Characterizing price index behavior through fluctuation dynamics
Panigrahi, Prasanta K; Banerjee, Arjun; Bahadur, Jainendra; Manimaran, P
2012-01-01
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact that these basis sets satisfy vanishing moments conditions makes them ideal to extract local polynomial trends, through the low pass or `average coefficients'. Subtracting the trends from the original time series yields the fluctuations, at different scales, depending on the level of low-pass coefficients used for finding the `average behavior'. The fluctuations are then studied using wavelet based multifractal detrended fluctuation analysis to analyze their self-similar and non-statistical properties. Due to the multifractality of such time series, they deviate from Gaussian behavior in different frequency regimes. Their departure from random matrix theory predictions in such regimes is also analyzed. These deviations and non-statistical properties of the fluctuations can...
Fluctuation of Gold Price in India Versus Global Consumer Price Index
Mali, P.
2013-03-01
The time series of gold price in the Indian market and the global consumer price index for the period of January 1985 to June 2013 are analyzed in terms of the multifractal detrended fluctuation analysis (MF-DFA). Multifractal variables, such as the generalized Hurst exponent, the multifractal mass exponent, the singularity spectrum, are extracted for both the series. Special emphasis is given on the possible source(s) of correlations in these series. The multifractal results are fitted to the generalized binomial multifractal model consists of only two parameters. Our analysis show that the multifractal nature of the Indian gold market time series and the global consumer price index series is due to both the long-range temporal correlation and the fat-tailed probability density function of the values. Surprisingly, the series are well described by the two-parameter binomial multifractal model used.
Ruoyang Chen
2016-01-01
Full Text Available Since the CSI 300 index futures officially began trading on April 15, 2010, analysis and predictions of the price fluctuations of Chinese stock index futures prices have become a popular area of active research. In this paper, the Complementary Ensemble Empirical Mode Decomposition (CEEMD method is used to decompose the sequences of Chinese stock index futures prices into residue terms, low-frequency terms, and high-frequency terms to reveal the fluctuation characteristics over different time scales of the sequences. Then, the CEEMD method is combined with the Particle Swarm Optimization (PSO algorithm-based Support Vector Machine (SVM model to forecast Chinese stock index futures prices. The empirical results show that the residue term determines the long-term trend of stock index futures prices. The low-frequency term, which represents medium-term price fluctuations, is mainly affected by policy regulations under the analysis of the Iterated Cumulative Sums of Squares (ICSS algorithm, whereas short-term market disequilibrium, which is represented by the high-frequency term, plays an important local role in stock index futures price fluctuations. In addition, in forecasting the daily or even intraday price data of Chinese stock index futures, the combination prediction model is superior to the single SVM model, which implies that the accuracy of predicting Chinese stock index futures prices will be improved by considering fluctuation characteristics in different time scales.
Vicente, R; Leite, V B P; Caticha, N; Vicente, Renato; Toledo, Charles M. de; Leite, Vitor B.P.; Caticha, Nestor
2006-01-01
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\\~ao Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 minutes to 160 days. At time scales shorter than 20 minutes we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at i...
Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor
2006-02-01
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.
Oil Price Fluctuations and Industry Stock Return
Reza Tahmoorespour; Marjan Rezvani; Meysam Safari; Elias Randjbarand
2015-01-01
This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.)...
Oil Price Fluctuation Reflects International Power Balance
张宇燕; 管清友
2008-01-01
Due to the uncertainty of the oil economy,economists have yet to build a perfect analytical framework for the oil market.Over a period of time,oil price fluctuates according to the supply and demand of the international market.In the long run,however,given the political nature of oil,oil price fluctuation is also dependent on the power balance between oil consumer and producer countries.History has proven that the world energy landscape is constantly in a process of change and evolution,which underlies the increasing oil price uncertainty in the long run.From the perspective of the world energy landscape and its evolution,this article applies international political-economic methodology in addressing the energy security issues facing China,with the purpose of offering recommendations for further areas of energy research.
Capital Gains Taxation and House Price Fluctuations
Fuest, Clemens; Nielsen, Søren Bo
2004-01-01
Recent years have seen large swings in house prices in many countries. Motivated by housing price variations, proposals for taxing capital gains on housing have repeatedly been put forth. The idea seems to be that such taxes would curb the redistribution occurring between those owning houses...... and those trying to get into the market for owner-occupied housing. Our paper shows that at least in simple settings, a tax on real capital gains on housing will only lead to even bigger price swings and will not be able to redistribute between people appearing on either side of the housing market.......Keywords: capital gains tax, housing market, price fluctuationsJEL-Classification: H23, H24, R 31.Addresses:...
Housing Price Fluctuations Across China: An Equilibrium Mechanism Perspective
ZHANG Hong; WENG Shaoqun; ZHOU Xuan
2007-01-01
The mechanisms affecting housing prices were studied using the equilibrium housing prices based on classic supply/demand theory. The fluctuations of the actual housing prices were then analyzed relative to the equilibrium prices. The equilibrium prices for each area were calculated from economic statistics and housing prices in 35 China metropolitan areas. The fluctuations of the actual prices are then manifested as functions of the equilibrium price, the mean reversion, and the autocorrelation coefficient. The results show that the equilibrium prices are determined by the basic economic conditions in China and that the equilibrium prices greatly affect the fluctuation of the actual prices, which return to the equilibrium price through self-adjustments. The data also shows that the actual prices in China have the trend of continuing to rise in the future.
Fractality feature in oil price fluctuations
Momeni, M; Talebi, K
2008-01-01
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within a non-stationary process formulation. It is shown that, when returns are measured over intervals less than 10 days, the Probability Density Functions (PDFs) exhibit self-similarity and monoscaling, in contrast to the multifractal behavior of the PDFs at macro-scales (typically larger than one month). We find that the time evolution of the distributions are well fitted by a Levy distribution law at micro-scales. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer
The Mathematical Statistics Theory Application on the Price Fluctuation Analysis
Jintao Meng
2013-01-01
Full Text Available Grain price and output fluctuation are the normal state of market economy. It is one of the most important economic researches to understand grain price and output fluctuation law, which provides theory basis for the macroeconomic regulation and control. According to the cobweb model theory, the relationship between citrus production and price is accord with the divergence type of cobweb model .This means that simply relying on market regulation can make fluctuation between production and price bigger, go against citrus production and cultivation, thus, affecting the interests of farmers. It is well-known most farmers are concerned about the future price trend and the probability of price fluctuation. This paper uses mathematical statistics theory to study the citrus price changes, and the corresponding change trend, providing a theoretical basis for majority of farmers to better estimate citrus price change trend.
Fluctuation traits of Litchi wholesale price in China
Yan, F. F.; Qi, W. E.; Ouyang, X.
2017-07-01
This paper chose the wholesale price of litchi as research object based on the daily data of 11 main sales markets in China -- Beijing, Chengdu, Guangzhou, Hefei, Jiaxing, Nanjing, Shanghai, Shenyang, Changsha, Zhengzhou and Chongqing from April 1, 2012 to September 30, 2016. After analyzing the fluctuation characteristics with BP filter method and H-P filter method, and the fluctuation trends of litchi wholesale price in China obtained by BP filter are roughly consistent with the trends obtained by H-P filter. The main conclusions are as follows: there is strong cyclicality in the fluctuation of litchi wholesale price; the period of fluctuations of litchi wholesale prices are not repeatable; litchi wholesale price fluctuates asymmetrically in one fluctuation cycle.
House price fluctuations and the business cycle dynamics
Abate, Girum Dagnachew; Anselin, Luc
areas in the US from 2001 to 2013, it is shown that house price fluctuations have detrimental effect on output growth and spillover from one location to another. The loss of output due to house price fluctuations is more pronounced during the recent financial crisis. The time varying recursive...
Uniformity Analysis for Index of Retail Price
潘竞红; 曾庆洪; 刘梅英
2002-01-01
Using the Hodges-Ajne testing method, the uniformity of China retail price index was tested. The result, that population is submitting to uniform dist ribution, was obtained. The uniformity of CRPI indicates that the general price level is stable in the Ninth Five-Year Plan. Finally, the reasons causing the uniformity was analyzed.
Liquidity crisis, granularity of the order book and price fluctuations
Cristelli, M.; Alfi, V.; Pietronero, L.; Zaccaria, A.
2010-01-01
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity g) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume ω and g. The dependence on the volume (averaged over the granularity) of the Price Impact Surface is found to be a concave power law function g ˜ ωδ with δ ≈ 0.59. Instead the dependence on the granularity is φ(ω,g|ω) ˜ gα with α ≈ -1, showing a divergence of price fluctuations in the limit g → 0. Moreover, even in intermediate situations of finite liquidity, this effect can be very large and it is a natural candidate for understanding the origin of large price fluctuations.
Which price index for Eurozone index-linked bonds
Arnold, I.J.M.
