Netherlands)

    de Jong, F.C.J.M.; Mahieu, R.; Schotman, P.; Leeuwen, I.

    1999-01-01

    This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual banks.

  14. Reserve evaluation of minerals at NUCLEBRAS

    International Nuclear Information System (INIS)

    Marques, J.P.M.; Guerra, P.A.G.; Vinha, C.A.G. da

    1980-10-01

    The method used for the reserve evaluation of minerals, particularly of uranium, as used worldwide, and specially at NUCLEBRAS is described. This is done through a series of procedures envolving basic definitions, reserve evaluation methods (conventional, statistical and geoestatistical), data management, use of computer systems, classification and evaluation of reserves. (Author) [pt

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

    Directory of Open Access Journals (Sweden)

    Kamal Samy Selim

    2015-01-01

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

  16. Delivered Pricing, FOB Pricing, and Collusion in Spatial Markets

    OpenAIRE

    Maria Paz Espinosa

    1992-01-01

    This article examines price discrimination and collusion in spatial markets. The problem is analyzed in the context of a repeated duopoly game. I conclude that the prevailing pricing systems depend on the structural elements of the market. Delivered pricing systems emerge in equilibrium in highly monopolistic and highly competitive industries, while FOB is used in intermediate market structures. The fact driving this result is that delivered pricing policies allow spatial price discrimination...

  17. Oil industry consolidation and refined product prices. Evidence from US wholesale gasoline terminals

    International Nuclear Information System (INIS)

    Kendix, Michael; Walls, W.D.

    2010-01-01

    Our objective in this paper is to quantify the impact of petroleum industry consolidation on refined product prices, controlling for other important factors that could also impact prices. Our empirical analysis focuses on the US petroleum refining industry using data on industry consolidation and wholesale gasoline prices collected over the interval 2000-2008. We match refinery units to wholesale city-terminal gasoline markets, and then estimate pooled cross-section time-series regressions to quantify the impact of petroleum industry consolidation on wholesale gasoline prices at city-specific terminals. The results of the empirical analysis of mergers are mixed, showing that some petroleum industry mergers resulted in statistically significant increases in refined product prices; others resulted in statistically significant declines and still others had no statistical impact at all. Our analysis of the effects of measures of market concentration - one at the level of city-specific wholesale terminals and another at the level of regional spot markets - found evidence that less concentrated markets are associated with lower price levels. (author)

  18. Intra-day and regime-switching dynamics in electricity price formation

    International Nuclear Information System (INIS)

    Karakatsani, Nektaria V.; Bunn, Derek W.

    2008-01-01

    This paper analyses the complex, non-linear effects of spot price drivers in wholesale electricity markets: their intra-day dynamics and transient irregularities. The context is the UK market, after the reforms introduced in March 2001, analysed with an original set of price drivers reflecting economic, technical, strategic, risk, behavioural and market design effects. Models are estimated separately as daily time-series of the 48 half-hourly trading periods. All coefficients exhibit substantial intra-day variation, relating to the heterogeneity of operating plants and market design aspects. This reveals a market responding to economic fundamentals and plant operating properties, with learning and emergent financial characteristics, as well as some strategic manipulation of capacity, most effectively exercised by the more flexible plants. Using regime-switching parameters, the effects of capacity margin and inter-day capacity adjustment are elucidated, suggesting rent-seeking behaviour, despite the relatively low prices at the time. Overall, high-frequency, aggregate fundamental price models can usefully uncover critical aspects of market performance, evolution and agent behaviour. (author)

  19. 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.

  20. The parametric modified limited penetrable visibility graph for constructing complex networks from time series

    Science.gov (United States)

    Li, Xiuming; Sun, Mei; Gao, Cuixia; Han, Dun; Wang, Minggang

    2018-02-01

    This paper presents the parametric modified limited penetrable visibility graph (PMLPVG) algorithm for constructing complex networks from time series. We modify the penetrable visibility criterion of limited penetrable visibility graph (LPVG) in order to improve the rationality of the original penetrable visibility and preserve the dynamic characteristics of the time series. The addition of view angle provides a new approach to characterize the dynamic structure of the time series that is invisible in the previous algorithm. The reliability of the PMLPVG algorithm is verified by applying it to three types of artificial data as well as the actual data of natural gas prices in different regions. The empirical results indicate that PMLPVG algorithm can distinguish the different time series from each other. Meanwhile, the analysis results of natural gas prices data using PMLPVG are consistent with the detrended fluctuation analysis (DFA). The results imply that the PMLPVG algorithm may be a reasonable and significant tool for identifying various time series in different fields.

  1. Pricing and Trust

    DEFF Research Database (Denmark)

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

    -competitive (monopolistic) markets. We then introduce a regulated intermediate price above the oligopoly price and below the monopoly price. The effect in monopolies is more or less in line with standard intuition. As price falls volume increases and so does quality, such that overall efficiency is raised by 50%. However......We experimentally examine the effects of flexible and fixed prices in markets for experience goods in which demand is driven by trust. With flexible prices, we observe low prices and high quality in competitive (oligopolistic) markets, and high prices coupled with low quality in non...

  2. Rare-earth metal prices in the USA ca. 1960 to 1994

    Science.gov (United States)

    Hedrick, James B.

    1997-01-01

    Rare-earth metal prices were compiled from the late 1950s and early 1960s through 1994. Although commercial demand for rare-earth metals began in 1908, as the alloy mischmetal, commercial quantities of a wide range of individual rare-earth metals were not available until the late 1950s. The discovery of a large, high-grade rare-earth deposit at Mountain Pass. CA, USA, in 1949, was significant because it led to the production of commercial quantities or rare-earth elements that reduced prices and encouraged wider application of the materials. The availability of ore from Mountain Pass, and other large rare-earth deposits, especially those in Australia and China, has provided the world with abundant resources for rare-earth metal production. This availability, coupled with improved technology from Government and private-sector metallurgical research, has resulted in substantial decreases in rare-earth metal prices since the late 1950s and early 1960s. Price series for the individual rare-earth metals (except promethium) are quoted on a kilogram basis from the late 1950s and early 1960s through 1994. Prices are given in US dollars on an actual and constant dollar basis. Industrial and economic factors affecting prices during this time period are examined.

  3. Energy prices and agricultural commodity prices: Testing correlation using copulas method

    International Nuclear Information System (INIS)

    Koirala, Krishna H.; Mishra, Ashok K.; D'Antoni, Jeremy M.; Mehlhorn, Joey E.

    2015-01-01

    The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities. - Highlights: • Energy policy mandates production of 15 billion gallons of corn ethanol by 2015. • Energy-intensive agriculture has a link between energy sector and crop production costs. • We investigate correlation between energy prices and agricultural commodity prices. • Agricultural commodity and energy future prices are highly correlated. • Increase in energy price increases the price of agricultural commodity

  4. Impact of European pharmaceutical price regulation on generic price competition: a review.

    Science.gov (United States)

    Puig-Junoy, Jaume

    2010-01-01

    Although economic theory indicates that it should not be necessary to intervene in the generic drug market through price regulation, most EU countries intervene in this market, both by regulating the maximum sale price of generics (price cap) and by setting the maximum reimbursement rate, especially by means of reference pricing systems. We analyse current knowledge of the impact of direct price-cap regulation of generic drugs and the implementation of systems regulating the reimbursement rate, particularly through reference pricing and similar tools, on dynamic price competition between generic competitors in Europe. A literature search was carried out in the EconLit and PubMed databases, and on Google Scholar. The search included papers published in English or Spanish between January 2000 and July 2009. Inclusion criteria included that studies had to present empirical results of a quantitative nature for EU countries of the impact of price capping and/or regulation of the reimbursement rate (reference pricing or similar systems) on price dynamics, corresponding to pharmacy sales, in the generic drug market. The available evidence indicates that price-cap regulation leads to a levelling off of generic prices at a higher level than would occur in the absence of this regulation. Reference pricing systems cause an obvious and almost compulsory reduction in the consumer price of all pharmaceuticals subject to this system, to a varying degree in different countries and periods, the reduction being greater for originator-branded drugs than for generics. In several countries with a reference pricing system, it was observed that generics with a consumer price lower than the reference price do not undergo price reductions until the reference price is reduced, even when there are other lower-priced generics on the market (absence of price competition below the reference price). Beyond the price reduction forced by the price-cap and/or reference pricing regulation itself

  5. Quantifying exhaustible resource theory: an application to mineral taxation policy

    International Nuclear Information System (INIS)

    Ward, F.A.; Kerkvliet, J.

    1993-01-01

    The paper presents the results of a dynamic nonlinear programming model of a mineral resource market with several features of heterogeneous quality in the mineral, links with related product markets, incorporation of institutional constraints, resource allocations for each year in the planning period, and analysis of outcomes under various severance tax rates. The model computes privately efficient competitive use paths to perform cost-benefit analysis of public mineral policies. Policy variables are evaluated for their impact on both private behaviour and public benefits. The application is to New Mexico's linked coal and electric power markets. Findings reveal that scarcity rents are currently 4% of coal's price, and peak at 27% in 43 years. Increasing the present 1 dollar/ton New Mexico severance tax to 11 dollars reduces current annual coal output by 25%, prolongs the life of the state's coal industry by three years, and increases discounted severance tax revenues by 850% or 4.2 billion dollars. 38 refs., 2 figs., 4 tabs

  6. Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series

    Science.gov (United States)

    Pal, Mayukha; Madhusudana Rao, P.; Manimaran, P.

    2014-12-01

    We apply the recently developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation behavior and fractal nature between two non-stationary time series. We analyze the daily return price of gold, West Texas Intermediate and Brent crude oil, foreign exchange rate data, over a period of 18 years. The cross correlation has been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the results, the existence of multifractal cross-correlation between all of these time series is found. We also found that the cross correlation between gold and oil prices possess uncorrelated behavior and the remaining bivariate time series possess persistent behavior. It was observed for five bivariate series that the cross-correlation exponents are less than the calculated average generalized Hurst exponents (GHE) for q0 and for one bivariate series the cross-correlation exponent is greater than GHE for all q values.

  7. Understanding Price Controls and Non-Price Competition with Matching Theory

    OpenAIRE

    Hatfield, John William; Plott, Charles R.; Tanaka, Tomomi

    2012-01-01

    We develop a quality competition model to understand how price controls affect market outcomes in buyer-seller markets with discrete goods of varying quality. While competitive equilibria do not necessarily exist in such markets when price controls are imposed, we show that stable outcomes do exist and characterize the set of stable outcomes in the presence of price restrictions. In particular, we show that price controls induce non-price competition: price floors induce the trade of ineffici...

  8. Separated influence of crude oil prices on regional natural gas import prices

    International Nuclear Information System (INIS)

    Ji, Qiang; Geng, Jiang-Bo; Fan, Ying

    2014-01-01

    This paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model. It also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices. The results show that both global economic activity and international crude oil prices have significant long-term positive effects on regional natural gas import prices. The volatility of international crude oil prices has a negative impact on regional natural gas import prices. The shock impact is weak in North America, lags in Europe and is most significant in Asia, which is mainly determined by different regional policies for price formation. In addition, the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism, of which the decrease impact is relatively stronger. - Highlights: • Impacts of world economy and oil prices on regional natural gas prices are analysed • North American natural gas prices are mainly affected by world economy • Asian and European natural gas prices are mainly affected by oil prices • The volatility of oil prices has a negative impact on regional natural gas prices • The response of natural gas import prices to oil prices up and down shows asymmetry

  9. Partner Country Series: Gas Pricing - China's Challenges and IEA Experience

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2012-07-01

    China will play a positive role in the global development of gas, the International Energy Agency’s (IEA) Executive Director, Maria Van der Hoeven has said in Beijing on 11 September, 2012 when launching a new IEA report: Gas Pricing and Regulation, China’s challenges and IEA experiences. In line with its aim to meet growing energy demand while shifting away from coal, China has set an ambitious goal of doubling its use of natural gas from 2011 levels by 2015. Prospects are good for significant new supplies – both domestic and imported, conventional and unconventional – to come online in the medium-term, but notable challenges remain, particularly concerning gas pricing and the institutional and regulatory landscape. While China’s circumstances are, in many respects unique, some current issues are similar to those a number of IEA countries have faced. This report highlights some key challenges China faces in its transition to greater reliance on natural gas, then explores in detail relevant experiences from IEA countries, particularly in the United Kingdom, the Netherlands, and the United States as well as the European Union (EU). Preliminary suggestions about how lessons learned in other countries could be applied to China’s situation are offered as well. The aim of this report is to provide stakeholders in China with a useful reference as they consider decisions about the evolution of the gas sector in their country.

  10. Randomness confidence bands of fractal scaling exponents for financial price returns

    International Nuclear Information System (INIS)

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

    2016-01-01

    Highlights: • A robust test for randomness of price returns is proposed. • The DFA scaling exponent is contrasted against confidence bands for random sequences. • The size of the band depends of the sequence length. • Crude oil and USA stock markets have been rarely inefficient. - Abstract: The weak-form of the efficient market hypothesis (EMH) establishes that price returns behave as a pure random process and so their outcomes cannot be forecasted. The detrended fluctuation analysis (DFA) has been widely used to test the weak-form of the EMH by showing that time series of price returns are serially uncorrelated. In this case, the DFA scaling exponent exhibits deviations from the theoretical value of 0.5. This work considers the test of the EMH for DFA implementation on a sliding window, which is an approach that is intended to monitor the evolution of markets. Under these conditions, the scaling exponent exhibits important variations over the scrutinized period that can offer valuable insights in the behavior of the market provided the estimated scaling value is kept within strict statistical tests to verify the presence or not of serial correlations in the price returns. In this work, the statistical tests are based on comparing the estimated scaling exponent with the values obtained from pure Gaussian sequences with the length of the real time series. In this way, the presence of serial correlations can be guaranteed only in terms of the confidence bands of a pure Gaussian process. The crude oil (WTI) and the USA stock (DJIA) markets are used to illustrate the methodology.

  11. Price Density Forecasts in the U.S. Hog Market: Composite Procedures

    NARCIS (Netherlands)

    Trujillo Barrera, A.A.; Garcia, P.; Mallory, M.