2006-01-01
Index-linked bonds (ILBs) constitute a small but growing segment of the eurozone bond market. Issuers of index-linked bonds face a choice between linking to either a eurozone or a national price index. This paper examines this choice both theoretically and empirically and ends up with the following
A Countrywide House Price Index for 152 Years
Lunde, Jens; Helding Madsen, Anders; Lundbæk Laursen, Maria
for creating the house price index arose, especially in converting the previous registered house prices in the statistics into current market prices. In real terms, the average sale price index increased more than the SPAR index for the years where the two indices were compared, and the difference express...... in house prices is depicted. The Danish house price index covering all the 152 years is in reality a simple average sale price index for houses. From 1920 on it was possible to construct another and a “pure” house price index, based on the Sales Price Appraisal Ratio (SPAR) method. Several challenges...... the qualitative improvement of the sold house through the years. The SPAR index contains long house price cycles, and the unique recent bubble is observed. The development in real prices holds no arguments for the SPAR index will increase in the long run. Already published long house price indices exist...
Measuring Price Changes: A Study of the Price Indexes. Fourth Edition.
Wallace, William H.; Cullison, William E.
This three-part monograph examines the major price indexes used to measure the intensity of inflation. The first part discusses the recent behavior of prices as measured by the Consumer Price Index (commodities, goods, and services), the Producer Price Index (wholesale prices of crude materials, intermediate materials, supplies, components, and…
11 CFR 110.17 - Price index increase.
2010-01-01
... 11 Federal Elections 1 2010-01-01 2010-01-01 false Price index increase. 110.17 Section 110.17... PROHIBITIONS § 110.17 Price index increase. (a) Price index increases for party committee expenditure... 11 CFR 109.32 and 110.8 shall be increased by the percent difference between the price index, as...
Quantifying price fluctuations in the Brazilian stock market
Tabak, B. M.; Takami, M. Y.; Cajueiro, D. O.; Petitinga, A.
2009-01-01
This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time series suggests that for most of the time the power law is not rejected, but that in some cases the data set does not conform with a power law distribution.
Studies on price indexes and innovation
Carreon-Rodriguez, Victor G.
This thesis develops two studies on price indexes and innovation. The first one analyzes the problems on the computation of price indexes when there are improvements in the goods' quality. These problems arise because we use price indexes that measure the prices of the goods that consumers buy rather than the prices of the services that consumers enjoy. In order to see this, I compute a true price for gasoline that is based on the services that it provides. We ask for the cost of moving one ton at a speed of 40 mph for a distance of 100 miles. This true price is compared with the official price for gasoline. The average annual bias (the rise in the official price relative to the true price) is 3.2% per year. We also compute the hours of work required to cover that cost. We find that in 1925 there were needed almost 1.5 hours of work, while by 1992 there were just needed about 8 minutes to move one ton as specified above. The second one develops a model of Cournot competition in innovation. This model introduces two new features. First, firm's investment in research and development is divided into two pieces, expenditures in human capital and expenditures in all other inputs (called R&D for simplicity). Second, the government also allocates resources to research and development, which affect the stock of knowledge available to the firms. Some interesting results arise from this model. First, investments in human capital and in R&D are increasing in the past government's investment. Second, investments per firm are decreasing in the number of firms in the industry, but the totals are larger if some conditions on the elasticities are satisfied. Third, the welfare analysis tells us that if there are entry barriers, each firm is overinvesting in both inputs. On the other hand, if there is free entry, there are too many firms engaged in the innovative race. Finally, we perform an empirical analysis and we find that there are lagged effects of the government's investment
Why Are There Great Fluctuations in the Prices of Vegetables?
Shuang; CHEN; Lijia; HU
2013-01-01
The normal supply of vegetables is related to the people’s livelihood and social stability,and smooth prices of vegetables are vital to social development. Based on the phenomenon of great fluctuations in the prices of vegetables in recent years,we use living example to analyze the real reasons for great fluctuations in the prices of vegetables from the perspective of supply chain node of vegetables and macroeconomic policies. Finally,from the balance of supply and demand,industry standardization,circulation,market order and the government mechanism,we put forth the following management strategies for controlling great fluctuations in the prices of vegetables: establishing and improving the channels of information transmission,making the production and marketing information symmetrical,and balancing supply and demand; actively promoting the industry standardization of vegetables; reducing the intermediate links,and curtailing the circulation cost of vegetables; regulating the " green channel" of vegetables,and preventing uptick in the prices of vegetables in the " last mile" ; cracking down on the vegetable speculation behavior to ensure the healthy development of the vegetable market; actively giving play to the role of government,and building the vegetable protection system.
A price index for biomedical research and development.
Holloway, T M; Reeb, J S
1989-01-01
Price changes of goods and services used in biomedical research and development have important effects on the costs of conducting research. We summarize the trends suggested by a recently constructed biomedical research and development price index, which measures the effects of price changes on the inputs to biomedical research from 1979 to 1986. The fixed-weighted index uses fiscal year 1984 National Institutes of Health expenditure patterns in developing the weights. The rate of increase shown in the price index peaked in 1981 and slowed in following years. However, in most years, the rate of increase in the price index has exceeded the rate of increase in other major price indexes, such as the consumer price index, the producer price index, and the Gross National Product fixed-weighted price index.
Impact of Oil Price Fluctuation on China's Petroleum Security
无
2002-01-01
@@ Based on the sampling survey on the countries with population exceeding 100 million people, China ranks ninth among the 10 large population countries for the national security of natural resources and environment, only ahead of Japan. What is worse, the population growth and promotion of living standard exert greater pressure on the currently weak natural resources and environment. The recent upward trend of oil price has caused concerns from the society. People may ask whether the current oil price fluctuation will affect China's petroleum security.
Price indexes for pharmaceuticals used by the elderly
Thomas, Joseph; Schondelmeyer, Stephen
1992-01-01
The analysis presented in this report was undertaken to identify those drug entities that account for a significant proportion of the retail expenditures for prescription drugs used by the elderly. Commercial data bases were used to develop fixed weight Laspeyres price indexes based specifically on drugs used in the elderly population. The indexes provide the capability to analyze price trends for drug groupings that are not possible with the producer price index (PPI) or the Consumer Price I...
Oil Market Forecast and the Analysis of Economic Impact of Oil Price Fluctuations
Lee, M.B. [Korea Energy Economics Institute, Euiwang (Korea)
2001-12-01
In the past two years, we noticed that oil prices have fluctuated with a wide range of $10 per barrel in the international oil markets. Since her annual oil import exceeded 10% of the national gross import, Korea became much concerned with economic impacts of changes in crude oil prices along with the short-term outlook of international crude oil market. In this context, this study is conducted to build a macro-economic model as well as an input-output analysis to deal with such changes in oil prices. The major findings are as follows: In the short-term, oil import price in 2001 is expected to stay at the level of $23.50 per barrel and the price will drop to the level of $20{approx}$22, approximately 10% drop from the previous year. The short-term impacts of these oil prices include: 3.0% increase in GDP; 9.7% decrease in export; 2.8% increase in petroleum product prices; 2.8% increase in demand for petroleum products; 6.1% increase in producer price index (PPI) in 2001. The impacts of 10% drop in oil prices under a scenario of the constant foreign exchange rate against US dollar include: 5.2% increase in GDP; 3.7% increase in import, 1.1% increase in petroleum product prices, 8.1% increase in demand for petroleum; and 3.7% increase in PPI. An input-output analysis reveals that the decrease in petroleum production cost induced by 10% drop in oil import prices amounted to approximately 5{approx}6%. Other sectors which show a big drop in production cost are basic petro-chemical industry, heat suppliers, electricity sector, and city gas suppliers. Among the petroleum products, naphtha shows the biggest drop of 8% in production cost, followed by fuel oils (7%), kerosene and diesel (6%), LPG (6%), and gasoline (3%). (author). 20 refs., 7 figs., 12 tabs.
Self-organization of price fluctuation distribution in evolving markets
Pan, R K; Pan, Raj Kumar; Sinha, Sitabhra
2006-01-01
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a distribution that is identical to that observed for developed markets (e.g., NYSE). In particular, the cumulative distribution has a long tail described by a power law with an exponent $\\alpha \\approx 3$. Also, we study the historical evolution of this distribution over the period of existence of the National Stock Exchange (NSE) of India, which coincided with the rapid transformation of the Indian economy due to liberalization, and show that this power law tail has been present almost throughout. We conclude that the ``...
Self-organization of price fluctuation distribution in evolving markets
Pan, R. K.; Sinha, S.
2007-03-01
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a distribution that is identical to that observed for developed markets (e.g., NYSE). In particular, the cumulative distribution has a long tail described by a power law with an exponent α ap 3. Also, we study the historical evolution of this distribution over the period of existence of the National Stock Exchange (NSE) of India, which coincided with the rapid transformation of the Indian economy due to liberalization, and show that this power law tail has been present almost throughout. We conclude that the "inverse cubic law" is a truly universal feature of a financial market, independent of its stage of development or the condition of the underlying economy.
The substitution bias of the consumer price index
Frenger, Petter
2006-01-01
Abstract: The paper uses elementary consumer theory to propose an inflation independent ratio definition of the substitution bias of the Laspeyres consumer price index, and derives an approximate substitution bias which depends on the size of the price change as measured by a norm in the Laspeyres plane and on the elasticity of substitution in the direction of the price change. This norm or distance measure can be interpreted as a price substitution index which yields useful in...
Cross-correlations between Baltic Dry Index and crude oil prices
Ruan, Qingsong; Wang, Yao; Lu, Xinsheng; Qin, Jing
2016-07-01
This paper examines the cross-correlation properties of Baltic Dry Index (BDI) and crude oil prices using cross-correlation statistics test and multifractal detrended cross-correlation analysis (MF-DCCA). The empirical results show that the cross-correlations between BDI and crude oil prices are significantly multifractal. By introducing the concept of a "crossover", we find that the cross-correlations are strongly persistent in the short term and weakly anti-persistent in the long term. Moreover, cross-correlations of all kinds of fluctuations are persistent in the short time while cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the long term. We have also verified that the multifractality of the cross-correlations of BDI and crude oil prices is both attributable to the persistence of fluctuations of time series and fat-tailed distributions.
Calculating the Candy Price Index: A Classroom Inflation Experiment.
Hazlett, Denise; Hill, Cynthia D.
2003-01-01
Outlines how students develop a price index based on candy-purchasing decisions made by class members. Explains that students used the index to practice calculating inflation rates and to consider the strengths and weaknesses of the consumer price index (CPI). States that the exercise has been used in introductory and intermediate macroeconomics…
Calculation of slope-cover height under price fluctuation in open-pit mines
Ma Jinyan; Cai Qingxiang; Liu Fuming; Chen Shuzhao
2014-01-01
Leaving ditches between adjacent mining areas can effectively reduce re-stripping in the latter mining area and simultaneously lead to an increment in internal dumping costs in the former mining area. This paper establishes calculation models for these two marginal costs. The optimizing model for slope cover height can be determined by including marginal cost models in the objective function. The paper has two main contributions:(a) it fully considers redistribution of dumping space in the model;(b) it introduces price fluctuations and cash discounts in the model. We use the typical open-pit mine as an example to test and prove the model. We conclude that a completely covered slope is reasonable in Haerwusu open pit mine;in addition to an increasing price index, the slope cover height can be reduced;and that price changes are one of the most important influencing factors of slope cover height optimization in an open-pit mine.
Alternative Approaches to Commercial Property Price Indexes for Tokyo
Diewert, Erwin; SHIMIZU, Chihiro
2014-01-01
The paper studies the problems associated with the construction of price indexes for commercial properties that could be used in the System of National Accounts. Property price indexes are required for the stocks of commercial properties in the Balance Sheets of the country and related price indexes for the land and structure components of a commercial property are required in the Balance Sheet accounts of the country for the calculation of the Multifactor Productivity of the Commercial Prope...
The Myriad United States Price Indexes and Inflation Measures: A Primer.
Stratford, Jean Slemmons; Stratford, Juri
1993-01-01
Describes various inflationary measures, price indexes, and price deflators. Highlights include Bureau of Labor Statistics price indexes, including the Consumer Price Index and the Producer Price Index; Bureau of Economic Analysis price deflators; the Cost of Living Index; and a comparison of measures of inflation. (27 references) (LRW)
Kinetic market models with single commodity having price fluctuations
Chatterjee, A; Chakrabarti, Bikas K.; Chatterjee, Arnab
2006-01-01
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: Gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution for a market with agents having random saving propensity.
The Multiscale Fluctuations of the Correlation between Oil Price and Wind Energy Stock
Shupei Huang
2016-06-01
Full Text Available Wind energy is considered a clear and sustainable substitution for fossil fuel, and the stock index of the wind energy industry is closely related to the oil price fluctuation. Their relationship is characterized by multiscale and time-varying features based on a variety of stakeholders who have different objectives within various time horizons, which makes it difficult to identify the factor in which time scale could be the most influential one in the market. Aiming to explore the correlation between oil price and the wind energy stock index from the time–frequency domain in a dynamic perspective, we propose an algorithm combining the wavelet transform, complex network, and gray correlation analyses and choose the Brent oil price and the international securities exchange (ISE global wind energy index from January 2006 to October 2015 in daily frequency as data sample. First, we define the multiscale conformation by a set of fluctuation information with different time horizons to represent the fluctuation status of the correlation of the oil–wind nexus rather than by a single original correlation value. Then, we transform the multiscale conformation evolution into a network model, and only 270 multiscale conformations and 710 transmissions could characterize 2451 data points. We find that only 30% of conformations and transmissions work as a backbone of the entire correlation series; through these major conformations, we identify that the main factor that could influence the oil–wind nexus are long-term components, such as policies, the status of the global economy and demand–supply issues. In addition, there is a clustering effect and transmissions among conformations that mainly happen inside clusters and rarely among clusters, which means the interaction of the oil–wind nexus is stable over a short period of time.
Scaling of the distribution of price fluctuations of individual companies.
Plerou, V; Gopikrishnan, P; Nunes Amaral, L A; Meyer, M; Stanley, H E
1999-12-01
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major U.S. stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers Automated Quotation stock market. Specifically, we consider (i) the trades and quotes database, for which we analyze 40 million records for 1000 U.S. companies for the 2-yr period 1994-95; and (ii) the Center for Research and Security Prices database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-yr period 1962-96. We study the probability distribution of returns over varying time scales Delta t, where Delta t varies by a factor of approximately 10(5), from 5 min up to approximately 4 yr. For time scales from 5 min up to approximately 16 days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent 2.5 (Delta t)(x) approximately equal to 16 days, we observe results consistent with a slow convergence to Gaussian behavior. We also analyze the role of cross correlations between the returns of different companies and relate these correlations to the distribution of returns for market indices.
A Consistent Pricing Model for Index Options and Volatility Derivatives
Kokholm, Thomas
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...
A Consistent Pricing Model for Index Options and Volatility Derivatives
Cont, Rama; Kokholm, Thomas
2013-01-01
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...
A Consistent Pricing Model for Index Options and Volatility Derivatives
Kokholm, Thomas
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...
Commodity Price Volatility: The Impact of Commodity Index Traders
Getu, Hailu; Weersink, Alfons
2010-01-01
Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of speculator that has been blamed for the dramatic changes in agricultural commodity prices experienced over the last several years. Commodity index traders (CITs) and other large institutional traders ...
A top-bottom price approach to understanding financial fluctuations
Rivera-Castro, Miguel A.; Miranda, José G. V.; Borges, Ernesto P.; Cajueiro, Daniel O.; Andrade, Roberto F. S.
2012-02-01
The presence of sequences of top and bottom (TB) events in financial series is investigated for the purpose of characterizing such switching points. They clearly mark a change in the trend of rising or falling prices of assets to the opposite tendency, are of crucial importance for the players' decision and also for the market stability. Previous attempts to characterize switching points have been based on the behavior of the volatility and on the definition of microtrends. The approach used herein is based on the smoothing of the original data with a Gaussian kernel. The events are identified by the magnitude of the difference of the extreme prices, by the time lag between the corresponding events (waiting time), and by the time interval between events with a minimal magnitude (return time). Results from the analysis of the inter day Dow Jones Industrial Average index (DJIA) from 1928 to 2011 are discussed. q-Gaussian functions with power law tails are found to provide a very accurate description of a class of measures obtained from the series statistics.
Scale-dependent price fluctuations for the Indian stock market
Matia, K.; Pal, M.; Salunkay, H.; Stanley, H. E.
2004-06-01
Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power law probability density function P(g) ~ g-(α + 1) with exponent values α > 2. To test the ubiquity of this relationship we analyze daily returns for the period November 1994 June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest trade volume in India. We find the surprising result that P(g) decays as an exponential function P(g) ~ exp [ - βg] with a characteristic decay scale β = 1.51 ± 0.05 for the negative tail and β = 1.34 ± 0.04 for the positive tail. The exponential function is significantly different from the power law function observed for highly developed economies. Thus, we conclude that the stock market of the less highly developed economy of India belongs to a different class from that of highly developed countries.
The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models
Younos Vakilolroaya
2014-03-01
Full Text Available The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.
A Consistent Pricing Model for Index Options and Volatility Derivatives
Cont, Rama; Kokholm, Thomas
options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... on S&P 500 across strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....
A Consistent Pricing Model for Index Options and Volatility Derivatives
Kokholm, Thomas
on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....