    2013-01-01

    Abstract We develop and evaluate quarterly out-of-sample individual and composite density forecasts for U.S. hog prices using data from 1975.I to 2010.IV. Individual forecasts are generated from time series models and the implied distribution of USDA outlook forecasts. Composite density forecasts

  12. Price performance following stock's IPO in different price limit systems

    Science.gov (United States)

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

    2018-01-01

    An IPO burst occurred in China's stock markets in 2015, while price limit trading rules usually help to reduce the short-term trading mania on individual stocks. It is interesting to make clear the function of the price limits after IPOs. We firstly make a statistical analysis based on all the IPO stocks listed from 1990 to 2015. A high dependency exists between the activities in stock's IPO and various market environment. We also focus on the price dynamics in the first 40 trading days after the stock listed. We find that price limit system will delay the price movement, especially for the up-trend movements, which may lead to longer continuous price limit hits. Similar to our previous work, many results such as ;W; shape can be also observed in the future daily return after the price limit open. At last, we find most IPO measures show evident correlations with the following price limit hits. IPO stocks with lower first-day turnover and earning per share will be followed with a longer continuous price limit hits and lower future daily return under the newest trading rules, which give us a good way to estimate the occurrence of price limit hits and the following price dynamics. Our analysis provides a better understanding of the price dynamics after IPO events and offers potential practical values for investors.

  13. Gas Price Formation, Structure and Dynamics

    Energy Technology Data Exchange (ETDEWEB)

    Davoust, R.

    2008-07-01

    similar paradigm. Gas-to-gas competition now prevails. Long-term contracting is still the dominant model in Continental Europe and Northeast Asia, because of their dependence on external imports. Thus, pricing there is more rigid, and due to an indexing clause, gas prices closely follow the tendency of oil markets (as we will see further, American and British prices are also coupled to oil, but for less contractual reasons). Logically, the first part of our study analyses North American gas prices, the second part European prices and the third part Asian prices. Since American and British gas markets exhibit the same nature and similar pricing features, it would be more relevant to treat them together. However, if these two markets are close conceptually, there is no specific price connection between them. Indeed, due to the presence of the Interconnector, a pipeline passing under the Channel, UK prices tend to be rather linked to the European Continent's. Therefore, in our paper, the case of the UK is simply studied inside Europe, although in a dedicated paragraph. While observing mid and long-period price series, we will obviously seek common trends, since price integration (convergence or simple correlation) is generally evidence in favor of market integration. Price indications will thus guide us with a view to answer two crucial questions: 1) Did liberalization policies succeed in the US and EU, in their attempt to make natural gas a freely traded commodity? 2) Is a world market for gas emerging? In other words, is natural gas becoming a worldwide traded commodity? The first question concerns intra-regional integration of markets: common price trends between local spot markets (in the case of the US), between member states (in the case of EU), and between piped gas and LNG (in both cases). The second question concerns inter-regional integration of markets. In this view, the case of LNG will be of an overriding importance. Indeed, the higher technical flexibility

  14. Gas Price Formation, Structure and Dynamics

    International Nuclear Information System (INIS)

    Davoust, R.

    2008-01-01

    similar paradigm. Gas-to-gas competition now prevails. Long-term contracting is still the dominant model in Continental Europe and Northeast Asia, because of their dependence on external imports. Thus, pricing there is more rigid, and due to an indexing clause, gas prices closely follow the tendency of oil markets (as we will see further, American and British prices are also coupled to oil, but for less contractual reasons). Logically, the first part of our study analyses North American gas prices, the second part European prices and the third part Asian prices. Since American and British gas markets exhibit the same nature and similar pricing features, it would be more relevant to treat them together. However, if these two markets are close conceptually, there is no specific price connection between them. Indeed, due to the presence of the Interconnector, a pipeline passing under the Channel, UK prices tend to be rather linked to the European Continent's. Therefore, in our paper, the case of the UK is simply studied inside Europe, although in a dedicated paragraph. While observing mid and long-period price series, we will obviously seek common trends, since price integration (convergence or simple correlation) is generally evidence in favor of market integration. Price indications will thus guide us with a view to answer two crucial questions: 1) Did liberalization policies succeed in the US and EU, in their attempt to make natural gas a freely traded commodity? 2) Is a world market for gas emerging? In other words, is natural gas becoming a worldwide traded commodity? The first question concerns intra-regional integration of markets: common price trends between local spot markets (in the case of the US), between member states (in the case of EU), and between piped gas and LNG (in both cases). The second question concerns inter-regional integration of markets. In this view, the case of LNG will be of an overriding importance. Indeed, the higher technical flexibility of

  15. Exchange rate prediction with multilayer perceptron neural network using gold price as external factor

    Directory of Open Access Journals (Sweden)

    Mohammad Fathian

    2012-04-01

    Full Text Available In this paper, the problem of predicting the exchange rate time series in the foreign exchange rate market is going to be solved using a time-delayed multilayer perceptron neural network with gold price as external factor. The input for the learning phase of the artificial neural network are the exchange rate data of the last five days plus the gold price in two different currencies of the exchange rate as the external factor for helping the artificial neural network improving its forecast accuracy. The five-day delay has been chosen because of the weekly cyclic behavior of the exchange rate time series with the consideration of two holidays in a week. The result of forecasts are then compared with using the multilayer peceptron neural network without gold price external factor by two most important evaluation techniques in the literature of exchange rate prediction. For the experimental analysis phase, the data of three important exchange rates of EUR/USD, GBP/USD, and USD/JPY are used.

  16. Estimating the commodity market price of risk for energy prices

    International Nuclear Information System (INIS)

    Kolos, Sergey P.; Ronn, Ehud I.

    2008-01-01

    The purpose of this paper is to estimate the ''market price of risk'' (MPR) for energy commodities, the ratio of expected return to standard deviation. The MPR sign determines whether energy forward prices are upward- or downward-biased predictors of expected spot prices. We estimate MPRs using spot and futures prices, while accounting for the Samuelson effect. We find long-term MPRs generally positive and short-term negative, consistent with positive energy betas and hedging, respectively. In spot electricity markets, MPRs in Day-Ahead Prices agree with short-dated futures. Our results relate risk premia to informed hedging decisions, and futures prices to forecast/expected prices. (author)

  17. Oil price and food price volatility dynamics: The case of Nigeria

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the long and short run relationships between oil price and food price volatility as well as the causal link between them. The study used annual food price volatility index from FAO from 2000 to 2013 and crude oil price from U.S. Energy Information and Administration (EIA from 2000 to 2013. The Johansen and Jesulius co-integration test revealed that there is a long run relationship between oil price and domestic food price volatility. The vector error correction model indicated a positive and significant short run relationship between oil price and food price volatility. The Granger causality test revealed a unidirectional causality with causality running from oil price to food price volatility but not vice versa. It is recommended that policies and interventions that will help reduce uncertainty about food prices such as improved market information, trade policies and investment in research and development among others should be encouraged. Also to reduce the effect of oil price shock, it is recommended that government should subsidise pump price of refined oil, seek alternative sources of energy and there should be less dependence on oil for fertilizer production.

  18. Value and depreciation of mineral resources over the very long run: An empirical contrast of different methods

    OpenAIRE

    Rubio Varas, M. del Mar

    2005-01-01

    The paper contrasts empirically the results of alternative methods for estimating the value and the depreciation of mineral resources. The historical data of Mexico and Venezuela, covering the period 1920s-1980s, is used to contrast the results of several methods. These are the present value, the net price method, the user cost method and the imputed income method. The paper establishes that the net price and the user cost are not competing methods as such, but alternative adjustments to diff...

  19. Assessment of critical minerals: Updated application of an early-warning screening methodology

    Science.gov (United States)

    McCullough, Erin A.; Nassar, Nedal

    2017-01-01

    Increasing reliance on non-renewable mineral resources reinforces the need for identifying potential supply constraints before they occur. The US National Science and Technology Council recently released a report that outlines a methodology for screening potentially critical minerals based on three indicators: supply risk (R), production growth (G), and market dynamics (M). This early-warning screening was initially applied to 78 minerals across the years 1996 to 2013 and identified a subset of minerals as “potentially critical” based on the geometric average of these indicators—designated as criticality potential (C). In this study, the screening methodology has been updated to include data for 2014, as well as to incorporate revisions and modifications to the data, where applicable. Overall, C declined in 2014 for the majority of minerals examined largely due to decreases in production concentration and price volatility. However, the results vary considerably across minerals, with some minerals, such as gallium, recording increases for all three indicators. In addition to assessing magnitudinal changes, this analysis also examines the significance of the change relative to historical variation for each mineral. For example, although mined nickel’s R declined modestly in 2014 in comparison to that of other minerals, it was by far the largest annual change recorded for mined nickel across all years examined and is attributable to Indonesia’s ban on the export of unprocessed minerals. Based on the 2014 results, 20 minerals with the highest C values have been identified for further study including the rare earths, gallium, germanium, rhodium, tantalum, and tungsten.

  20. The effects of the energy price reform on households consumption in Iran

    International Nuclear Information System (INIS)

    Moshiri, Saeed

    2015-01-01

    The substantial subsidizing of energy prices over the years has led to high energy consumption, inefficiencies, fiscal pressures, and environmental problems in Iran. To address the increasing socio-economic problems associated with the energy subsidies, the government embarked on an aggressive energy price reform through which energy subsidies were removed and cash handouts were given to all households in 2010. In this paper, I analyze the effectiveness of the energy price reform in Iran by estimating energy demand elasticities for households in different income groups. I apply a two-stage consumer optimization model and estimate the system of energy expenditures shares using the household budget survey data for the period 2001–2008. The results show that the overall price elasticities of demand are small, but income elasticities are close to one. The results also indicate heterogeneous responses to energy price and income changes in different income groups. Specifically, the urban households show stronger response to price changes, but rural households, particularly mid-income households, to income changes. These findings suggest that the current policy of price increases would not solely be able to reduce energy consumption and, therefore, it should be geared towards increasing energy efficiency through a series of price and non-price measures. - Highlights: • The effectiveness of the recent energy price reform in Iran is analyzed. • Energy demand elasticities for households in different income groups are estimated. • A two-stage optimization model was applied to estimate the system of equations using micro-data for 2001–2008. • The price elasticities are small and income elasticities rather large, but responses are heterogeneous. • A price and non-price reform policy package is needed for different income groups and regions

  1. Volatility Analysis of Bitcoin Price Time Series

    Directory of Open Access Journals (Sweden)

    Lukáš Pichl

    2017-12-01

    Full Text Available Bitcoin has the largest share in the total capitalization of cryptocurrency markets currently reaching above 70 billion USD. In this work we focus on the price of Bitcoin in terms of standard currencies and their volatility over the last five years. The average day-to-day return throughout this period is 0.328%, amounting in exponential growth from 6 USD to over 4,000 USD per 1 BTC at present. Multi-scale analysis is performed from the level of the tick data, through the 5 min, 1 hour and 1 day scales. Distribution of trading volumes (1 sec, 1 min, 1 hour and 1 day aggregated from the Kraken BTCEUR tick data is provided that shows the artifacts of algorithmic trading (selling transactions with volume peaks distributed at integer multiples of BTC unit. Arbitrage opportunities are studied using the EUR, USD and CNY currencies. Whereas the arbitrage spread for EUR-USD currency pair is found narrow at the order of a percent, at the 1 hour sampling period the arbitrage spread for USD-CNY (and similarly EUR-CNY is found to be more substantial, reaching as high as above 5 percent on rare occasions. The volatility of BTC exchange rates is modeled using the day-to-day distribution of logarithmic return, and the Realized Volatility, sum of the squared logarithmic returns on 5-minute basis. In this work we demonstrate that the Heterogeneous Autoregressive model for Realized Volatility Andersen et al. (2007 applies reasonably well to the BTCUSD dataset. Finally, a feed-forward neural network with 2 hidden layers using 10-day moving window sampling daily return predictors is applied to estimate the next-day logarithmic return. The results show that such an artificial neural network prediction is capable of approximate capture of the actual log return distribution; more sophisticated methods, such as recurrent neural networks and LSTM (Long Short Term Memory techniques from deep learning may be necessary for higher prediction accuracy.

  2. Oil price reduction impacts on the Iranian economy

    Directory of Open Access Journals (Sweden)

    Abdollah Mahmoodi

    2017-12-01

    Full Text Available economy. In order to simulate this shock, the global trade analysis project (GTAP model with its data done by using. In the new created data aggregation, oil exporting in Iran and the rest of the world countries as economic new regions, ten new economic sectors have been created, among which the oil is introduced as one sector as well as five endowments. The standard economic closure was changed, and decline in world oil price was simulated in model as a policy shock. The results show that oil export revenue and the mineral commodity export earnings will decrease, but other production sectors’ exports will increase. The trade balance of Iran will be affected negatively and strongly. Also, oil and other services production decreased. In the production sectors’ market, the demand for labor, natural resources, and investment decreased dramatically, and the demand for land increased. Using equivalent variation (EV, changes in Iran’s welfare is high negative. Finally, deflation, reduction in value and quantity of GDP and changes in consumption combination from public to private sector are the other economic impacts of reduction in oil price on Iran’s economic. It is suggested that future studies are done using dynamic models and up-to-date data. In addition, policy makers need to rebound internationally and within OPEC to raise oil prices.

  3. Why do stumpage prices increase more than lumber prices?

    Science.gov (United States)

    William G. Luppold; John E. Baumgras; John E. Baumgras

    1998-01-01

    Every sawmiller who has been in business more than 5 years realizes that hardwood stumpage prices tend to increase faster than lumber prices, decreasing the margin between these two prices. Although increases in stumpage versus lumber prices are readily apparent, the reason for the decrease in the margin is not. Recent research findings indicate that the stumpage/...

  4. What U.S. data should be used to measure the price elasticity of demand for alcohol?

    Science.gov (United States)

    Ruhm, Christopher J; Jones, Alison Snow; McGeary, Kerry Anne; Kerr, William C; Terza, Joseph V; Greenfield, Thomas K; Pandian, Ravi S

    2012-12-01

    This paper examines how estimates of the price elasticity of demand for beer vary with the choice of alcohol price series examined. Our most important finding is that the commonly used ACCRA price data are unlikely to reliably indicate alcohol demand elasticities-estimates obtained from this source vary drastically and unpredictably. As an alternative, researchers often use beer taxes to proxy for alcohol prices. While the estimated beer taxes elasticities are more stable, there are several problems with using taxes, including difficulties in accounting for cross-price effects. We believe that the most useful estimates reported in this paper are obtained using annual Uniform Product Code (UPC) "barcode" scanner data on grocery store alcohol prices. These estimates suggest relatively low demand elasticity, probably around -0.3, with evidence that the elasticities are considerably overstated in models that control for beer but not wine or spirits prices. Copyright © 2012 Elsevier B.V. All rights reserved.