Fish Is Food - The FAO’s Fish Price Index
Tveterås, Sigbjørn; Asche, Frank; Bellemare, Marc F.; Smith, Martin D.; Guttormsen, Atle G.; Lem, Audun; Lien, Kristin; Vannuccini, Stefania
2012-01-01
World food prices hit an all-time high in February 2011 and are still almost two and a half times those of 2000. Although three billion people worldwide use seafood as a key source of animal protein, the Food and Agriculture Organization (FAO) of the United Nations–which compiles prices for other major food categories–has not tracked seafood prices. We fill this gap by developing an index of global seafood prices that can help to understand food crises and may assist in averting them. The fish price index (FPI) relies on trade statistics because seafood is heavily traded internationally, exposing non-traded seafood to price competition from imports and exports. Easily updated trade data can thus proxy for domestic seafood prices that are difficult to observe in many regions and costly to update with global coverage. Calculations of the extent of price competition in different countries support the plausibility of reliance on trade data. Overall, the FPI shows less volatility and fewer price spikes than other food price indices including oils, cereals, and dairy. The FPI generally reflects seafood scarcity, but it can also be separated into indices by production technology, fish species, or region. Splitting FPI into capture fisheries and aquaculture suggests increased scarcity of capture fishery resources in recent years, but also growth in aquaculture that is keeping pace with demand. Regionally, seafood price volatility varies, and some prices are negatively correlated. These patterns hint that regional supply shocks are consequential for seafood prices in spite of the high degree of seafood tradability. PMID:22590598
Price Discovery Function of Index Futures in China: Evidence from Daily Closing Prices
SHIQING; XIE; JIAJUN; HUANG
2013-01-01
Price discovery is one of the main functions of stock index futures.Using the daily closing prices of the CSI 300 index and its index futures from April 2010 to April 2012,this paper applies a vector error correction model(VECM)and an impulse response function to conduct an empirical analysis on the price discovery function of index futures in China.This paper has the following four findings:(1)a solid cointegration relationship between the CSI 300 index and its index futures exists in the long run;(2)when prices deviate from the longterm equilibrium,the stock index reverses weakly,while the reversal of index futures is much stronger;(3)the daily lead-lag relationship between the prices of the CSI 300 index and its index futures contracts is not significant in the short run;()shocks from the spot market have a lasting impact upon the futures market,but not vice versa,due to the limited short-term adjustment ability of the spot market.
Environmental Factors Influencing Fluctuation of Share Prices on ...
Nekky Umera
An International Multi-Disciplinary Journal, Ethiopia. Vol. 3 (5), October, 2009 ... Share Prices on Nigeria Stock Exchange Market. Umar Gunu - Department of .... examined share prices of first cross sectional samples. Equities quoted on the.
Souza, Jeferson de [Laboratorio de Analise de Bacias e Petrofisica, Departamento de Geologia, Universidade Federal do Parana, Centro Politecnico - Jardim das Americas, Caixa Postal 19001, 81531-990 Curitiba-PR (Brazil); Centro Brasileiro de Pesquisas Fisicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro-RJ (Brazil)], E-mail: jdesouza@ufpr.br; Duarte Queiros, Silvio M. [Centro Brasileiro de Pesquisas Fisicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro-RJ (Brazil)], E-mail: sdqueiro@googlemail.com
2009-11-30
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose the Dow Jones Industrial Average. The analysis consists about the quantification of the influence of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent importance of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.
The New & Revised Consumer Price Indexes. ERS Information Aid.
Kowalski, Joan P. Sullivan; Porwoll, Paul J.
The purpose of this Information Aid is to alert school officials to changes and revisions in the Consumer Price Index (CPI), to familiarize them with differences between the former CPI and the new and revised indexes, to demonstrate how the U.S. Bureau of Labor Statistics (BLS) computes changes in the CPI, to indicate appropriate uses of the CPI,…
Araujo Bonjean, Catherine; Jean-François BRUN
2014-01-01
The aim of this paper is to explore the channels of transmission of the fluctuations in the world price of cocoa to the consumer of chocolate bars in France. This case study can be considered as an illustration of a more general pattern of asymmetric vertical price transmission in the commodity-final product chain. Two types of asymmetry are suspected: asymmetry in the transmission of positive and negative shocks that may reflect non-competitive behavior in the chocolate industry and asymmetr...
Index Driven Price Pressure in Corporate Bonds
Dick-Nielsen, Jens
Inclusion and exclusion of bonds from major indices are information-free, monthly events. At these events, liquidity providers get a significant abnormal return by trading against index trackers. The return is highest for bonds that are excluded because of a recent downgrade with a one-day return...
Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method
Bhaduri, Susmita; Ghosh, Subhadeep
2016-01-01
We give emphasis on the use of chaos-based rigorous nonlinear technique called Visibility Graph Analysis, to study one economic time series - gold price of USA. This method can offer reliable results with fiinite data. This paper reports the result of such an analysis on the times series depicting the fluctuation of gold price of USA for the span of 25 years(1990 - 2013). This analysis reveals that a quantitative parameter from the theory can explain satisfactorily the real life nature of fluctuation of gold price of USA and hence building a strong database in terms of a quantitative parameter which can eventually be used for forecasting purpose.
Inverse cubic law of index fluctuation distribution in Indian markets
Pan, R K; Pan, Raj Kumar; Sinha, Sitabhra
2006-01-01
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets such as the New York Stock Exchange (NYSE) have been found to show heavy-tailed fluctuation distribution, there have been claims that emerging markets behave differently. Here we investigate the distribution of several indices from the Indian financial market, one of the largest emerging markets in the world. We have used both tick-by-tick data from the National Stock Exchange (NSE) and daily closing data from both NSE and Bombay Stock Exchange (BSE). We find that the cumulative distribution of index fluctuations has long tails consistent with a power law having exponent $\\alpha \\approx 3$, independent of the time-scale of observation or the market index used for the analysis. This ``inverse cubic law'' is quantitatively similar to what has been observed in developed markets, thereby providing strong evidence th...
Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations
Markowich, Peter A.
2016-10-04
In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.
What's Happened to the Price of College? Quality-Adjusted Net Price Indexes for Four Year Colleges
Schwartz, Amy Ellen; Scafidi, Benjamin
2004-01-01
Hedonic models of the price of college to construct quality-adjusted net price indexes for U.S. four-year colleges were estimated. A 22 percent decline in the estimated price index is reported by adjusting for financial aid, while quality adjusting results lead to a smaller decline, for academic years 1990-91 to 1994-95.
The Consumer Price Index and Salary Negotiations. Research Reports.
Mitchell, Carolyn S.
1975-01-01
This report discusses use of the Consumer Price Index (CPI) to compute cost-of-living adjustments for wages and salaries in general and teachers' salaries in particular. A number of tables and graphs compare average annual salary increases for Connecticut teachers in 1967-74 with annual increases in the national CPI, the Boston area CPI, the New…
76 FR 37828 - Update to Indian Index Zone Price Points
2011-06-28
... Office of Natural Resources Revenue Update to Indian Index Zone Price Points AGENCY: Office of Natural Resources Revenue, Interior. ACTION: Notice. SUMMARY: The Office of Natural Resources Revenue (ONRR, formerly Minerals Management Service's (MMS) Minerals Revenue Management) is announcing an update to...
Standard errors as weights in multilateral price indexes
Hill, R.; Timmer, M.P.
2006-01-01
Various multilateral methods for computing price indexes use bilateral comparisons as their basic building blocks. Some give greater weight to those bilateral comparisons deemed more reliable. However, none of the existing reliability measures adjusts for gaps in the data. We show how the standard e
Reaction-diffusion-branching models of stock price fluctuations
Tang, Lei-Han; Tian, Guang-Shan
Several models of stock trading (Bak et al., Physica A 246 (1997) 430.) are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the short-time market price variation is subdiffusive with a Hurst exponent H=1/4. Biased diffusion towards the market price and blind-eyed copying lead to crossovers to the empirically observed random-walk behavior ( H=1/2) at long times. The calculated crossover forms and diffusion constants are shown to agree well with simulation data.
A Quality-Adjusted Price Index for Colorectal Cancer Drugs
Claudio Lucarelli; Sean Nicholson
2009-01-01
The average price of treating a colorectal cancer patient with chemotherapy increased from about $100 in 1993 to $36,000 in 2005, due largely to the approval and widespread use of five new drugs between 1996 and 2004. We examine whether the substantial increase in spending has been worth it. Using discrete choice methods to estimate demand, we construct a price index for colorectal cancer drugs for each quarter between 1993 and 2005 that takes into consideration the quality (i.e., the efficac...
Measuring the quality of the producer price index
John Morris; Tegwen Green
2007-01-01
Presents initial ONS estimates of standard errors for two growth rate measures of the gross sector output PPI.The calculation of standard errors for the output producer price index (PPI) has been investigated with the aim of measuring the quality of the growth rates of the published price indices. This article presents, for the first time, Office for National Statistics? (ONS) estimates of the standard errors for month-on-month and 12-month growth rates of the gross sector output PPI. It prov...
A Consistent Pricing Model for Index Options and Volatility Derivatives
Kokholm, Thomas
on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across......We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...
Some Thoughts on Effects of Fluctuation of Stock and Real Estate Prices on Consumer Expenditure
刘琳
2006-01-01
@@ With the rapid development of China' s financial markets,stocks and real estate are becoming one of the assets that can exert remarkable influence on consumer behavior.Since the early 1990s, sharp rises in stock market value in some European and North American countries, along with violent swings of stock market in other countries (Japan, for instance), have asserted enormous influence upon their perspective level of consumer expenditure.In the meantime, influence of fluctuation of real estate prices has been growing consistently as well.Dr.Greenspan,Chairman of the Federal Reserve System, proclaimed in 2001 that fluctuation of U.S.real estate prices should have had a more significant impact on consumer expenditure than that from fluctuation of stock prices in that year, and this trend should continue to strengthen in U.S.
How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
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.
Characteristics of the volatility in the Korea composite stock price index
Lee, Chang-Yong
2009-09-01
We empirically analyze the time series of the Korea Composite Stock Price Index (KOSPI) from March of 1992 to February of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is, a large return is partly, if not entirely, due to the market fluctuation in a long time scale influencing the fluctuation in a short time scale via net information flow. We further show that the volatility has a multi-fractal property, which resembles the multifractality of the energy dissipation in the turbulence.
Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations
Alonso, Irasema; Prado, Mauricio
2015-01-01
Under the hypothesis that aggregate U.S. consumption is random and, more importantly, viewed as ambiguous by consumers, we examine the implications for asset prices and for how consumption fluctuations influence consumer welfare. We consider a simple, Mehra–Prescott-style endowment economy...... with a representative agent facing consumption fluctuations calibrated to match U.S. data from 1889 to 2008. Our experiment is to restrict preference parameters in order to as well as possible match some asset-price facts—the average returns on equity and a short-term risk-free bond—and then compute the welfare...
Tradeoffs between Price and Quality: How a Value Index Affects Preference Formation.
Creyer, Elizabeth H.; Ross, William T., Jr.
1997-01-01
Some of a group of 143 consumers were given a choice between higher-priced, higher-quality items and items with lower price and quality but higher value index (benefit/cost tradeoff); others were given price and quality information only. Consumers were more likely to choose lower-priced, higher-value options when the index information was…
Is the Carli index flawed?: assessing the case for the new retail price index RPIJ.
Levell, Peter
2015-02-01
The paper discusses the recent decision of the UK's Office for National Statistics to replace the controversial Carli index with the Jevons index in a new version of the retail price index-RPIJ. In doing so we make three contributions to the way that price indices should be selected for measures of consumer price inflation when quantity information is not available (i.e. at the 'elementary' level). Firstly, we introduce a new price bouncing test under the test approach for choosing index numbers. Secondly, we provide empirical evidence on the performance of the Carli and Jevons indices in different contexts under the statistical approach. Thirdly, applying something analogous to the principle of insufficient reason, we argue contrary to received wisdom in the literature, that the economic approach can be used to choose indices at the elementary level, and moreover that it favours the use of the Jevons index. Overall, we conclude that there is a case against the Carli index and that the Jevons index is to be preferred.
Investors’ risk attitudes and stock price fluctuation asymmetry
Zhang, Yu; Li, Honggang
2011-05-01
Price rise/fall asymmetry, which indicates enduring but modest rises and sudden short-term falls, is a ubiquitous phenomenon in stock markets throughout the world. Instead of the widely used time series method, we adopt inverse statistics from turbulence to analyze this asymmetry. To explore its underlying mechanism, we build a multi-agent model with two kinds of investors, which are specifically referred to as fundamentalists and chartists. Inspired by Kahneman and Tversky’s claim regarding peoples’ asymmetric psychological responses to the equivalent levels of gains and losses, we assume that investors take different risk attitudes to gains and losses and adopt different trading strategies. The simulation results of the model developed herein are consistent with empirical work, which may support our conjecture that investors’ asymmetric risk attitudes might be one origin of rise/fall asymmetry.
5 CFR 591.224 - How does OPM adjust price indexes between surveys?
2010-01-01
... this, OPM uses the annual or biennial change in the Consumer Price Index (CPI) for the COLA area... 5 Administrative Personnel 1 2010-01-01 2010-01-01 false How does OPM adjust price indexes between...-Of-Living Allowances § 591.224 How does OPM adjust price indexes between surveys? (a) OPM...
5 CFR 591.222 - How does OPM use the expenditure weights to combine price indexes?
2010-01-01
... 5 Administrative Personnel 1 2010-01-01 2010-01-01 false How does OPM use the expenditure weights to combine price indexes? 591.222 Section 591.222 Administrative Personnel OFFICE OF PERSONNEL... combine price indexes? OPM uses a three-step process to combine price indexes. (a) Step 1. For each...
A Price Index Model for Road Freight Transportation and Its Empirical analysis in China
Liu Zhishuo
2017-01-01
Full Text Available The aim of price index for road freight transportation (RFT is to reflect the changes of price in the road transport market. Firstly, a price index model for RFT based on the sample data from Alibaba logistics platform is built. This model is a three levels index system including total index, classification index and individual index and the Laspeyres method is applied to calculate these indices. Finally, an empirical analysis of the price index for RFT market in Zhejiang Province is performed. In order to demonstrate the correctness and validity of the exponential model, a comparative analysis with port throughput and PMI index is carried out.
Hui-Ling Yang
2012-01-01
Full Text Available In today’s competitive markets, selling price and purchasing cost are usually fluctuating with economic conditions. Both selling price and purchasing cost are vital to the profitability of a firm. Therefore, in this paper, I extend the inventory model introduced by Teng and Yang (2004 to allow for not only the selling price but also the purchasing cost to change from one replenishment cycle to another during a finite time horizon. The objective is to find the optimal replenishment schedule and pricing policy to obtain the profit as maximum as possible. The conditions that lead to a maximizing solution guarantee that the existence, uniqueness, and global optimality are proposed. An efficient solution procedure and some theoretical results are presented. Finally, numerical examples for illustration and sensitivity analysis for managerial decision making are also performed.
ArIsmail bin Ahmad
2011-09-01
Full Text Available This study investigates the international price relationship and volatility transmissions betweenstock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression(VAR GJR-GARCH model was applied to the nine years daily price. Japanesemarkets are the main information producer to the market price changes. International marketinterdependence only affected the domestic volatility transmission of spot and futuresmarket in Hong Kong. Asymmetric effects exist in all markets and the volatility persistence ineach market is high. Finally, the overall conditional correlation estimates for spot and futuresmarkets are higher in the unrestricted model form compared to the restricted modelform.Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH, Asian financial markets
31 CFR Appendix D to Part 356 - Description of the Consumer Price Index
2010-07-01
... 31 Money and Finance: Treasury 2 2010-07-01 2010-07-01 false Description of the Consumer Price.... 1-93) Pt. 356, App. D Appendix D to Part 356—Description of the Consumer Price Index The Consumer Price Index (“CPI”) for purposes of inflation-protected securities is the non-seasonally adjusted U.S...
钟世和; 曾小春
2014-01-01
以2003年1月—2012年8月芝加哥环境交易所碳价格月度数据为样本，采用VAR模型、脉冲响应及方差分解等方法，探讨碳价波动对我国能源价格及消费者物价指数（ CPI）波动的影响。结果表明：碳价波动构成我国能源价格波动的原因，但对CPI影响较小。研究结果为我国政府和企业参与2013—2020年第二期碳减排承诺期碳交易提供了理论基础，防止碳价波动对我国实体经济产生负面影响，并提出了利用碳排放交易促进我国实体经济发展、推进经济结构调整的政策建议。%Adopting VAR modeL,impuLse response and variance decomposition methods,the paper discusses the infLuence of carbon price fLuctuations to China's energy prices and consumer price index( CPI),based on the sampLe of carbon price monthLy data of Chicago environmentaL exchange between August 2012 -January 2003. The resuLt shows that the carbon price fLuctuations constitute the reason of China's energy price voLatiLity but Less impact on the CPI. The resuLt provides a theoreticaL basis for the Chinese government and enterprises to participate in the 2013 -2020,the second phase carbon trading in carbon reduction commitment period, and prevents a negative impact of carbon price fLuctuation on China's reaL economy,and puts forward the poLi-cy proposaL by using carbon emissions trading to promote China's reaL economy deveLopment and boost the eco-nomic structure adjustment.