  5. Understanding price discovery in interconnected markets: Generalized Langevin process approach and simulation

    Science.gov (United States)

    Schenck, Natalya A.; Horvath, Philip A.; Sinha, Amit K.

    2018-02-01

    While the literature on price discovery process and information flow between dominant and satellite market is exhaustive, most studies have applied an approach that can be traced back to Hasbrouck (1995) or Gonzalo and Granger (1995). In this paper, however, we propose a Generalized Langevin process with asymmetric double-well potential function, with co-integrated time series and interconnected diffusion processes to model the information flow and price discovery process in two, a dominant and a satellite, interconnected markets. A simulated illustration of the model is also provided.

  6. THE ENVIRONMENTAL IMPACT OF THE DELIVERY OF MINERAL RAW MATERIALS USED FOR BUILDING MATERIALS PRODUCTION TO THE CITY OF ZAGREB AND THE ZAGREB COUNTY

    Directory of Open Access Journals (Sweden)

    Karolina Novak

    2011-12-01

    Full Text Available Mineral raw material transport directly affects a product’s unit price and exhaust gases amounts. Transportation length is proportional to raw material price; its low price enables short transportation distances only. Taking into account stone aggregates delivered to Zagreb, the consequence of exploitation fields closure in the Zagreb area, particularly within the Medvednica Nature Park, we tried to answer the question of the impact of transport distances on the greenhouse gas emissions. Certain models will present environmental impact of the stone aggregate transportation and of nearby city quarries. The generally accepted public opinion on the closure of nearby city quarries as the best solution to environmental pollution will have to be reviewed. Mining works are predestined by mineral resources sites and limited by real possibilities and intentions of the community, therefore the experts, i.e. miners, geologists and other geoscientists, should be actively involved in spatial planning. During the years of intensive construction, millions of tons have been delivered from distances up to 100 km. The question arises whether some more rational solutions could be generated by more appropriate spatial planning? (the paper is published in Croatian

  7. Option pricing: Stock price, stock velocity and the acceleration Lagrangian

    Science.gov (United States)

    Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

    2014-12-01

    The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

  8. Complex Price Dynamics in the Modified Kaldorian Model

    Czech Academy of Sciences Publication Activity Database

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

    2013-01-01

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

  9. Electron microprobe investigations of ore minerals of the Altenberg tin deposit (Erzgebirge, GDR). 3

    International Nuclear Information System (INIS)

    Foerster, H.J.; Hunger, H.J.; Grimm, L.

    1987-01-01

    Members of the scheelite-powellite solid solution series filling thin fractures or mantling wolframite were found in association with fluorite within a small polymineralic quartz vein traversing a topaz-protolithionite-quartz greisen. The composition of the mixed-crystal series determined by means of an automated ARL SEMQ energy-dispersive electron microprobe is characterized by a great variability and heterogeneity which has not previously been reported from any specimen nor from this special mode of occurrence yet. With an amount of powellite component between 3.2 and 58 mole percent, the molybdoscheelites from Altenberg show the today known extent of complete miscibility in the natural scheelite-powellite series. Final remarks deal with the possibilities of using the mineral series, together with some other tungsten minerals, as an indicator of the physicochemical conditions of ore formation. (author)

  10. Consistent Estimation of Pricing Kernels from Noisy Price Data

    OpenAIRE

    Vladislav Kargin

    2003-01-01

    If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator is also consistent. Keywords: $\\epsilon$-entropy, non-parametric estimation, pricing kernel, inverse problems.

  11. Data Mining on Romanian Stock Market Using Neural Networks for Price Prediction

    Directory of Open Access Journals (Sweden)

    Magdalena Daniela NEMES

    2013-01-01

    Full Text Available Predicting future prices by using time series forecasting models has become a relevant trading strategy for most stock market players. Intuition and speculation are no longer reliable as many new trading strategies based on artificial intelligence emerge. Data mining represents a good source of information, as it ensures data processing in a convenient manner. Neural networks are considered useful prediction models when designing forecasting strategies. In this paper we present a series of neural networks designed for stock exchange rates forecasting applied on three Romanian stocks traded on the Bucharest Stock Exchange (BSE. A multistep ahead strategy was used in order to predict short-time price fluctuations. Later, the findings of our study can be integrated with an intelligent multi-agent system model which uses data mining and data stream processing techniques for helping users in the decision making process of buying or selling stocks.

  12. Estimating the long-run equilibrium relationship. The case of city-gate and residential natural gas prices

    International Nuclear Information System (INIS)

    Arano, Kathleen; Velikova, Marieta

    2010-01-01

    This paper examines market cointegration of city-gate and residential natural gas prices. Cointegration of gas prices across different segments of the industry provides evidence that deregulation has resulted into a more integrated, competitive natural gas industry where gas prices converge into a long-run equilibrium. Our results indicate prices further down the distribution line, the final two points of consumption, are cointegrated for a majority of the US states post open access and retail unbundling, although we find little evidence of perfect market integration. The two price series likewise converge to the long-run equilibrium faster post open access and retail unbundling. Results relative to state level unbundling (choice programs) reveal mixed outcomes with a few states without retail unbundling exhibiting market integration while some states with full unbundling exhibiting non-cointegration. (author)

  13. 48 CFR 216.203 - Fixed-price contracts with economic price adjustment.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 3 2010-10-01 2010-10-01 false Fixed-price contracts with economic price adjustment. 216.203 Section 216.203 Federal Acquisition Regulations System DEFENSE... CONTRACTS Fixed-Price Contracts 216.203 Fixed-price contracts with economic price adjustment. ...

  14. Petroleum and mineral resources of Antarctica

    Science.gov (United States)

    Kovar, Karel; Behrendt, John Charles

    1983-01-01

    No known petroleum or mineral resources occur in Antarctica. The data on these subjects have been collected, mainly since the IGY (International Geophysical Year), 1957-58, as a part of other research carried out by geologists and geophysicists from a number of countries. Specific resource-related studies have not been made. Wright and Williams (1974) summarized what was known of Antarctic mineral resources a decade ago.The U.S. Geological Survey has been actively pursuing various investigations in Antarctica since 194 7. In the course of this work and that of our colleagues elsewhere in the United States and in other countries, much information relevant to petroleum and mineral resources has been obtained. Since 1976, modern state-of-the-art multichannel seismic reflection and aeromagnetic surveys by several countries over the continental margin of Antarctica have indicated thick sedimentary basins. However, no offshore drilling beneath the continental shelf has taken place since the DSDP (Deep Sea Drilling Project) holes in the Ross Sea in 1973. Geologic field investigations begun at the turn of the twentieth century have been intensified in the past two decades; most rock outcrops have been visited and samples collected. Technology to exploit resources, particularly in the Arctic, has been developing at a rapid rate, and much of it could be applied to Antarctica. As a result of the petroleum price increases of the past decade, the attention of a number of countries has turned to Antarctica, but under the policy of "voluntary restraint" adopted by the Antarctic Treaty nations, no active petroleum or mineral exploration is taking place. The Antarctic treaty countries are in the process of negotiating an Antarctic mineral resources regime that is anticipated to be completed within the next several years. Therefore it seemed timely to us to readdress the question of petroleum and mineral resources. These reports review and summarize the available information. The

  15. Branding Raw Material to Improve Human Rights: Intel’s Ban on Conflict Minerals

    Directory of Open Access Journals (Sweden)

    Osburg Thomas

    2016-05-01

    Full Text Available Many companies seek to take over more responsibility for their supply chain and their raw materials. Intel was one of the first companies investigating the origin of conflict minerals like tin, tantalum, gold or tungsten, which are used in many electronic products. Their path to ultimately offering conflict-free microprocessors took more than five years of consistent preparation and intensive reengineering of the business process. They identified smelters as a bottleneck in the supply chain and started cooperating closely with them to trace their minerals’ supply. By developing a bag-and-tag system the company is now able to ensure that their minerals are not sourced from illegal mines, which often finance illegal warlords, for example, in the eastern Democratic Republic of Congo. The cooperation with the smelters brings about higher demand and in consequence higher prices for the legally sourced minerals. Many small miners and their families in the region directly benefit from the higher earnings.

  16. Attaining Sustainable Growth in Nigeria: Any Role for Solid Mineral Development?

    Directory of Open Access Journals (Sweden)

    Richardson Kojo Edeme

    2018-03-01

    Full Text Available Using time series such as GDP per capita, solid minerals output, foreign trade balance, domestic interest rate, inflation, and gross domestic savings, for the period 1960-2015. the Linear Growth Regression model adopted for this study indicates that solid minerals positively impact on sustainable growth and is statistically significant. The study also found that solid mineral is highly significant but negatively related with foreign exchange due largely to illegal migration of mineral commodities across the borders of the country. In view of this, there is need for conscious inter-agency collaboration to track the volume of mineral resources illegally escaping the shores of the country without being accounted for. Besides, there should be more attention on developing the solid mineral sector to help insulate the economy from the vagaries of the present economic woes given the rising demand in solid mineral resources globally.

  17. Price transmission in the Swiss wheat market: does sophisticated border protection make the difference?

    OpenAIRE

    Esposti, Roberto; Listorti, Giulia

    2014-01-01

    This study deals with horizontal wheat price transmission from the international markets to the domestic Swiss market. The analysis takes into account trade policies implemented at the borders that might shelter the domestic market from international markets fluctuations, as well as the presence of explosive behavior in some of the price series. Furthermore, the Swiss case is peculiar due to the presence of different border policies for wheat according to its domestic use, food or feed. The p...

  18. Radiometric survey of radioactive minerals in the Matias Romero dam, in Oaxaca

    International Nuclear Information System (INIS)

    Flores, J.H.; Pena, P.; Balcazar, M.; Lopez, A.M.; Juarez, S.F.; Cabrera, M.O.; Huizar, R.

    2006-01-01

    Migration of radioactive Uranium and Thorium minerals from the old mine El Muerto, to the dam Matias Romero in Oaxaca was detected in dam sediments. The identified elements were Th and U, from the decay series of the last one; 234 Th, 234 Pa and 214 Bi from the radioactive series of 238 U. The mineral was in the past extracted from high fractured zones. Total activity measurements in sediments from the dam increases as the particle size decrease, which indicates that main reason of the movement is produced by erosion of small particles from high altitude deposits to lower parts where the dam is located. Geo statistical analysis gives a general picture of mineral distribution. ICP-MS, Ge(hp) detector, and X-ray diffraction techniques were used for associated minerals and radioactive content evaluation. Oaxaca State presents a complex geology. Pre cambric metamorphic rocks (600 ma) are present at the southern part, covering 25% of the state surface; intrusive metamorphic and igneous rocks form the Paleozoic (375 m.a.) cover 6 % of the surface. (Author)

  19. A Proposed Solution for the Chicken-Egg Dilemma in Pricing Currency Options

    Directory of Open Access Journals (Sweden)

    Ariful Hoque

    2013-06-01

    Full Text Available The implied volatility (IV estimation process suffers from an obvious chicken-egg dilemma: obtaining an unbiased IV requires the options to be priced correctly and calculating an accurate option price (OP requires an unbiased IV. We address this critical issue in two steps. First, the Granger causality test is employed, whichconfirms the chicken-and-egg problem in the IV computing process. Secondly, the concept of “moneyness volatility (MV” is introduced as an alternative to IV. MV is modelled based on an option’s moneyness (OM during the life of the option’s contract. The F-test, Granger-Newbold test and Diebold-Mariano test results consistently show that MV outperforms IV in estimating the exchange rate volatility for pricing options. Further, these series of tests across six major currency options substantiate the validity as well as the reliability of the results. We posit that MV offers a unique solution for pricing currency options accurately.

  20. Price Regulations in a Multi-unit Uniform Price Auction

    DEFF Research Database (Denmark)

    Boom, Anette

    not exceed the price cap whereas a selective bid cap for only the larger firms, does not guarantee this outcome. A sufficiently high bid floor always destroys pure strategy equilibria with equilibrium prices above the marginal costs, no matter whether the floor applies to all or only to relatively small......Inspired by recent regulations in the New York ICAP market we examine the effect of different price regulations on a multi-unit uniform price auction. We investigate a bid cap and a bid foor. Given suffciently high total capacities general bid caps always ensure that the market price does...

  1. Price Regulations in a Multi-unit Uniform Price Auction

    DEFF Research Database (Denmark)

    Boom, Anette

    Inspired by recent regulations in the New York ICAP market we examine the effect of different price regulations on a multi-unit uniform price auction. We investigate a bid cap and a bid foor. Given suffciently high total capacities general bid caps always ensure that the market price does...... not exceed the price cap whereas a selective bid cap for only the larger firms, does not guarantee this outcome. A sufficiently high bid floor always destroys pure strategy equilibria with equilibrium prices above the marginal costs, no matter whether the floor applies to all or only to relatively small...

  2. 48 CFR 3016.203 - Fixed price contracts with economic price adjustments.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 7 2010-10-01 2010-10-01 false Fixed price contracts with economic price adjustments. 3016.203 Section 3016.203 Federal Acquisition Regulations System DEPARTMENT OF... TYPES OF CONTRACTS Fixed-Price Contracts 3016.203 Fixed price contracts with economic price adjustments. ...

  3. Complex dynamic behaviors of oriented percolation-based financial time series and Hang Seng index

    International Nuclear Information System (INIS)

    Niu, Hongli; Wang, Jun

    2013-01-01

    Highlights: • We develop a financial time series model by two-dimensional oriented percolation system. • We investigate the statistical behaviors of returns for HSI and the financial model by chaos-exploring methods. • We forecast the phase point of reconstructed phase space by RBF neural network. -- Abstract: We develop a financial price model by the two-dimensional oriented (directed) percolation system. The oriented percolation model is a directed variant of ordinary (isotropic) percolation, and it is applied to describe the fluctuations of stock prices. In this work, we assume that the price fluctuations result from the participants’ investment attitudes toward the market, and we investigate the information spreading among the traders and the corresponding effect on the price fluctuations. We study the complex dynamic behaviors of return time series of the model by using the multiaspect chaos-exploring methods. And we also explore the corresponding behaviors of the actual market index (Hang Seng Index) for comparison. Further, we introduce the radial basic function (RBF) neural network to train and forecast the phase point of reconstructed phase space

  4. Au-As (lead) vein mineralizations of the Cevennes and Chataigneraie regions (French Massif Central). Isotopic characterization (Pb). Mineralizing role of granites in the setting up of these mineralizations

    International Nuclear Information System (INIS)

    Havard, M.L.