Compressive fluctuations in the solar wind and their polytropic index
B. Bavassano
Full Text Available Magnetohydrodynamic compressive fluctuations of the interplanetary plasma in the region from 0.3 to 1 AU have been characterized in terms of their polytropic index. Following Chandrasekhar's approach to polytropic fluids, this index has been determined through a fit of the observed variations of density and temperature. At least three different classes of fluctuations have been identified: (1 variations at constant thermal pressure, in low-speed solar wind and without a significant dependence on distance, (2 adiabatic variations, mainly close to 1 AU and without a relevant dependence on wind speed, and (3 variations at nearly constant density, in fast wind close to 0.3 AU. Variations at constant thermal pressure are probably a subset of the ensemble of total-pressure balanced structures, corresponding to cases in which the magnetic field magnitude does not vary appreciably throughout the structure. In this case the pressure equilibrium has to be assured by its thermal component only. The variations may be related to small flow-tubes with approximately the same magnetic-field intensity, convected by the wind in conditions of pressure equilibrium. This feature is mainly observed in low-velocity solar wind, in agreement with the magnetic topology (small open flow-tubes emerging through an ensemble of closed structures expected for the source region of slow wind. Variations of adiabatic type may be related to magnetosonic waves excited by pressure imbalances between contiguous flow-tubes. Such imbalances are probably built up by interactions between wind flows with different speeds in the spiral geometry induced by the solar rotation. This may account for the fact that they are mainly found at a large distance from the sun. Temperature variations at almost constant density are mostly found in fast flows close to the sun. These are the solar wind regions with the best examples of incompressible behaviour. They are characterized by very stable
Sticky price inflation index: An alternative core inflation measure
Reiff, Ádám; Várhegyi, Judit
2013-01-01
We show that in both time-dependent and state-dependent sticky price models, prices of sticky price products (i.e. whose price changes rarely) contain more information about medium term inflation developments than those of flexible price products (i.e. whose price changes frequently). We do this by establishing a novel measure for the extent of forwardlookingness of newly set prices, and showing that it is at least 60% when the monthly price change frequency is less than 15%. This result is r...
The Impact of Price Fluctuations in Supply Chain Uncertainty and Risk in Oil & Gas Industry
Mikayilova, Khatira
2015-01-01
Abstract Purpose – The purpose of this research is to examine the challenges faced in oil and gas Supply Chain (SC) during the oil price fluctuations, provide recommendation on a way to reduce uncertainty in SC of oil and gas industry. Design/methodology/approach-The companies chosen for this research are called BP and two service companies: Schlumberger and Halliburton. In order to carry out this study, a qualitative research method was applied. Primary data was gathered through semi-s...
Jiankang Jin
2014-01-01
Full Text Available Five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to form the sample, for the purpose of analysing the impact of the fluctuation of the international gold prices on the gold stocks in Chinese Shanghai and Shenzhen A-share. Using the methods of unit root test, Granger causality test, VAR model, and impulse response function, this paper has analysed the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen comprehensively. The results suggest the fluctuation of the international gold futures has a strong influence on the domestic futures.
Lund, Henrik; Salgi, Georges; Elmegaard, Brian;
2009-01-01
on electricity spot markets by storing energy when electricity prices are low and producing electricity when prices are high. In order to make a profit on such markets, CAES plant operators have to identify proper strategies to decide when to sell and when to buy electricity. This paper describes three...... plants will not be able to achieve such optimal operation, since the fluctuations of spot market prices in the coming hours and days are not known. Consequently, two simple practical strategies have been identified and compared to the results of the optimal strategy. This comparison shows that...... independent computer-based methodologies which may be used for identifying the optimal operation strategy for a given CAES plant, on a given spot market and in a given year. The optimal strategy is identified as the one which provides the best business-economic net earnings for the plant. In practice, CAES...
Rocha, Paulo; Raischel, Frank; Boto, João P.; Lind, Pedro G.
2016-05-01
We present a framework for describing the evolution of stochastic observables having a nonstationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York Stock Exchange, about which several remarks are pointed out from our analysis. Using Kullback-Leibler divergence we evaluate the best model out of four biparametric models commonly used in the context of financial data analysis. In our present data sets we conclude that the inverse Γ distribution is a good model, particularly for the distribution tail of the largest volume-price fluctuations. Extracting the time series of the corresponding parameter values we show that they evolve in time as stochastic variables themselves. For the particular case of the parameter controlling the volume-price distribution tail we are able to extract an Ornstein-Uhlenbeck equation which describes the fluctuations of the highest volume-prices observed in the data. Finally, we discuss how to bridge the gap from the stochastic evolution of the distribution parameters to the stochastic evolution of the (nonstationary) observable and put our conclusions into perspective for other applications in geophysics and biology.
Pricing real estate index options under stochastic interest rates
Gong, Pu; Dai, Jun
2017-08-01
Real estate derivatives as new financial instruments are not merely risk management tools but also provide a novel way to gain exposure to real estate assets without buying or selling the physical assets. Although real estate derivatives market has exhibited a rapid development in recent years, the valuation challenge of real estate derivatives remains a great obstacle for further development in this market. In this paper, we derive a partial differential equation contingent on a real estate index in a stochastic interest rate environment and propose a modified finite difference method that adopts the non-uniform grids to solve this problem. Numerical results confirm the efficiency of the method and indicate that constant interest rate models lead to the mispricing of options and the effects of stochastic interest rates on option prices depend on whether the term structure of interest rates is rising or falling. Finally, we have investigated and compared the different effects of stochastic interest rates on European and American option prices.
Filis, George [University of Portsmouth, Department of Economics, Portsmouth Business School, Richmond Building, Portland Street, Portsmouth, PO1 3DE (United Kingdom)
2010-07-15
This paper examines the relationship among consumer price index, industrial production, stock market and oil prices in Greece. Initially we use a unified statistical framework (cointegration and VECM) to study the data in levels. We then employ a multivariate VAR model to examine the relationship among the cyclical components of our series. The period of the study is from 1996:1 to 2008:6. Findings suggest that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run. Cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market. In addition, oil prices are negatively influencing CPI, at a significant level. However, we find no effect of oil prices on industrial production and CPI. Finally, no relationship can be documented between the industrial production and stock market for the Greek market. The findings of this study are of particular interest and importance to policy makers, financial managers, financial analysts and investors dealing with the Greek economy and the Greek stock market. (author)
郑秀田; 徐虹; 李巧丽
2013-01-01
This paper based on the binary linear regression modeling analyzes the impact of changes in the price of gold and the stock market index on the stock prices of 3 gold production enterprises listed on the domestic stock ex-change,and came to the following conclusions .Both the fluctuation of spot gold price and volatility of stock market have significant positive impact on the stock prices of gold production enterprises .A rise of spot gold price and stock market index will boost the stock prices ,while a drop of spot gold price and stock market index will cause the stock prices to fall.% 通过建立二元线性回归模型，分析了黄金价格和证券市场指数的波动对在国内证劵交易所上市的3家黄金生产企业股价的影响，得出了现货黄金价格和证券市场指数波动都能对黄金生产企业的股价产生显著的正向影响，即黄金现货价格上扬和证券市场的走强会带动黄金生产企业股价的上涨，黄金现货价格下挫和证券市场的走弱会带动黄金生产企业股价的下跌。
市场价格波动引起的合同价款调整研究%Research on the Contract Sum Adjustment by Fluctuation in Market Price
杨帆; 柯洪
2015-01-01
In the building materials market, material costs, labor costs and machinery costs constitute a direct project cost. Therefore, when material costs, labor costs and machinery costs fluctuate in market prices, construction cost of the project will also change accordingly. This paper researches on how the two concerned sides deal with contract price adjustment caused by market price fluctuation during the construction. With regard to coping methods to the construction cost change caused by market price fluctuation, on the price index adjusting the price margin and comes to a conclusion that the price adjustment base period, index, fixed coefficient and weight must be defined in order to obtain the method of price index adjusting the price margin under the market price fluctuation. Then separately explicates the time point of price adjustment base period and price adjustment cardinality, elaborates options and sources of price adjustment index and determines the fixed coefficient and weight, subsequently reaches to the point that the problem can be settled by the method of price index adjusting the price margin.%在建筑市场中建筑材料费、人工费以及机械费构成了直接工程费。因此，当建筑材料费、人工费以及机械费市场价格发生波动时，工程的施工成本也必将随之改变。本文对承发包双方如何处理施工过程中市场价格波动引起的合同价款调整问题进行研究，针对市场价格波动引起的施工成本变化的应对方法，重点分析价格指数调整价格差额方法，就必须确定调价基期、调价指数以及固定系数和权重。接着分别确定了调价基期的时点和调价基数，阐述了调价指数的选择和来源，确定了固定系数和权重，既而用价格指数调整价格差额方法解决问题。
Xiaoguang Li
2014-05-01
Full Text Available Purpose: Whether this earthquake would become a turning point of the high oil price and whether it would have big impact on yen exchange rate are two issues to be discussed in this paper.Design/methodology/approach: To analyze deeply the internal relations between changes in yen exchange rate caused by Japan’s earthquake and price fluctuation of international crude oil, this research chooses middle rate of yen exchange rate during the 45 days around Japan’s earthquake and price data of international crude oil to do an empirical study, uses VAR model and HP trend decomposition to estimate the mutual effect of yen exchange rate change and price fluctuation of international crude oil in this period.Findings: It has been found in the empirical study with VAR model and HP filter decomposition model on the yen exchange rate and the international crude oil price fluctuation during 45 days around Japan’s earthquake that: the fluctuation of yen exchange rate around the earthquake is one of the main reasons for the drastic fluctuation of international crude oil price in that period. The fluctuation of international crude oil price directly triggered by yen exchange rate occupies 13.54% of its total variance. There is a long-term interactive relationship between yen exchange rate and international crude oil price. The upward trend of international crude oil price after the earthquake was obvious, while yen exchange rate remained relatively stable after the earthquake.Originality/value: As economic globalization goes deeper, the influence of natural disasters on international financial market and world economy will become more and more obvious. It has a great revelatory meaning to studying further each kind of natural disaster’s impacts on international financial market and world economics.
2009-10-29
indexes measure price change from the perspective of the seller. Uses of the producer price index data include contract escalation, indication of overall...of applications, from the manufacture of toothpaste and false teeth to the development of artificial hip joints and deep-diving submarines. The
76 FR 30550 - Federal Management Regulation; Change in Consumer Price Index Minimal Value
2011-05-26
... ADMINISTRATION 41 CFR Part 102-42 RIN 3090-AJ12 Federal Management Regulation; Change in Consumer Price Index..., to reflect changes in the Consumer Price Index for the immediately preceding 3-year period. The... INFORMATION CONTACT: Mr. Robert Holcombe, Director, Asset Management Policy Division (202-501-3828...
75 FR 80300 - Five-Year Review of Oil Pipeline Pricing Index
2010-12-22
... recession-influenced 2009 data, the annual cost increase between 2004 and 2009 is PPI-FG plus 1.62 percent... Energy Regulatory Commission 18 CFR Part 342 Five-Year Review of Oil Pipeline Pricing Index Issued... issuing this Final Order concluding its third five-year review of the oil pricing index, established in...
77 FR 23283 - All Items Consumer Price Index for All Urban Consumers; United States City Average
2012-04-18
... of the Secretary All Items Consumer Price Index for All Urban Consumers; United States City Average... this notice in the Federal Register that the United States City Average All Items Consumer Price Index for All Urban Consumers (1967 = 100) increased 116.6 percent from its 1984 annual average of 311.1...
76 FR 31991 - All Items Consumer Price Index for All Urban Consumers; United States City Average
2011-06-02
... of the Secretary All Items Consumer Price Index for All Urban Consumers; United States City Average... this notice in the Federal Register that the United States City Average All Items Consumer Price Index for All Urban Consumers (1967 = 100) increased 110.0 percent from its 1984 annual average of 311.1...
78 FR 35054 - All Items Consumer Price Index for All Urban Consumers; United States City Average
2013-06-11
... of the Secretary All Items Consumer Price Index for All Urban Consumers; United States City Average... in the Federal Register that the United States City Average All Items Consumer Price Index for All Urban Consumers (1967=100) increased 121.1 percent from its 1984 annual average of 311.1 to its...
75 FR 22164 - All Items Consumer Price Index for All Urban Consumers; United States City Average
2010-04-27
... of the Secretary All Items Consumer Price Index for All Urban Consumers; United States City Average... this notice in the Federal Register that the United States City Average All Items Consumer Price Index for All Urban Consumers (1967=100) increased 106.6 percent from its 1984 annual average of 311.1...
Gligor, M.; Ausloos, M.
2007-05-01
The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP) algorithm allows a decoupling of fluctuations with respect to the mass center of the system from the movement of the mass center itself. A Hamiltonian representation given by a factor graph is used and plays the role of cost function. The present analysis pertains to 11 macroeconomic (ME) indicators, namely the GDP (x1), Final Consumption Expenditure (x2), Gross Capital Formation (x3), Net Exports (x4), Consumer Price Index (y1), Rates of Interest of the Central Banks (y2), Labour Force (z1), Unemployment (z2), GDP/hour worked (z3), GDP/capita (w1) and Gini coefficient (w2). The target group of countries is composed of 15 EU countries, data taken between 1995 and 2004. By two different methods (the Bipartite Factor Graph Analysis and the Correlation Matrix Eigensystem Analysis) it is found that the strongly correlated countries with respect to the macroeconomic indicators fluctuations can be partitioned into stable clusters.
The Impact of the Oil Price Fluctuations on the Agrarian Policy in Azerbaijan
Elchin Suleymanov
2017-06-01
Full Text Available Azerbaijan passed into market economy after independence as well as other post-soviet countries. Azerbaijan acquired huge revenues from oil being oil exporting country like Russia and Kazakhstan and those revenues were pooled to make fund for transit period. But other sectors, especially agriculture shrank down despite its traditional and special place. Nevertheless losing revenues with fall in oil prices since end of 2014, Azerbaijan realized the important share of agriculture sector and agricultural export. This study investigates Azerbaijan agricultural policy in 2016 due to oil price fluctuations and main steps that government should take in order to eliminate Dutch Disease and increase non-oil sector and also applicability of agricultural policy of main CIS agricultural product export countries. At the end some suggestions are given on agricultural policy. Despite successful results on reconstruction economy on market based economy, integration into global economy through huge projects, there are still questions like efficiency management of free market economy; required reforms in oil price volatility need answer. In this study, comparatively analysed agriculture sector and agricultural export in Azerbaijan the period 2014-2016.
Venkataramani, Atheendar S; Fried, Brian J
2011-09-01
We examined the effect of worldwide oil price fluctuations on household fuel use and child respiratory health in Guatemala. We regressed measures of household fuel use and child respiratory health on the average worldwide oil price and a rich set of covariates. We leveraged variation in oil prices over the 6-month period of the survey to identify associations between fuel prices, fuel choice, and child respiratory outcomes. A $1 (3.4% point) increase in worldwide fuel prices was associated with a 2.8% point decrease in liquid propane gasoline use (P increase in wood use (P increase in the likelihood of the child reporting a respiratory symptom (P prices and the fuel choice indicators was largest for households in the middle of the income distribution. Fluctuations in worldwide fuel prices affected household fuel use and, consequently, child health. Policies to help households tide over fuel price shocks or reduce pollution from biomass sources would confer positive health benefits. Such policies would be most effective if they targeted both poor and middle-income households.
2010-01-06
... Federal Register, at 73 FR 54997, entitled ``Consumer Price Index Adjustments of Oil Pollution Act of 1990... SECURITY Coast Guard 33 CFR Part 138 RIN 1625-AB25 Consumer Price Index Adjustments of Oil Pollution Act of..., 2008, titled ``Consumer Price Index Adjustments of Oil Pollution Act of 1990 Limits of...
Miller, Grant; Urdinola, B Piedad
2010-02-01
Recent studies demonstrate procyclical mortality in wealthy countries, but there are reasons to expect a countercyclical relationship in developing nations. We investigate how child survival in Colombia responds to fluctuations in world Arabica coffee prices - and document starkly procyclical child deaths. In studying this result's behavioral underpinnings, we highlight that: (1) The leading determinants of child health are inexpensive but require considerable time, and (2) As the value of time declines with falling coffee prices, so does the relative price of health. We find a variety of direct evidence consistent with the primacy of time in child health production.
Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations
Alfi, V; Petri, A; Pietronero, L
2006-01-01
We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times. This leads to intrinsic finite size effects which alter the apparent Hurst (H) exponent. We show, by analytical methods, that finite size effects always lead to an enhancement of H. We then consider the effect of fat tails on the analysis of the roughness and show that the finite size effects are strongly enhanced by the fat tails. The non stationarity of the stock price dynamics also enhances the finite size effects which, in principle, can become important even in the asymptotic regime. We then compute the Hurst exponent for a set of stocks of the NYSE and argue that the interpretation of the value of H is highly ambiguous in view of the above results. Finally we propose an alternative determination of the roughness in terms of the ...
Li, Rui, E-mail: lirui1401@bjtu.edu.cn; Wang, Jun
2016-01-08
A financial price model is developed based on the voter interacting system in this work. The Lempel–Ziv complexity is introduced to analyze the complex behaviors of the stock market. Some stock market stylized facts including fat tails, absence of autocorrelation and volatility clustering are investigated for the proposed price model firstly. Then the complexity of fluctuation behaviors of the real stock markets and the proposed price model are mainly explored by Lempel–Ziv complexity (LZC) analysis and multi-scale weighted-permutation entropy (MWPE) analysis. A series of LZC analyses of the returns and the absolute returns of daily closing prices and moving average prices are performed. Moreover, the complexity of the returns, the absolute returns and their corresponding intrinsic mode functions (IMFs) derived from the empirical mode decomposition (EMD) with MWPE is also investigated. The numerical empirical study shows similar statistical and complex behaviors between the proposed price model and the real stock markets, which exhibits that the proposed model is feasible to some extent. - Highlights: • A financial price dynamical model is developed based on the voter interacting system. • Lempel–Ziv complexity is the firstly applied to investigate the stock market dynamics system. • MWPE is employed to explore the complexity fluctuation behaviors of the stock market. • Empirical results show the feasibility of the proposed financial model.
The development of a value based pricing index for new drugs in metastatic colorectal cancer.