    1997-06-01

    This work has been carried out in the Frame of the national program 'Geofrance 3D' jointly organized by the French office for geologic and mining researches (BRGM), and the CNRS-INSU/DSPT3. Its aim is the study of the formation of gold-bearing mineralizations of the Variscan chain in the Cevennes and Chataigneraie regions (French Massif Central). In the Cevennes region, the gold-bearing veins are linked with the intrusion of the late-tectonic granodioritic plutons. The aim of this study is to determine the chronology of the mineralizing episodes and to analyze the relationship between the metal concentrates and the setting up of the granites. In the Chataigneraie region, the granites are intrusive in ortho- and para-gneiss series. The hydrothermal activity associated with the contact metamorphism should be responsible for the deposition of gold-bearing wolfram mineralization. The geochemistry of lead isotopes is used to determine the origin of metals in the sulfide mineralizations. The scanning electron microscopy (SEM) is used for the visualization of the microstructure heterogeneities of the minerals and for the quantitative chemical analysis of their successive para-geneses. The comparison between the results obtained in both regions allows to make a difference between their relative degree of erosion and their gold potentialities. (J.S.)

  5. Energy and Food Commodity Prices Linkage: An Examination with Mixed-Frequency Data

    NARCIS (Netherlands)

    Trujillo Barrera, A.A.; Pennings, J.M.E.

    2013-01-01

    Abstract Is the relationship between energy and agricultural commodities an important factor in the increasing price variability of food commodities? Findings from the literature appear to be mixed and highly influenced by the data frequency used in those analysis. A recurrent task in time series

  6. Exporter Price Premia?

    DEFF Research Database (Denmark)

    Jäkel, Ina Charlotte; Sørensen, Allan

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

  7. Beyond the sticker price: including and excluding time in comparing food prices.

    Science.gov (United States)

    Yang, Yanliang; Davis, George C; Muth, Mary K

    2015-07-01

    An ongoing debate in the literature is how to measure the price of food. Most analyses have not considered the value of time in measuring the price of food. Whether or not the value of time is included in measuring the price of a food may have important implications for classifying foods based on their relative cost. The purpose of this article is to compare prices that exclude time (time-exclusive price) with prices that include time (time-inclusive price) for 2 types of home foods: home foods using basic ingredients (home recipes) vs. home foods using more processed ingredients (processed recipes). The time-inclusive and time-exclusive prices are compared to determine whether the time-exclusive prices in isolation may mislead in drawing inferences regarding the relative prices of foods. We calculated the time-exclusive price and time-inclusive price of 100 home recipes and 143 processed recipes and then categorized them into 5 standard food groups: grains, proteins, vegetables, fruit, and dairy. We then examined the relation between the time-exclusive prices and the time-inclusive prices and dietary recommendations. For any food group, the processed food time-inclusive price was always less than the home recipe time-inclusive price, even if the processed food's time-exclusive price was more expensive. Time-inclusive prices for home recipes were especially higher for the more time-intensive food groups, such as grains, vegetables, and fruit, which are generally underconsumed relative to the guidelines. Focusing only on the sticker price of a food and ignoring the time cost may lead to different conclusions about relative prices and policy recommendations than when the time cost is included. © 2015 American Society for Nutrition.

  8. Point-of-purchase price and education intervention to reduce consumption of sugary soft drinks.

    Science.gov (United States)

    Block, Jason P; Chandra, Amitabh; McManus, Katherine D; Willett, Walter C

    2010-08-01

    We investigated whether a price increase on regular (sugary) soft drinks and an educational intervention would reduce their sales. We implemented a 5-phase intervention at the Brigham and Women's Hospital cafeteria in Boston, Massachusetts. After posting existing prices of regular and diet soft drinks and water during baseline, we imposed several interventions in series: a price increase of 35% on regular soft drinks, a reversion to baseline prices (washout), an educational campaign, and a combination price and educational period. We collected data from a comparison site, Beth Israel Deaconess Hospital, also in Boston, for the final 3 phases. Sales of regular soft drinks declined by 26% during the price increase phase. This reduction in sales persisted throughout the study period, with an additional decline of 18% during the combination phase compared with the washout period. Education had no independent effect on sales. Analysis of the comparison site showed no change in regular soft drink sales during the study period. A price increase may be an effective policy mechanism to decrease sales of regular soda. Further multisite studies in varied populations are warranted to confirm these results.

  9. Multi-granular trend detection for time-series analysis

    NARCIS (Netherlands)

    van Goethem, A.I.; Staals, F.; Löffler, M.; Dykes, J.; Speckmann, B.

    2017-01-01

    Time series (such as stock prices) and ensembles (such as model runs for weather forecasts) are two important types of one-dimensional time-varying data. Such data is readily available in large quantities but visual analysis of the raw data quickly becomes infeasible, even for moderately sized data

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

    NARCIS (Netherlands)

    Carvalho, M.

    2009-01-01

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

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

    NARCIS (Netherlands)

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

    2004-01-01

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

  12. Allan deviation analysis of financial return series

    Science.gov (United States)

    Hernández-Pérez, R.

    2012-05-01

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

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

    Directory of Open Access Journals (Sweden)

    Magdalena RĂDULESCU

    2012-09-01

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

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

    International Nuclear Information System (INIS)

    Narayan, Paresh Kumar; Narayan, Seema

    2010-01-01

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

  15. Drug Pricing Reforms

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

    2015-01-01

    Reference price systems for prescription drugs have found widespread use as cost containment tools. Under such regulatory regimes, patients co-pay a fraction of the difference between pharmacy retail price of the drug and a reference price. Reference prices are either externally (based on drug...... prices in other countries) or internally (based on domestic drug prices) determined. In a recent study, we analysed the effects of a change from external to internal reference pricing in Denmark in 2005, finding that the reform led to substantial reductions in prices, producer revenues, and expenditures...... for patients and the health insurance system. We also estimated an increase in consumer welfare but the size effect depends on whether or not perceived quality differences between branded and other drugs are taken into account....

  16. 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.

  17. Modelling the rand and commodity prices: A Granger causality and cointegration analysis

    Directory of Open Access Journals (Sweden)

    Xolani Ndlovu

    2014-11-01

    Full Text Available This paper examines the ‘commodity currency’ hypothesis of the Rand, that is, the postulate that the currency moves in line with commodity prices, and analyses the associated causality using nominal data between 1996 and 2010. We address both the short run and long run relationship between commodity prices and exchange rates. We find that while the levels of the series of both assets are difference stationary, they are not cointegrated. Further, we find the two variables are negatively related, with strong and significant causality running from commodity prices to the exchange rate and not vice versa, implying exogeneity in the determination of commodity prices with respect to the nominal exchange rate. The strength of the relationship is significantly weaker than other OECD commodity currencies. We surmise that the relationship is dynamic over time owing to the portfolio-rebalance argument and the Commodity Terms of Trade (CTT effect and, in the absence of an error correction mechanism, this disconnect may be prolonged. For commodity and currency market participants, this implies that while futures and forward commodity prices may be useful leading indicators of future currency movements, the price risk management strategies may need to be recalibrated over time.

  18. The non-random walk of stock prices: the long-term correlation between signs and sizes

    Science.gov (United States)

    La Spada, G.; Farmer, J. D.; Lillo, F.

    2008-08-01

    We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related to the long-memory of transaction signs and the need to enforce market efficiency.

  19. ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING

    OpenAIRE

    TÜNDE VERES

    2011-01-01

    The pricing methods in practice need really complex view of the business situation and depend on the strategy and market position of a company. The structure of a price seems simple: cost plus margin. Both categories are special area in the management accounting. Information about the product costs, the allocation methodologies in cost accounting, the analyzing of revenue and different level of the margin needs information from accounting system. This paper analyzes the pricing methods from m...

  20. Transfer Pricing

    DEFF Research Database (Denmark)

    Nielsen, Søren Bo

    2014-01-01

    Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE h...

  1. Tracking the Sun 10: The Installed Price of Residential and Non-Residential Photovoltaic Systems in the United States

    Energy Technology Data Exchange (ETDEWEB)

    Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Darghouth, Naim R. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); LaCommare, Kristina [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); DiSanti, Nicholas [Exeter Associates, Columbia, MD (United States); Widiss, Rebecca [Exeter Associates, Columbia, MD (United States)

    2017-09-21

    Berkeley Lab’s Tracking the Sun report series is dedicated to summarizing trends in the installed price of grid-connected, residential and non-residential systems solar photovoltaic (PV) systems in the United States. The present report, the tenth edition in the series, focuses on systems installed through year-end 2016, with preliminary data for the first half of 2017. The report provides an overview of both long-term and more-recent trends, highlighting key drivers for installed price declines over different time horizons. The report also extensively characterizes the widespread variability in system pricing, comparing installed prices across states, market segments, installers, and various system and technology characteristics. The trends described in this report derive from project-level data collected by state agencies and utilities that administer PV incentive programs, solar renewable energy credit (SREC) registration systems, or interconnection processes. In total, data for this report were compiled and cleaned for more than 1.1 million individual PV systems, though the analysis in the report is based on a subset of that sample, consisting of roughly 630,000 systems with available installed price data. The full underlying dataset of project-level data (excluding any confidential information) is available in a public data file, for use by other researchers and analysts.

  2. Wavelet regression model in forecasting crude oil price

    Science.gov (United States)

    Hamid, Mohd Helmie; Shabri, Ani

    2017-05-01

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

  3. Analisis Pemilihan Atribut Produk Baru untuk Perilaku Keputusan Pembelian Konsumen pada Produk Biokos Botu-Like Series

    Directory of Open Access Journals (Sweden)

    Hartiwi Prabowo

    2007-03-01

    Full Text Available Article was made to answer these several questions which are how is application marketing mix of new product PT Martina Berto, what is new product atribute the most dominate for customer and how is buying decided behavior Biokos BOTU-Like Series. The result of the research show that application of marketing mix of  by PT Martina Berto is good, customers are satisfaction that service Biokos BOTU-LIKE Series so they will to buy again and new product attribute the most dominate is price attribute at price level Rp94.500,00.

  4. Natural gas pricing

    International Nuclear Information System (INIS)

    Freedenthal, C.

    1993-01-01

    Natural gas pricing is the heart and soul of the gas business. Price specifically affects every phase of the industry. Too low a price will result in short supplies as seen in the mid-1970s when natural gas was scarce and in tight supply. To fully understand the pricing of this energy commodity, it is important to understand the total energy picture. In addition, the effect and impact of world and US economies, and economics in general are crucial to understanding natural gas pricing. The purpose of this presentation will be to show the parameters going into US natural gas pricing including the influence of the many outside industry factors like crude oil and coal pricing, market drivers pushing the gas industry, supply/demand parameters, risk management for buyers and sellers, and other elements involved in pricing analysis

  5. Drivers of U.S. mineral demand

    Science.gov (United States)

    Sznopek, John L.

    2006-01-01

    Introduction: The word 'demand' has different meanings for different people. To some, it means their 'wants and needs,' to others it is what they consume. Yet, when considering economics, demand refers to the specific amounts of goods or services that individuals will purchase at various prices. Demand is measured over a given time period. It is determined by a number of factors including income, tastes, and the price of complementary and substitute goods. In this paper, the term consumption is used fairly synonymously with the term demand. Most mineral commodities, like iron ore, copper, zinc, and gravel, are intermediate goods, which means that they are used in the production of other goods, called final goods. Demand for intermediate goods is called derived demand because such demand is derived from the demand for final goods. When demand increases for a commodity, generally the price rises. With everything else held constant, this increases the profits for those who provide this commodity. Normally, this would increase profits of existing producers and attract new producers to the market. When demand for a commodity decreases, generally the price falls. Normally, this would cause profits to fall and, as a consequence, the least efficient firms may be forced from the industry. Demand changes for specific materials as final goods or production techniques are reengineered while maintaining or improving product performance, for example, the use of aluminum in the place of copper in long distance electrical transmission lines or plastic replacing steel in automobile bumpers. Substitution contributes to efficient material usage by utilizing cheaper or technically superior materials. In this way, it may also alleviate materials scarcity. If a material becomes relatively scarce (and thus more expensive), a more abundant (and less expensive) material generally replaces it (Wagner and others, 2003, p. 91).

  6. Tooth enamel mineralization in ungulates: implications for recovering a primary isotopic time-series

    Science.gov (United States)

    Passey, Benjamin H.; Cerling, Thure E.

    2002-09-01

    Temporal changes in the carbon and oxygen isotopic composition of an animal are an environmental and behavioral input signal that is recorded into the enamel of developing teeth. In this paper, we evaluate changes in phosphorus content and density along the axial lengths of three developing ungulate teeth to illustrate the protracted nature of mineral accumulation in a volume of developing enamel. The least mature enamel in these teeth contains by volume about 25% of the mineral mass of mature enamel, and the remaining 75% of the mineral accumulates during maturation. Using data from one of these teeth (a Hippopotamus amphibius canine), we develop a model for teeth growing at constant rate that describes how an input signal is recorded into tooth enamel. The model accounts for both the temporal and spatial patterns of amelogenesis (enamel formation) and the sampling geometry. The model shows that input signal attenuation occurs as a result of time-averaging during amelogenesis when the maturation interval is long compared to the duration of features in the input signal. Sampling does not induce significant attenuation, provided that the sampling interval is several times shorter than the maturation interval. We present a detailed δ 13C and δ 18O record for the H. amphibius canine and suggest possible input isotope signals that may have given rise to the measured isotope signal.

  7. Testing causal relationships between wholesale electricity prices and primary energy prices

    International Nuclear Information System (INIS)

    Nakajima, Tadahiro; Hamori, Shigeyuki

    2013-01-01

    We apply the lag-augmented vector autoregression technique to test the Granger-causal relationships among wholesale electricity prices, natural gas prices, and crude oil prices. In addition, by adopting a cross-correlation function approach, we test not only the causality in mean but also the causality in variance between the variables. The results of tests using both techniques show that gas prices Granger-cause electricity prices in mean. We find no Granger-causality in variance among these variables. -- Highlights: •We test the Granger-causality among wholesale electricity and primary energy prices. •We test not only the causality in mean but also the causality in variance. •The results show that gas prices Granger-cause electricity prices in mean. •We find no Granger-causality in variance among these variables

  8. Consumer food choices: the role of price and pricing strategies.

    Science.gov (United States)

    Steenhuis, Ingrid H M; Waterlander, Wilma E; de Mul, Anika

    2011-12-01

    To study differences in the role of price and value in food choice between low-income and higher-income consumers and to study the perception of consumers about pricing strategies that are of relevance during grocery shopping. A cross-sectional study was conducted using structured, written questionnaires. Food choice motives as well as price perceptions and opinion on pricing strategies were measured. The study was carried out in point-of-purchase settings, i.e. supermarkets, fast-food restaurants and sports canteens. Adults (n 159) visiting a point-of-purchase setting were included. Price is an important factor in food choice, especially for low-income consumers. Low-income consumers were significantly more conscious of value and price than higher-income consumers. The most attractive strategies, according to the consumers, were discounting healthy food more often and applying a lower VAT (Value Added Tax) rate on healthy food. Low-income consumers differ in their preferences for pricing strategies. Since price is more important for low-income consumers we recommend mainly focusing on their preferences and needs.

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

    Science.gov (United States)

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

    2003-01-01

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

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

    Science.gov (United States)

    Herr, Annika; Suppliet, Moritz

    2017-12-01

    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.

  11. Recovering a time-homogeneous stock price process from perpetual option prices

    OpenAIRE

    Ekström, Erik; Hobson, David

    2009-01-01

    It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.

  12. Bayesian Option Pricing Framework with Stochastic Volatility for FX Data

    Directory of Open Access Journals (Sweden)

    Ying Wang

    2016-12-01

    Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.

  13. Time series analysis of S&P 500 index: A horizontal visibility graph approach

    Science.gov (United States)

    Vamvakaris, Michail D.; Pantelous, Athanasios A.; Zuev, Konstantin M.

    2018-05-01

    The behavior of stock prices has been thoroughly studied throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, a network theoretical approach is provided to investigate how crises affected the behavior of US stock prices. We analyze high frequency data from S&P500 via the Horizontal Visibility Graph method, and find that all major crises that took place worldwide in the last twenty years, affected significantly the behavior of the price-index. Nevertheless, we observe that each of those crises impacted the index in a different way and magnitude. Interestingly, our results suggest that the predictability of the price-index series increases during the periods of crises.

  14. Markov switching of the electricity supply curve and power prices dynamics

    Science.gov (United States)

    Mari, Carlo; Cananà, Lucianna

    2012-02-01

    Regime-switching models seem to well capture the main features of power prices behavior in deregulated markets. In a recent paper, we have proposed an equilibrium methodology to derive electricity prices dynamics from the interplay between supply and demand in a stochastic environment. In particular, assuming that the supply function is described by a power law where the exponent is a two-state strictly positive Markov process, we derived a regime switching dynamics of power prices in which regime switches are induced by transitions between Markov states. In this paper, we provide a dynamical model to describe the random behavior of power prices where the only non-Brownian component of the motion is endogenously introduced by Markov transitions in the exponent of the electricity supply curve. In this context, the stochastic process driving the switching mechanism becomes observable, and we will show that the non-Brownian component of the dynamics induced by transitions from Markov states is responsible for jumps and spikes of very high magnitude. The empirical analysis performed on three Australian markets confirms that the proposed approach seems quite flexible and capable of incorporating the main features of power prices time-series, thus reproducing the first four moments of log-returns empirical distributions in a satisfactory way.

  15. How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?

    Directory of Open Access Journals (Sweden)

    H. Raouf Sheybani

    2016-09-01

    Full Text Available In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncertainty in fuel price, day-ahead market pricing, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in these models. By applying the presented models to a test system impact of day-ahead market pricing on equilibrium of joint put option and day-ahead markets are studied.

  16. Gold prices

    OpenAIRE

    Joseph G. Haubrich

    1998-01-01

    The price of gold commands attention because it serves as an indicator of general price stability or inflation. But gold is also a commodity, used in jewelry and by industry, so demand and supply affect its pricing and need to be considered when gold is a factor in monetary policy decisions.

  17. Comment on the UPS (and past and future downs) of the oil price

    International Nuclear Information System (INIS)

    Walde, T.

    2000-01-01

    Crude oil has been rising to levels over 35 US$ per barrel from the very low prices of early 1999 - close to 10 $. In real, inflation-adjusted terms, this leaves it still at a third of the prices prevailing during the peak of 1981. This trend has been accelerated currently by short-term influences market factors. Who could have forecasted such price evolution by January 1999, when crude prices were collapsing, following the series of financial crises in Asia, Russia and Brazil? The current oil price surge has been breaking once again every 'crystal ball' and mathematical model designed to predict short-or-long-term oil price evolution - foremost the models used by the international oil companies and their advisers, chastened by the embarrassment of earlier optimism. Old ghosts that used to scare the world during the energy crisis of the 1970's and 1980's are waking up again. Traditional forces that have since 1985 and throughout the whole 1990's given economic rationality to crude price behaviour, seem to be losing ground and are unable to restore a more sustainable level of oil prices. Political forces, silent since the price collapse of 1985/86, have again raised their head and bringing to the fore historic contradictions and problems never solved. This paper covers this new reality. We are too cautions to dare to forecast, but rather identify factors that have to be considered in speculating about the future evolution of oil prices. The changing weight of those factors will continue to influence the future of the oil price - without much interest (apart from the producers) when low but again greatly debated when, as now, up again. (authors)

  18. Exchange Market Pressure, Stock Prices, and Commodity Prices East of the Euro

    Directory of Open Access Journals (Sweden)

    Scott W. Hegerty

    2018-03-01

    Full Text Available Aim/purpose - This paper aims to examine connections between the exchange, equity, commodity and commodity markets of a set of Central and Eastern European (CEE economies using monthly time-series data. In particular, we examine whether stock - or commodity - price changes might put pressure on these currencies to depreciate, and whether these pressures are transmitted within the region or from larger neighbors. Design/methodology/approach - This paper creates monthly indices of Ex-change Market Pressure (EMP from 1998 to 2017 using a combination of currency depreciation, reserve losses, and changes in interest-rate differentials for the Czech Republic, Hungary, Poland, and Ukraine, Bulgaria, and Romania. After examining these indices for evidence of currency 'crises', and their components for evidence of changes in currency policy, Vector Autoregressive (VAR methods such as Granger causality and impulse-response functions are used to examine connections between EMP, domestic and foreign stock returns, and changes in commodity prices in the first four countries listed. Findings - While EMP increased in 2008, and the degree of central banks' currency- -market interventions decreased afterward, this paper uncovers key differences among countries. In particular, the Czech Republic is relatively insulated from international transmissions, while Hungary is more susceptible to global spillovers and Poland is exposed to events originating elsewhere in the CEE region. Ukraine shows bidirectional causality between its EMP and stock indices, and finds that pressure on the hryvnia increases if commodity or oil prices decline. Research implications/limitations - This study adds to the relatively limited literature regarding this region, and highlights particular vulnerabilities for both individual countries and specific neighbors; further research is necessary to uncover the channels of transmission using economic modeling. Originality

  19. Natural variation and QTL analysis for cationic mineral content in seeds of Arabidopsis thaliana.

    NARCIS (Netherlands)

    Vreugdenhil, D.; Aarts, M.G.M.; Koornneef, M.; Nelissen, H.J.M.; Ernst, W.H.O.

    2004-01-01

    Naturally occurring genetic variation for contents of cationic minerals in seeds of Arabidopsis thaliana was studied by screening a series of accessions (ecotypes) for Ca, Fe, K, Mg, Mn, Na, Zn, and for total contents of P. Variation was observed for all minerals and correlations between contents of

  20. Value-based differential pricing: efficient prices for drugs in a global context.

    Science.gov (United States)

    Danzon, Patricia; Towse, Adrian; Mestre-Ferrandiz, Jorge

    2015-03-01

    This paper analyzes pharmaceutical pricing between and within countries to achieve second-best static and dynamic efficiency. We distinguish countries with and without universal insurance, because insurance undermines patients' price sensitivity, potentially leading to prices above second-best efficient levels. In countries with universal insurance, if each payer unilaterally sets an incremental cost-effectiveness ratio (ICER) threshold based on its citizens' willingness-to-pay for health; manufacturers price to that ICER threshold; and payers limit reimbursement to patients for whom a drug is cost-effective at that price and ICER, then the resulting price levels and use within each country and price differentials across countries are roughly consistent with second-best static and dynamic efficiency. These value-based prices are expected to differ cross-nationally with per capita income and be broadly consistent with Ramsey optimal prices. Countries without comprehensive insurance avoid its distorting effects on prices but also lack financial protection and affordability for the poor. Improving pricing efficiency in these self-pay countries includes improving regulation and consumer information about product quality and enabling firms to price discriminate within and between countries. © 2013 The Authors. Health Economics published by John Wiley & Sons Ltd.

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

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  2. Formation and development of theoretical principles for mineral resources logistics

    Directory of Open Access Journals (Sweden)

    Б. К. Плоткин

    2017-03-01

    Full Text Available Market transformations in Russia became foundations for formation and development of a new scientific and practical field in economics – logistics. Out of more than 30 existing definitions of logistics the authors according to their opinion have chosen the most appropriate. Logistics of mineral resources should be attributed to production (industrial logistics. It is a proven fact that processes of supply chain management in mining industry and its infrastructure in the framework of mineral resources chain have some fundamental distinctions. Importance of material resources recycling in theory and practice of mineral resources logistics has been highlighted. Special features of merchandise assortment and classifications in the mining industry have been examined in conjunction with substantial contents of material flow. Special consideration has been given to relevant issues in the field of price formation for mining produce, in the view of specific relations between its costs and logistic procurement of the industry. Moreover, questions of inventory control in the mining industry, activity of commodity exchanges, management of mining logistics system have been addressed.

  3. Energy prices and taxes

    International Nuclear Information System (INIS)

    2004-01-01

    Energy Prices and Taxes contains a major international compilation of energy prices at all market levels: import prices, industry prices and consumer prices. The statistics cover main petroleum products, gas, coal and electricity, giving for imported products an average price both for importing country and country of origin. Every issue includes full notes on sources and methods and a description of price mechanisms in each country

  4. Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets

    Science.gov (United States)

    Mulligan, Robert F.

    2014-06-01

    This paper presents Hurst exponent signatures from time series of aggregate price indices for the US over the 1975-2011 time period. Though all highly aggregated, these indices include both broad measures of consumer and producer prices. The constellation of prices evolves as a complex system throughout processes of production and distribution, culminating in the final delivery of output to consumers. Massive feedback characterizes this system, where the demand for consumable output determines the demand for the inputs used to produce it, and supply scarcities for the necessary inputs in turn determine the supply of the final product. Prices in both factor and output markets are jointly determined by interdependent supply and demand conditions. Fractal examination of the interplay among market prices would be of interest regardless, but added interest arises from the consideration of how these markets respond to external shocks over the business cycle, particularly monetary expansion. Because the initial impact of monetary injection is localized in specific sectors, the way the impact on prices diffuses throughout the economy is of special interest.

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

    International Nuclear Information System (INIS)

    Filis, George

    2010-01-01

    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)

  6. Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices

    International Nuclear Information System (INIS)

    Menezes, Lilian M. de; Houllier, Melanie A.; Tamvakis, Michael

    2016-01-01

    Long-run dynamics of electricity prices are expected to reflect fuel price developments, since fuels generally account for a large share in the cost of generation. As an integrated European market for electricity develops, wholesale electricity prices should be converging as a result of market coupling and increased interconnectivity. Electricity mixes are also changing, spurred by a drive to significantly increase the share of renewables. Consequently, the electricity wholesale price dynamics are evolving, and the fuel–electricity price nexus that has been described in the literature is likely to reflect this evolution. This study investigates associations between spot prices from the British, French and Nordpool markets with those in connected electricity markets and fuel input prices, from December 2005 to October 2013. In order to assess the time-varying dynamics of electricity spot price series, localized autocorrelation functions are used. Electricity spot prices in the three markets are found to have stationary and non-stationary periods. When a trend in spot prices is observed, it is likely to reflect the trend in fuel prices. Cointegration analysis is then used to assess co-movement between electricity spot prices and fuel inputs to generation. The results show that British electricity spot prices are associated with fuel prices and not with price developments in connected markets, while the opposite is observed in the French and Nordpool day-ahead markets. - Highlights: • Electricity market integration policies may have altered EU spot electricity prices. • LACF is used to assess the changing nature of electricity spot prices. • EU electricity spot prices show both stationary and non-stationary periods. • Carbon and fuel prices have greater impact on British spot prices. • In continental Europe, electricity prices have decoupled from fuel prices.

  7. South Africa and United States stock prices and the Rand/Dollar exchange rate

    Directory of Open Access Journals (Sweden)

    Matthew Ocran

    2010-09-01

    Full Text Available This paper seeks to examine the dynamic causal relations between the two major financial assets, stock prices of the US and South Africa and the rand/US$ exchange rate. The study uses a mixed bag of time series approaches such as cointegration, Granger causality, impulse response functions and forecasting error variance decompositions.  The paper identifies a bi-directional causality from the Standard & Poor’s 500 stock price index to the rand/US$ exchange rate in the Granger sense. It was also found that the Standard & Poor’s stock price index accounts for a significant portion of the variations in the Johannesburg Stock Exchange’s All Share index. Thus, while causality in the Granger sense could not be established for the relationship between the price indices of the two stock exchanges it can argued that there is some relationship between them. The results of the study have implications for both business and Government.

  8. Deterministic Echo State Networks Based Stock Price Forecasting

    Directory of Open Access Journals (Sweden)

    Jingpei Dan

    2014-01-01

    Full Text Available Echo state networks (ESNs, as efficient and powerful computational models for approximating nonlinear dynamical systems, have been successfully applied in financial time series forecasting. Reservoir constructions in standard ESNs rely on trials and errors in real applications due to a series of randomized model building stages. A novel form of ESN with deterministically constructed reservoir is competitive with standard ESN by minimal complexity and possibility of optimizations for ESN specifications. In this paper, forecasting performances of deterministic ESNs are investigated in stock price prediction applications. The experiment results on two benchmark datasets (Shanghai Composite Index and S&P500 demonstrate that deterministic ESNs outperform standard ESN in both accuracy and efficiency, which indicate the prospect of deterministic ESNs for financial prediction.

  9. Psychological Prices and Price Rigidity in Grocery Retailing: Analysis of German Scanner Data

    OpenAIRE

    Herrmann, Roland; Moeser, Anke

    2005-01-01

    A substantial degree of price rigidity has been reported for branded foods in various studies with scanner data. One possible explanation for price rigidity is the existence of psychological pricing points. We analyze to which extent psychological pricing plays a role in grocery retailing and whether it contributes to price rigidity of branded foods in Germany. Psychological pricing defined here as just-below-the-round-figure-pricing is empirically analyzed with scanner data of weekly prices ...

  10. Value-based pricing

    OpenAIRE

    Netseva-Porcheva Tatyana

    2010-01-01

    The main aim of the paper is to present the value-based pricing. Therefore, the comparison between two approaches of pricing is made - cost-based pricing and value-based pricing. The 'Price sensitively meter' is presented. The other topic of the paper is the perceived value - meaning of the perceived value, the components of perceived value, the determination of perceived value and the increasing of perceived value. In addition, the best company strategies in matrix 'value-cost' are outlined. .

  11. How do minimum cigarette price laws affect cigarette prices at the retail level?

    Science.gov (United States)

    Feighery, E C; Ribisl, K M; Schleicher, N C; Zellers, L; Wellington, N

    2005-04-01

    Half of US states have minimum cigarette price laws that were originally passed to protect small independent retailers from unfair price competition with larger retailers. These laws prohibit cigarettes from being sold below a minimum price that is set by a formula. Many of these laws allow cigarette company promotional incentives offered to retailers, such as buydowns and master-type programmes, to be calculated into the formula. Allowing this provision has the potential to lower the allowable minimum price. This study assesses whether stores in states with minimum price laws have higher cigarette prices and lower rates of retailer participation in cigarette company promotional incentive programmes. Retail cigarette prices and retailer participation in cigarette company incentive programmes in 2001 were compared in eight states with minimum price laws and seven states without them. New York State had the most stringent minimum price law at the time of the study because it excluded promotional incentive programmes in its price setting formula; cigarette prices in New York were compared to all other states included in the study. Cigarette prices were not significantly different in our sample of US states with and without cigarette minimum price laws. Cigarette prices were significantly higher in New York stores than in the 14 other states combined. Most existing minimum cigarette price laws appear to have little impact on the retail price of cigarettes. This may be because they allow the use of promotional programmes, which are used by manufacturers to reduce cigarette prices. New York's strategy to disallow these types of incentive programmes may result in higher minimum cigarette prices, and should also be explored as a potential policy strategy to control cigarette company marketing practices in stores. Strict cigarette minimum price laws may have the potential to reduce cigarette consumption by decreasing demand through increased cigarette prices and reduced

  12. 48 CFR 5416.203 - Fixed-price contracts with economic price adjustment.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 7 2010-10-01 2010-10-01 false Fixed-price contracts with economic price adjustment. 5416.203 Section 5416.203 Federal Acquisition Regulations System DEFENSE LOGISTICS AGENCY, DEPARTMENT OF DEFENSE TYPES OF CONTRACTS Fixed Price Contracts 5416.203 Fixed-price...

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

    Directory of Open Access Journals (Sweden)

    Rafael Falcão Noda

    2015-01-01

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

  14. FUNGIBILITY AND CONSUMER CHOICE: EVIDENCE FROM COMMODITY PRICE SHOCKS*

    Science.gov (United States)

    Hastings, Justine S.; Shapiro, Jesse M.

    2015-01-01

    We formulate a test of the fungibility of money based on parallel shifts in the prices of different quality grades of a commodity. We embed the test in a discrete-choice model of product quality choice and estimate the model using panel microdata on gasoline purchases. We find that when gasoline prices rise consumers substitute to lower octane gasoline, to an extent that cannot be explained by income effects. Across a wide range of specifications, we consistently reject the null hypothesis that households treat “gas money” as fungible with other income. We compare the empirical fit of three psychological models of decision-making. A simple model of category budgeting fits the data well, with models of loss aversion and salience both capturing important features of the time series. PMID:26937053

  15. FUNGIBILITY AND CONSUMER CHOICE: EVIDENCE FROM COMMODITY PRICE SHOCKS.

    Science.gov (United States)

    Hastings, Justine S; Shapiro, Jesse M

    2013-11-01

    We formulate a test of the fungibility of money based on parallel shifts in the prices of different quality grades of a commodity. We embed the test in a discrete-choice model of product quality choice and estimate the model using panel microdata on gasoline purchases. We find that when gasoline prices rise consumers substitute to lower octane gasoline, to an extent that cannot be explained by income effects. Across a wide range of specifications, we consistently reject the null hypothesis that households treat "gas money" as fungible with other income. We compare the empirical fit of three psychological models of decision-making. A simple model of category budgeting fits the data well, with models of loss aversion and salience both capturing important features of the time series.

  16. 48 CFR 16.203 - Fixed-price contracts with economic price adjustment.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Fixed-price contracts with economic price adjustment. 16.203 Section 16.203 Federal Acquisition Regulations System FEDERAL ACQUISITION REGULATION CONTRACTING METHODS AND CONTRACT TYPES TYPES OF CONTRACTS Fixed-Price Contracts 16.203 Fixed-price...

  17. ESTIMATE OF THE HEAVY MINERAL-CONTENT IN SAND AND ITS PROVENANCE BY RADIOMETRIC METHODS

    NARCIS (Netherlands)

    DEMEIJER, RJ; LESSCHER, HME; SCHUILING, RD; ELBURG, ME

    1990-01-01

    A comparison has been made of the traditional gravimetric method for measuring the heavy mineral mass fraction in sand with a method based on the emission of gamma-rays from the uranium and thorium series by radiogenic heavy-minerals. The comparision reveals that beach sand along the Dutch coast may

  18. Price elasticity of demand for malt liquor beer: findings from a US pilot study.

    Science.gov (United States)

    French, Michael Thomas; Browntaylor, Didra; Bluthenthal, Ricky Neville

    2006-05-01

    Our objective is to estimate the relative price elasticity of demand for malt liquor beer (MLB), regular beer, hard liquor, and a combined group of all other alcoholic beverages. Three hundred and twenty-nine alcohol consumers (mostly male) in South-Central Los Angeles answered a series of questions pertaining to expected consumption responses to hypothetical price increases. We found that based on a 10% price increase, the mean price elasticity of demand (% change in quantity demanded / % change in price) was -0.79 for MLB drinkers, -1.14 for regular beer drinkers, -1.11 for hard liquor drinkers, and -1.69 for the combined group of all other drinkers. Logistic regression analysis revealed that the personal characteristics significantly related to being a MLB drinker were older age, not working, being homeless, and a daily drinker. Daily (or nearly daily) drinkers were more likely to be married, earning lower incomes, and hard liquor drinkers. This study is the first to investigate the price elasticity of demand for MLB drinkers and other heavy alcohol consumers in poor urban neighborhoods of the US. Future research can use the methods from this pilot study to more rigorously examine and compare the price sensitivity among heavy drinking groups.

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

    International Nuclear Information System (INIS)

    Akkemik, K. Ali

    2011-01-01

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

  20. An exploration in mineral supply chain mapping using tantalum as an example

    Science.gov (United States)

    Soto-Viruet, Yadira; Menzie, W. David; Papp, John F.; Yager, Thomas R.

    2013-01-01

    This report uses the supply chain of tantalum (Ta) to investigate the complexity of mineral and metal supply chains in general and show how they can be mapped. A supply chain is made up of all the manufacturers, suppliers, information networks, and so forth, that provide the materials and parts that go into making up a final product. The mineral portion of the supply chain begins with mineral material in the ground (the ore deposit); extends through a series of processes that include mining, beneficiation, processing (smelting and refining), semimanufacture, and manufacture; and continues through transformation of the mineral ore into concentrates, refined mineral commodities, intermediate forms (such as metals and alloys), component parts, and, finally, complex products. This study analyses the supply chain of tantalum beginning with minerals in the ground to many of the final goods that contain tantalum.

  1. Evaluation system of minerals reserve at Nuclebras

    International Nuclear Information System (INIS)

    Marques, J.P.M.; Guerra, P.A.G.; Vinha, C.A.G. da.

    1980-01-01

    The paper describes the methodology used for the reserve evaluation of minerals, particularly of uranium, as used world wide, and specially at Nuclebras. The paper discusses a series of procedures envolving basic definitions, reserve evaluation methods (Conventional, Statistical and Geoestatistical), data management, use of computer systems, classification of reserves as well as the results achieved [pt

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

    Directory of Open Access Journals (Sweden)

    Ana Mugoša

    2015-06-01

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

  3. Value-based pricing

    Directory of Open Access Journals (Sweden)

    Netseva-Porcheva Tatyana

    2010-01-01

    Full Text Available The main aim of the paper is to present the value-based pricing. Therefore, the comparison between two approaches of pricing is made - cost-based pricing and value-based pricing. The 'Price sensitively meter' is presented. The other topic of the paper is the perceived value - meaning of the perceived value, the components of perceived value, the determination of perceived value and the increasing of perceived value. In addition, the best company strategies in matrix 'value-cost' are outlined. .

  4. Global stocks of selected mineral-based commodities

    Science.gov (United States)

    Wilburn, David R.; Bleiwas, Donald I.; Karl, Nick A.

    2016-12-05

    IntroductionThe U.S. Geological Survey, National Minerals Information Center, analyzes mineral and metal supply chains by identifying and describing major components of mineral and material flows from ore extraction, through intermediate forms, to a final product. This report focuses on an important component of the world’s supply chain: the amounts and global distribution of major consumer, producer, and exchange stocks of selected mineral commodities. In this report, the term “stock” is used instead of “inventory” and refers to accumulations of mined ore, intermediate products, and refined mineral-based commodities that are in a form that meets the agreed-upon specifications of a buyer or processor of intermediate products. These may include certain ores such as bauxite, concentrates, smelter products, and refined metals. Materials sometimes referred to as inventory for accounting purposes, such as ore contained in a deposit or in a leach pile, or materials that need to be further processed before they can be shipped to a consumer, are not considered. Stocks may be held (owned) by consumers, governments, investors, producers, and traders. They may serve as (1) a means to achieve economic, social, and strategic goals through government policies; (2) a secure source of supply to meet demand and to mitigate potential shortages in the supply chain; (3) a hedge to mitigate price volatility; and (4) vehicles for speculative investment.The paucity and uneven reliability of data for stocks of ores and concentrates and for material held by producers, consumers, and merchants hinder the accurate estimating of the size and distribution of this portion of the supply chain for certain commodities. This paper reviews the more visible stocks held in commodity exchange warehouses distributed throughout the world.

  5. Risk-return and difference of Ipe wood price in Pará and São Paulo markets

    Directory of Open Access Journals (Sweden)

    Humberto Figueira Barbosa

    2014-03-01

    Full Text Available This study estimated the relation risk-return and the trend of the price difference among the markets of consumers of Ipê amarelo (Tabebuia serratifolia sawn wood in the State of Pará and the cities of Baurú, Campinas, and Sorocaba,. It was considered as indicative of risk the Coefficient of Variation (CV, and as indicative of return the Rate of Geometric Growth (RGG of the price series that was also used to estimate the trend of the price difference among the markets. It was noted that the risk-return relationship is coherent in all markets, and the city of Sorocaba stands out with the greatest estimative in both risk and return, and presents increase trend of the price difference among State of Pará market, which presented a temporal deficit in the price increase compared to other markets analyzed.

  6. Transfer Pricing

    DEFF Research Database (Denmark)

    Rohde, Carsten; Rossing, Christian Plesner

    trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...... the determination of transfer price will affect the size of the profit or loss in the organizational units and thus have an impact on the evaluation of managers‟ performance. In some instances the determination of transfer prices may lead to a disagreement between coordination of the organizational units...

  7. How Do Oil Prices, Macroeconomic Factors and Policies Affect the Market for Renewable Energy?:Oil Price, Macroeconomic Factors and Renewable Energy

    OpenAIRE

    Shah, Imran; Hiles, Carlie; Morley, Bruce

    2017-01-01

    The aim of this study is to determine the nature of any relationship between renewable energy investment, oil prices, GDP and the interest rate, using a time series approach. We concentrate on three countries with different relationships to the renewable energy industry, with Norway and the UK being oil-exporters for most of the sample and the USA an importer. Following estimation using a VAR model, the results provide evidence of considerable heterogeneity across the countries, with the USA ...

  8. Faces of pricing and profit planning at the doorstep of the EU: government pricing policy in the innovative pharmaceutical sector in Turkey

    OpenAIRE

    De Kervenoael, Ronan J.; Nilsson, Ulf

    2006-01-01

    The majority of research on the pharmaceutical sector has focused on an overall micro economic, medical oriented welfare issues, whereas the marketing management role of the innovative drug manufacturer has to a large extent been disregarded. Using the case of Turkey, through a series of in-depth interviews with highly innovative companies, other marketing management possibilities to develop pricing strategies and plan for profit are explored based on broader definitions of value and transpar...

  9. Stagnation of the exploitation of Al ores and the depression of world prices of Al

    Directory of Open Access Journals (Sweden)

    Slavkovský Jozef

    1999-03-01

    Full Text Available In the contribution, data on Al – a metal of the 20th century are compiled together with the problems of genesis of the Al mineral raw ma-terials as well as types of bauxite and Al-laterite deposits. Furthermore, an overview of the world exploitation of bauxite during 1935-1980 is given along with the prognoses to 2000 and present situation (1992-1996. Overviews of the production of Al follows, providing its rela-tion to the bauxite exploitation. Contrary to the prognoses, a stabilization or stagnation has been observed in the exploitation of bauxite and production of Al during nineties, which a tendency is directly reflected in the world price of this commodity. When analyzing the Al prices for a longer period, some serious deviations can be noticed, that however presently represent a long-term minimum. We hope the stagnation of the production and the price decline are only temporary and new possibilities of the utilization of Al will be found soon.

  10. Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

    OpenAIRE

    Yanhui Xi; Hui Peng; Yemei Qin

    2016-01-01

    The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation....

  11. The discount framing in different pricing schemes: Combined versus partitioned pricing

    OpenAIRE

    Matthew Lee; Dr. Frankie Law

    2015-01-01

    Pricing is one of the most sophisticated and critical issues which managers have to face. It is obvious that managers have been undervaluing the behavioural and psychological perspective of pricing for many years. With a clear understanding of behavioural pricing, managers are able to make extra profit for their firms. In the current study, it was interesting to investigating exactly how manipulation of discounts in the combined pricing scheme and partitioned pricing scheme affects the purcha...

  12. Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data

    International Nuclear Information System (INIS)

    Miller, Mark; Alberini, Anna

    2016-01-01

    Price elasticity estimates of residential electricity demand vary widely across the energy economics and policy literature. In this paper, we seek to explain these findings using three nationwide datasets from the U.S. – the American Housing Survey, Forms EIA-861, and the Residential Energy Consumption Survey. We examine the role of the sample period, level of aggregation, use of panel data, use of instrumental variables, and inclusion of housing characteristics and capital stock. Our findings suggest that price elasticities have remained relatively constant over time. Upon splitting our panel datasets into annual cross sections, we do observe a negative relationship between price elasticities and the average price. Whether prices are rising or falling appears to have little effect on our estimates. We also find that aggregating our data can result in both higher and lower price elasticity estimates, depending on the dataset used, and that controlling for unit-level fixed effects with panel data generally results in more inelastic demand functions. Addressing the endogeneity of price and/or measurement error in price with instrumental variables has a small but noticeable effect on the price elasticities. Finally, controlling for housing characteristics and capital stock produces a lower price elasticity. - Highlights: • The price elasticity of residential electricity demand varies widely across studies. • We use three large datasets from the US to examine reasons for such wide variation. • Some assessed effects include aggregation, unobserved heterogeneity, and price trends. • Correcting for such issues can change the estimated price elasticity by 50–100%.

  13. MARKET ECONOMICS PRICING PARTICULARS

    Directory of Open Access Journals (Sweden)

    V. I. Parshin

    2011-01-01

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

  14. Gasoline prices in Canada : report of Standing Committee on Industry, Science and Technology

    International Nuclear Information System (INIS)

    Lastewka, W.

    2003-11-01

    The House of Commons Standing Committee on Industry, Science and Technology has reviewed the data on retail, rack and crude gasoline prices in Canada in response to soaring prices. Prices were compared to those in the United States and elsewhere. The Committee looked at all possible explanations for the most recent increase in gasoline prices and has concluded that the recent increase in the price of gasoline was the result of industry's competitive reactions to a series of international crises and abnormally cold weather in North America. No evidence indicated anticompetitive conduct on the part of the industry, nor was there evidence of abusive behaviour on the part of vertically integrated suppliers in the form of squeezing retail margins to eliminate or discipline independent retailers. The Committee relied on data collected and published by the industry. It would have preferred an independent source, but none was available. The Committee recommended that the Government of Canada create and fund a Petroleum Monitoring Agency to collect and disseminate price data on crude oil, refined petroleum products, and retail gasoline for all relevant North American markets. The agency will report to Parliament on an annual basis for 3 years. The report will include information on the competitive aspects of the petroleum sector in Canada. refs., tabs., figs

  15. Target Price Accuracy

    Directory of Open Access Journals (Sweden)

    Alexander G. Kerl

    2011-04-01

    Full Text Available This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown 12-month stock price. Furthermore, we determine factors that explain this accuracy. Target price accuracy is negatively related to analyst-specific optimism and stock-specific risk (measured by volatility and price-to-book ratio. However, target price accuracy is positively related to the level of detail of each report, company size and the reputation of the investment bank. The potential conflicts of interests between an analyst and a covered company do not bias forecast accuracy.

  16. STS pricing policy

    Science.gov (United States)

    Lee, C. M.; Stone, B.

    1982-01-01

    In 1977 NASA published Shuttle Reimbursement Policies for Civil U.S. Government, DOD and Commercial and Foreign Users. These policies were based on the principle of total cost recovery over a period of time with a fixed flat price for initial period to time to enhance transition. This fixed period was to be followed with annual adjustments thereafter, NASA is establishing a new price for 1986 and beyond. In order to recover costs, that price must be higher than the initial fixed price through FY 1985. NASA intends to remain competitive. Competitive posture includes not only price, but other factors such as assured launch, reliability, and unique services. NASA's pricing policy considers all these factors.

  17. Finding the multipath propagation of multivariable crude oil prices using a wavelet-based network approach

    Science.gov (United States)

    Jia, Xiaoliang; An, Haizhong; Sun, Xiaoqi; Huang, Xuan; Gao, Xiangyun

    2016-04-01

    The globalization and regionalization of crude oil trade inevitably give rise to the difference of crude oil prices. The understanding of the pattern of the crude oil prices' mutual propagation is essential for analyzing the development of global oil trade. Previous research has focused mainly on the fuzzy long- or short-term one-to-one propagation of bivariate oil prices, generally ignoring various patterns of periodical multivariate propagation. This study presents a wavelet-based network approach to help uncover the multipath propagation of multivariable crude oil prices in a joint time-frequency period. The weekly oil spot prices of the OPEC member states from June 1999 to March 2011 are adopted as the sample data. First, we used wavelet analysis to find different subseries based on an optimal decomposing scale to describe the periodical feature of the original oil price time series. Second, a complex network model was constructed based on an optimal threshold selection to describe the structural feature of multivariable oil prices. Third, Bayesian network analysis (BNA) was conducted to find the probability causal relationship based on periodical structural features to describe the various patterns of periodical multivariable propagation. Finally, the significance of the leading and intermediary oil prices is discussed. These findings are beneficial for the implementation of periodical target-oriented pricing policies and investment strategies.

  18. Growth and oil price: A study of causal relationships in small Pacific Island countries

    Energy Technology Data Exchange (ETDEWEB)

    Jayaraman, T.K. [School of Economics, Faculty of Business and Economics, The University of the South Pacific, Laucala Bay Road, Suva (Fiji); Choong, Chee-Keong [Department of Economics and Finance, Faculty of Business and Finance, Universiti Tunku Abdul Rahman (Perak Campus), Jalan Universiti, Bandar Barat, 31900 Kampar, Perak Darul Ridzuan (Malaysia)], E-mail: choongck@utar.edu.my

    2009-06-15

    This paper investigates the nexus between economic growth and oil price in small Pacific Island countries (PICs). Except Papua New Guinea, none of the 14 PICs has fossil any fuel resources. Consequently, the other 13 PICs are totally dependent on oil imports for their economic activities. Since PICs have limited foreign exchange earning capacities, as they have a very narrow range of exports and are highly dependent on foreign aid, high oil prices in recent months have seriously tested their economic resilience. This paper applies the ARDL bounds testing methodology to four selected PICs, Samoa, Solomon Islands, Tonga and Vanuatu, which have consistent and reliable time series of data, with a view to assess the impact of oil price on economic growth. The findings are that oil price, gross domestic product and international reserve are cointegrated in all the four PICs. Further, both in the long and short runs, we observe that there is a uni-directional relationship as causality linkage runs only from oil price and international reserves to economic growth. The paper makes some policy recommendations.

  19. Growth and oil price. A study of causal relationships in small Pacific Island countries

    Energy Technology Data Exchange (ETDEWEB)

    Jayaraman, T.K. [School of Economics, Faculty of Business and Economics, The University of the South Pacific, Laucala Bay Road, Suva (Fiji); Choong, Chee-Keong [Department of Economics and Finance, Faculty of Business and Finance, Universiti Tunku Abdul Rahman (Perak Campus), Jalan Universiti, Bandar Barat, 31900 Kampar, Perak Darul Ridzuan (Malaysia)

    2009-06-15

    This paper investigates the nexus between economic growth and oil price in small Pacific Island countries (PICs). Except Papua New Guinea, none of the 14 PICs has fossil any fuel resources. Consequently, the other 13 PICs are totally dependent on oil imports for their economic activities. Since PICs have limited foreign exchange earning capacities, as they have a very narrow range of exports and are highly dependent on foreign aid, high oil prices in recent months have seriously tested their economic resilience. This paper applies the ARDL bounds testing methodology to four selected PICs, Samoa, Solomon Islands, Tonga and Vanuatu, which have consistent and reliable time series of data, with a view to assess the impact of oil price on economic growth. The findings are that oil price, gross domestic product and international reserve are cointegrated in all the four PICs. Further, both in the long and short runs, we observe that there is a uni-directional relationship as causality linkage runs only from oil price and international reserves to economic growth. The paper makes some policy recommendations. (author)

  20. Growth and oil price: A study of causal relationships in small Pacific Island countries

    International Nuclear Information System (INIS)

    Jayaraman, T.K.; Choong, Chee-Keong

    2009-01-01

    This paper investigates the nexus between economic growth and oil price in small Pacific Island countries (PICs). Except Papua New Guinea, none of the 14 PICs has fossil any fuel resources. Consequently, the other 13 PICs are totally dependent on oil imports for their economic activities. Since PICs have limited foreign exchange earning capacities, as they have a very narrow range of exports and are highly dependent on foreign aid, high oil prices in recent months have seriously tested their economic resilience. This paper applies the ARDL bounds testing methodology to four selected PICs, Samoa, Solomon Islands, Tonga and Vanuatu, which have consistent and reliable time series of data, with a view to assess the impact of oil price on economic growth. The findings are that oil price, gross domestic product and international reserve are cointegrated in all the four PICs. Further, both in the long and short runs, we observe that there is a uni-directional relationship as causality linkage runs only from oil price and international reserves to economic growth. The paper makes some policy recommendations.

  1. A Data-Driven Bidding Model for a Cluster of Price-Responsive Consumers of Electricity

    DEFF Research Database (Denmark)

    Saez Gallego, Javier; Morales González, Juan Miguel; Zugno, Marco

    2016-01-01

    This paper deals with the market-bidding problem of a cluster of price-responsive consumers of electricity. We develop an inverse optimization scheme that, recast as a bilevel programming problem, uses price-consumption data to estimate the complex market bid that best captures the price......-response of the cluster. The complex market bid is defined as a series of marginal utility functions plus some constraints on demand, such as maximum pick-up and drop-off rates. The proposed modeling approach also leverages information on exogenous factors that may influence the consumption behavior of the cluster, e...... can be largely captured in the form of a complex market bid, so that this could be ultimately used for the cluster to participate in the wholesale electricity market....

  2. The Cost of SOx Limits to Marine Operators; Results from Exploring Marine Fuel Prices

    Directory of Open Access Journals (Sweden)

    Orestis Schinas

    2013-06-01

    Full Text Available Marine operators are confronted with the new air emissions regulations that determine the limits of sulfur content in marine fuels. The low-sulfur (LS marine fuels have a higher price, and their fluctuation is almost similar to the fluctuation of high-sulfur (HS fuels. The price difference between HS and LS might also determine the decision of operators for alternative technical means, such as scrubbers, in order to comply with the new limits. This paper aims to provide a thorough statistical analysis of the currently available LS and HS marine fuels time series, as well as to present the analysis of the differential of the HS and LS fuel prices. The paper concludes with suggestions for further research.

  3. Predicting prices of agricultural commodities in Thailand using combined approach emphasizing on data pre-processing technique

    Directory of Open Access Journals (Sweden)

    Thoranin Sujjaviriyasup

    2018-02-01

    Full Text Available In this research, a combined approach emphasizing on data pre-processing technique is developed to forecast prices of agricultural commodities in Thailand. The future prices play significant role in decision making to cultivate crops in next year. The proposed model takes ability of MODWT to decompose original time series data into more stable and explicit subseries, and SVR model to formulate complex function of forecasting. The experimental results indicated that the proposed model outperforms traditional forecasting models based on MAE and MAPE criteria. Furthermore, the proposed model reveals that it is able to be a useful forecasting tool for prices of agricultural commodities in Thailand

  4. A comment on measuring the Hurst exponent of financial time series

    Science.gov (United States)

    Couillard, Michel; Davison, Matt

    2005-03-01

    A fundamental hypothesis of quantitative finance is that stock price variations are independent and can be modeled using Brownian motion. In recent years, it was proposed to use rescaled range analysis and its characteristic value, the Hurst exponent, to test for independence in financial time series. Theoretically, independent time series should be characterized by a Hurst exponent of 1/2. However, finite Brownian motion data sets will always give a value of the Hurst exponent larger than 1/2 and without an appropriate statistical test such a value can mistakenly be interpreted as evidence of long term memory. We obtain a more precise statistical significance test for the Hurst exponent and apply it to real financial data sets. Our empirical analysis shows no long-term memory in some financial returns, suggesting that Brownian motion cannot be rejected as a model for price dynamics.

  5. International positioning of South African electricity prices and commodity differentiated pricing

    Directory of Open Access Journals (Sweden)

    George A. Thopila

    2013-07-01

    Full Text Available The South African electricity industry has seen a dramatic increase in prices over the past 3 years. This increase has been blanketed across all sectors and is based on a number of factors such as sector, usage and, in the case of domestic pricing, suburb. The cost of electricity in South Africa, particularly to the industrial sector, has been among the lowest in the world. In this paper, we analyse the recent price increases in the South African electricity sector and discuss the price determination mechanism employed by Eskom, South Africa's electricity provider. We also analyse the revenue and sales of Eskom and review the electricity price from an international perspective. The concept of differential pricing and international benchmarking is analysed as a possibility for the South African industrial electricity industry, so that all sectors are not adversely affected by across-the-board increases. Our aim is to raise the question of whether South Africa's electricity prices are in line with international increases and to suggest the possibility of differentiated prices in the local electricity sector.

  6. Pricing and sales tax collection policies for e-cigarette starter kits and disposable products sold online.

    Science.gov (United States)

    Cuomo, Raphael E; Miner, Angela; Mackey, Tim K

    2015-10-23

    Previous studies have examined marketing characteristics of e-cigarettes sold online and others have examined e-cigarettes pricing in retail (non-Internet) settings. This study expands on these findings by examining pricing and marketing characteristics of interest among e-cigarette online vendors. Structured web searches were conducted from August-September 2014 to identify popular e-cigarette Internet vendors. We then collected pricing data (e-cigarette starter kits and disposables), sales tax collection policies and other vendor marketing characteristics. Average price for each product category was then compared with marketing characteristics using linear regression for continuous variables and independent t-tests for binary variables. Our searches yielded 44 e-cigarette Internet vendors of which 77% (n = 34) sold a total of 238 starter kit offerings (Mprice = $55.89). Half (n = 22) sold disposable types of e-cigarettes (Mprice = $7.17 p/e-cigarette) at a price lower than reported elsewhere in retail settings. Average disposable e-cigarette prices were also significantly higher for vendors displaying more health warning notices (P = 0.001). Only 46% disclosed sales tax collection policies and only 39% collected sales tax in their state of business. This study expands on current understanding of e-cigarette pricing and availability online and finds variation in e-cigarette pricing may be influenced by type of product, use of online health warnings and vendor sales tax collection policies. It also finds that e-cigarette online access and availability may be impacted by a combination of pricing and marketing strategies uniquely different from e-cigarette retail settings that requires further study and targeted policy-making. [Cuomo RE, Miner A, Mackey TK. Pricing and sales tax collection policies for e-cigarette starter kits and disposable products sold online. Drug Alcohol Rev 2015]. © 2015 Australasian Professional Society on Alcohol and

  7. Becker's rational addiction theory: An empirical test with price elasticities for distilled spirits in Denmark 1911-31.

    Science.gov (United States)

    Skog, Ole-Jørgen; Melberg, Hans Olav

    2006-10-01

    To test an implication of Becker's rational addiction theory, namely that price changes will lead both to simultaneous consumption changes as well as lagged changes (and potentially also immediate changes if future changes in prices are anticipated). Time-series analysis, first of aggregate sales of distilled spirits and prices, controlled for gross national product (GNP), and secondly of deaths from delirium tremens. Denmark 1911-31. Price changes were very large in the period 1916-18 due to shortages during World War I, and the Danish case can be conceived as a natural experiment. No evidence for lagged price effects in the expected direction was found. On the contrary, the evidence pointed in the opposite direction. The immediate reduction in sales following rising prices are, to some degree, counteracted by an adjustment in the opposite direction the following year. The delirium tremens data confirm this pattern. Becker's theory is not confirmed. Several possible explanations are discussed. If the pattern observed in these data is representative of a more general mechanism, current price elasticity estimates may be too high, by ignoring lagged compensatory effects.

  8. Using Wavelets in Economics. An Application on the Analysis of Wage-Price Relation

    Directory of Open Access Journals (Sweden)

    Vasile-Aurel Caus

    2017-03-01

    Full Text Available In the last decades, more and more approaches of economic issues have used mathematical tools, and among the most recent ones, spectral and wavelet methods are to be distinguished. If in the case of spectral analysis the approaches and results are sufficiently clear, while the use of wavelet decomposition, especially in the analysis of time series, is not fully valorized. The purpose of this paper is to emphasize how these methods are useful for time series analysis. After theoretical considerations on Fourier transforms versus wavelet transforms, we have presented the methodology we have used and the results obtained by using wavelets in the analysis of wage-price relation, based on some empirical data. The data we have used is concerning the Romanian economy - the inflation and the average nominal wage denominated in US dollars, between January 1991 and May 2016, highlighting that the relation between nominal salary and prices can be revealed more accurately by use of wavelets.

  9. ℓ(p)-Norm multikernel learning approach for stock market price forecasting.

    Science.gov (United States)

    Shao, Xigao; Wu, Kun; Liao, Bifeng

    2012-01-01

    Linear multiple kernel learning model has been used for predicting financial time series. However, ℓ(1)-norm multiple support vector regression is rarely observed to outperform trivial baselines in practical applications. To allow for robust kernel mixtures that generalize well, we adopt ℓ(p)-norm multiple kernel support vector regression (1 ≤ p stock price prediction model. The optimization problem is decomposed into smaller subproblems, and the interleaved optimization strategy is employed to solve the regression model. The model is evaluated on forecasting the daily stock closing prices of Shanghai Stock Index in China. Experimental results show that our proposed model performs better than ℓ(1)-norm multiple support vector regression model.

  10. What Factors Affect the Prices of Low-Priced U.S. Solar PV Systems?

    Energy Technology Data Exchange (ETDEWEB)

    Nemet, Gregory F. [Univ. of Wisconsin, Madison, WI (United States); Mercator Research Inst. on Global Commons and Climate Change, Berlin (Germany); O' Shaughnessy, Eric [National Renewable Energy Lab. (NREL), Golden, CO (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Darghouth, Naïm R. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Gillingham, Ken [Yale Univ., New Haven, CT (United States); Rai, Varun [Univ. of Texas, Austin, TX (United States)

    2016-08-01

    The price of solar PV systems has declined rapidly, yet there are some much lower-priced systems than others. This study explores the factors leading some systems to be so much lower priced than others. Using a data set of 42,611 residential-scale PV systems installed in the U.S. in 2013, we use quantile regressions to estimate the importance of factors affecting the installed prices for low-priced (LP) systems (those at the 10th percentile) in comparison to median-priced systems. We find that the value of solar to consumers–a variable that accounts for subsidies, electric rates, and PV generation levels–is associated with lower prices for LP systems but higher prices for median priced systems. Conversely, systems installed in new home construction are associated with lower prices at the median but higher prices for LP. Other variables have larger cost-reducing effects on LP than on median priced systems: systems installed in Arizona and Florida, as well as commercial and thin film systems. In contrast, the following have a smaller effect on prices for LP systems than median priced systems: tracking systems, self-installations, systems installed in Massachusetts, the system size, and installer experience. These results highlight the complex factors at play that lead to LP systems and shed light into how such LP systems can come about.

  11. Water: The Only Factor Influencing the Price of Energy in the Spot Market?

    Directory of Open Access Journals (Sweden)

    Vinicius Mothé Maia

    2016-04-01

    Full Text Available The Brazilian electric energy generation system is based on its hydroelectric power plants, making the country dependent on proper rainfall and, thus, raising the possibility of energy stress situations, such as the energy-rationing scenario observed in the beginning of the century and the latest water crisis (2014. Moments of water scarcity are followed by an increase in energy prices, which affects the economy as whole. Therefore, it is relevant to understand which factors in the Brazilian Electric System affect the energy price and the individual importance of each. This paper aimed to analyze which the key variables influencing the energy price in the spot market are by using official data from the National Electric System Operator. The used data was from the period July/2001 to July/2014, which was employed in a multiple regression methodology along with time series. The results suggest an inverse relationship between the natural flow of rivers (directly related to rainfall and the energy price. Moreover, they also point to an inverse relationship between the potential energy stored in reservoirs as water and the energy price.

  12. Do higher-priced generic medicines enjoy a competitive advantage under reference pricing?

    Science.gov (United States)

    Puig-Junoy, Jaume

    2012-11-01

    In many countries with generic reference pricing, generic producers and distributors compete by means of undisclosed discounts offered to pharmacies in order to reduce acquisition costs and to induce them to dispense their generic to patients in preference over others. The objective of this article is to test the hypothesis that under prevailing reference pricing systems for generic medicines, those medicines sold at a higher consumer price may enjoy a competitive advantage. Real transaction prices for 179 generic medicines acquired by pharmacies in Spain have been used to calculate the discount rate on acquisition versus reimbursed costs to pharmacies. Two empirical hypotheses are tested: the discount rate at which pharmacies acquire generic medicines is higher for those pharmaceutical presentations for which there are more generic competitors; and, the discount rate at which pharmacies acquire generic medicines is higher for those pharmaceutical forms for which the consumer price has declined less in relation to the consumer price of the brand drug before generic entry (higher-priced generic medicines). An average discount rate of 39.3% on acquisition versus reimbursed costs to pharmacies has been observed. The magnitude of the discount positively depends on the number of competitors in the market. The higher the ratio of the consumer price of the generic to that of the brand drug prior to generic entry (i.e. the smaller the price reduction of the generic in relation to the brand drug), the larger the discount rate. Under reference pricing there is intense price competition among generic firms in the form of unusually high discounts to pharmacies on official ex-factory prices reimbursed to pharmacies. However, this effect is highly distorting because it favours those medicines with a higher relative price in relation to the brand price before generic entry.

  13. Regulation of Pharmaceutical Prices

    DEFF Research Database (Denmark)

    Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

    On April 1, 2005, Denmark changed the way references prices, a main determinant of reimbursements for pharmaceutical purchases, are calculated. The previous reference prices, which were based on average EU prices, were substituted to minimum domestic prices. Novel to the literature, we estimate...... the joint eects of this reform on prices and quantities. Prices decreased more than 26 percent due to the reform, which reduced patient and government expenditures by 3.0 percent and 5.6 percent, respectively, and producer revenues by 5.0 percent. The prices of expensive products decreased more than...

  14. Consuming the world's energy: Update series. Energy efficiency trends in oil countries

    International Nuclear Information System (INIS)

    Anon.

    1992-01-01

    This issue of Energy Detente addresses energy efficiency in selected oil producing countries over time and compare the varying effects of important crude oil price changes. As economies around the world heighten their benefits from conservation and efficient use of energy, oil producers will be crucial examples not only for their own sakes, but for consuming countries dependent upon their exports. In this sense, their potential for leadership and vision seems greater than ever. Specifically, 6 oil-exporting countries are featured: Australia, Kuwait, Indonesia, Nigeria, the United Kingdom, and Venezuela. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of February 21, 1992; and (2) the ED Fuel Price/Tax Series for countries of the Eastern Hemisphere, February, 1992 edition

  15. The world market for soybeans: price transmission into Brazil and effects from the timing of crop and trade

    Directory of Open Access Journals (Sweden)

    Frederico A. Turolla

    2007-08-01

    Full Text Available This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992 is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker.

  16. Time scale defined by the fractal structure of the price fluctuations in foreign exchange markets

    Science.gov (United States)

    Kumagai, Yoshiaki

    2010-04-01

    In this contribution, a new time scale named C-fluctuation time is defined by price fluctuations observed at a given resolution. The intraday fractal structures and the relations of the three time scales: real time (physical time), tick time and C-fluctuation time, in foreign exchange markets are analyzed. The data set used is trading prices of foreign exchange rates; US dollar (USD)/Japanese yen (JPY), USD/Euro (EUR), and EUR/JPY. The accuracy of the data is one minute and data within a minute are recorded in order of transaction. The series of instantaneous velocity of C-fluctuation time flowing are exponentially distributed for small C when they are measured by real time and for tiny C when they are measured by tick time. When the market is volatile, for larger C, the series of instantaneous velocity are exponentially distributed.

  17. Entropy correlation distance method. The Euro introduction effect on the Consumer Price Index

    Science.gov (United States)

    Miśkiewicz, Janusz

    2010-04-01

    The idea of entropy was introduced in thermodynamics, but it can be used in time series analysis. There are various ways to define and measure the entropy of a system. Here the so called Theil index, which is often used in economy and finance, is applied as it were an entropy measure. In this study the time series are remapped through the Theil index. Then the linear correlation coefficient between the remapped time series is evaluated as a function of time and time window size and the corresponding statistical distance is defined. The results are compared with the the usual correlation distance measure for the time series themselves. As an example this entropy correlation distance method (ECDM) is applied to several series, as those of the Consumer Price Index (CPI) in order to test some so called globalisation processes. Distance matrices are calculated in order to construct two network structures which are next analysed. The role of two different time scales introduced by the Theil index and a correlation coefficient is also discussed. The evolution of the mean distance between the most developed countries is presented and the globalisation periods of the prices discussed. It is finally shown that the evolution of mean distance between the most developed countries on several networks follows the process of introducing the European currency - the Euro. It is contrasted to the GDP based analysis. It is stressed that the entropy correlation distance measure is more suitable in detecting significant changes, like a globalisation process than the usual statistical (correlation based) measure.

  18. Is there co-movement of agricultural commodities futures prices and crude oil?

    Energy Technology Data Exchange (ETDEWEB)

    Natanelov, Valeri, E-mail: valeri.natanelov@ugent.be [Department of Agricultural Economics, Ghent University, Coupure links 653, 9000 Ghent (Belgium); Alam, Mohammad J. [Department of Agricultural Economics, Ghent University, Coupure links 653, 9000 Ghent (Belgium); Department of Agribusiness and Marketing, Bangladesh Agricultural University (Bangladesh); McKenzie, Andrew M. [Department of Agricultural Economics and Agribusiness, University of Arkansas, AR (United States); Van Huylenbroeck, Guido [Department of Agricultural Economics, Ghent University, Coupure links 653, 9000 Ghent (Belgium)

    2011-09-15

    Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. - Highlights: > We show that co-movement of commodity futures is a temporal concept. > A variation in parallel movement between 2 large periods occurs. > Biofuel policy buffers parallel movement of corn and crude oil futures

  19. Is there co-movement of agricultural commodities futures prices and crude oil?

    International Nuclear Information System (INIS)

    Natanelov, Valeri; Alam, Mohammad J.; McKenzie, Andrew M.; Van Huylenbroeck, Guido

    2011-01-01

    Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. - Highlights: → We show that co-movement of commodity futures is a temporal concept. → A variation in parallel movement between 2 large periods occurs. → Biofuel policy buffers parallel movement of corn and crude oil futures

  20. The impact of oil price volatility on the future of the U.S. economy

    International Nuclear Information System (INIS)

    Boyd, Roy; Doroodian, K.; Thornton, Dennis

    2000-01-01

    This paper examines the impact of a foreign oil price shock on domestic energy markets as well as the U.S. economy as a whole. The analytical approach employed in the analysis consisted of a dynamic CGE model composed of eight production sectors, eight consumption sectors, three household categories classified by income, foreign sector, and the government. The results show that oil price shocks will have, as expected, a significantly positive effect on crude oil production. We also find that such price shocks negatively affect the refinery sector as input costs rise there. A decline in per-well productivity has the effect of dampening the rise in crude oil extraction and causing a further decline in refinery output. Economy-wide, the impact of a new series of oil price shocks is quite limited with overall welfare falling, but nowhere near the levels experienced in the 1970s and early 1980s. (Author)