Dranitsaris, George; Truter, Ilse; Lubbe, Martie S
2011-06-01
Worldwide, prices for cancer drugs have been under downward pressure where several governments have mandated price cuts of branded products. A better alternative to government mandated price cuts would be to estimate a final price based on drug performance, cost effectiveness and a country's ability to pay. We developed a global pricing index for new cancer drugs in patients with metastatic colorectal cancer (mCRC) that encompasses all of these attributes. A pharmacoeconomic model was developed to simulate mCRC patients receiving chemotherapy plus a 'new drug' that improves survival by 1.4, 3 and 6months, respectively. Cost and utility data were obtained from cancer centres and oncology nurses (n=112) in Canada, Spain, India, South Africa and Malaysia. Multivariable analysis was then used to develop the pricing index, which considers survival benefit, per capita GDP and income dispersion (as measured by the Gini coefficient) as predictor variables. Higher survival benefits were associated with elevated drug prices, especially in higher income countries such as Canada. For Argentina with a per capita GDP of $15,000 and a Gini coefficient of 51, the index estimated that for a drug which provides a 4month survival benefit in mCRC, the value based price would be $US 630 per dose. In contrast, the same drug in a wealthier country like Norway (per capita GDP=$50,000) could command a price of $US 2,775 per dose. The application of this index to estimate a price based on cost effectiveness and the wealth of a nation would be important for opening dialogue between the key stakeholders and a better alternative to government mandated price cuts. Copyright © 2011 Elsevier Ltd. All rights reserved.
PRICE ANDVOLUME EFFECTS ASSOCIATED WITH CHANGES IN THE LQ 45 INDEX AND THE MSCI EQUITY INDEX LISTS
A. Harijono
2003-09-01
Full Text Available This paper examines price and trading volume behavior surrounding announcements of changes in the composition of the liquidity (LQ 45 and the Morgan Stanley Capital International (MSCI Equity Index at the Jakarta Stock Exchange. Unlike listing studies in the developed markets, the announcements of the LQ45 Index changes have no impact on share price and trading volume. This may be due to the small role of Indonesian domestic institutional investors and purely rule-based characteristics of the LQ45 Index. On the contrary, the markets do respond to the changes in Indonesian stocks composition of the MSCI Equity Index. It seems that global portfolio managers, who dominate trading at the Jakarta Stock Exchange, rebalanced their portfolio when the changes in the MSCI Equity Index occurred because their performances are generally benchmarks to the return on the Index.
A Price Earnings Index for the Danish Stock Market
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...
Gligor, M
2006-01-01
The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP) algorithm allows a decoupling of fluctuations with respect to the mass center of the system from the movement of the mass center itself. A Hamiltonian representation given by a factor graph is used and plays the role of cost function. The present analysis pertains to 11 macroeconomic (ME) indicators, namely the GDP (x1), Final Consumption Expenditure (x2), Gross Capital Formation (x3), Net Exports (x4), Consumer Price Index (y1), Rates of Interest of the Central Banks (y2), Labour Force (z1), Unemployment (z2), GDP/hour worked (z3), GDP/capita (w1) and Gini coefficient (w2). The target group of countries is composed of 15 EU countries, data taken between 1995 and 2004. By two different methods (the Bipartite Factor Graph Analysis and the Correlation Matrix Eigensystem Anal...
Savage, Tom V.; Armstrong, David G.
1992-01-01
Presents a method of using the Consumer Price Index to give students an understanding of the meanings of price levels in different historical periods. Demonstrates how to figure the actual price of items in the 1920s and 1930s by converting prices to present value. Argues that consumer goods were not cheaper in the past. (DK)
Distance measurement in air without the precise knowledge of refractive index fluctuation
Cui, Morris; Bhattacharya, Nandini
2016-01-01
The accuracy of long distance measurement in air is limited by the fluctuation of refractive index. In this paper, we propose a technique which allows us to measure an absolute distance in air without the knowledge of air turbulence. The technique is based on a femtosecond frequency comb. The fluctuation of the environmental conditions is monitored by two independently operating reference interferometers. The deviations of optical path lengths, caused by the fluctuation of air refractive index, is compensated by feedbacks from the reference interferometers. The measured optical path length is then locked to certain environmental conditions, determined at an optimized moment before the measurement process.
75 FR 34959 - Five-Year Review of Oil Pipeline Pricing Index
2010-06-21
... Federal Energy Regulatory Commission 18 CFR Part 342 Five-Year Review of Oil Pipeline Pricing Index June... Federal Energy Regulatory Commission (Commission) invites comments on its five-year review of the oil... (PPI+1.3) as the index for annual changes to the oil pipeline rate ceiling over the five-year period...
ANALYSIS OF FINANCIAL DERIVATIVES BY MECHANICAL METHOD (Ⅰ)-BASIC EQUATION OF PRICE OF INDEX FUTURES
云天铨
2001-01-01
Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes winner of 1997 Nobel' prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the differential equation.
Z. Gebeltová
2010-09-01
Full Text Available The paper analyzes the reasons for the prices of milk and milk products in the Czech Republic for the period 2008 – 2009. In January 2008, the purchase price of raw milk was 10.08 CZK/l, and in the subsequent period it began to decline. At the end of 2008, the price was more than 3 crowns lower, and still the decrease continued. The research determined that the essential reason for the price fluctuations is the impact of the economic crisis. A substantial portion of the article was devoted to analyzing the behavior of supermarket chains toward their suppliers. It was discovered that even here there is a lot of room for the creation of pricing policy. Margin trading networks up to 25% of the delivered goods. Price negotiations affect the position papers in the manufacturing vertical. The power of suppliers and processors is based on the establishment of a strong integration unit. In the conclusion the author discusses possible future developments in price, sales policy, and the self-sufficiency of milk production in the Czech Republic. The paper was processed within the framework of the Research Project of MSM 6046070906 "The economics of Czech agricultural resources and their effective use within the framework of multifunctional agri-food systems".
Eltony, M. Nagy; Al-Awadi, Mohammad [Arab Planning Inst., Safat (Kuwait)
2001-09-01
In this study, a vector autoregression model (VAR) and a vector error correction model (VECM) were estimated to examine the impact of oil price fluctuations on seven key macroeconomic variables for the Kuwaiti economy. Quarterly data for the period 1984-1998 were utilised. Theoretically and empirically speaking, VECM is superior to the VAR approach. Also, the results corresponding to the VECM model are closer to common sense. However, the estimated models indicate a high degree of interrelation between major macroeconomic variables. The empirical results highlight the causality running from the oil prices and oil revenues, to government development and current expenditure and then towards other variables. For the most part, the empirical evidence indicates that oil price shocks and hence oil revenues have a notable impact on government expenditure, both development and current. However, government development expenditure has been influenced relatively more. The results also point out the significant of the CPI in explaining a notable part of the variations of both types of government expenditure. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations and then by the fluctuation in government development expenditures. Also, the results from the VECM approach indicate that a significant part of LM2 variance is explained by the variance in oil revenue. It reaches about 46 per cent in the 10th quarter, even more than its own variations. (Author)
Das, Nandan Kumar; Dey, Rajib; Chakraborty, Semanti; Panigrahi, P. K.; Ghosh, Nirmalya
2016-12-01
Fourier domain low coherence interferometry is a promising method for quantification of the depth distribution of the refractive index in a layered scattering medium such as biological tissue. Here, we have explored backscattering spectral interferometric measurement in combination with multifractal detrended fluctuation analysis to probe and quantify multifractality in depth distribution of the refractive index in tissue. The depth resolution of the experimental system was validated on model systems comprising of polystyrene microspheres and mica sheet, and was initially tested on turbid collagen layer, the main building blocks of the connective tissue. Following successful evaluation, the method was applied on ex vivo tissues of human cervix. The derived multifractal parameters of depth-resolved index fluctuations of tissue, namely, the generalized Hurst exponent and the width of the singularity spectrum showed interesting differences between tissues having different grades of precancers. The depth-resolved index fluctuations exhibited stronger multifractality with increasing pathological grades, demonstrating its promise as a potential biomarker for precancer detection.
Li, Rui; Wang, Jun
2016-01-01
A financial price model is developed based on the voter interacting system in this work. The Lempel-Ziv complexity is introduced to analyze the complex behaviors of the stock market. Some stock market stylized facts including fat tails, absence of autocorrelation and volatility clustering are investigated for the proposed price model firstly. Then the complexity of fluctuation behaviors of the real stock markets and the proposed price model are mainly explored by Lempel-Ziv complexity (LZC) analysis and multi-scale weighted-permutation entropy (MWPE) analysis. A series of LZC analyses of the returns and the absolute returns of daily closing prices and moving average prices are performed. Moreover, the complexity of the returns, the absolute returns and their corresponding intrinsic mode functions (IMFs) derived from the empirical mode decomposition (EMD) with MWPE is also investigated. The numerical empirical study shows similar statistical and complex behaviors between the proposed price model and the real stock markets, which exhibits that the proposed model is feasible to some extent.
Planning and Monitoring of Urban Development: The Role of the Housing Price Index
Tomi Deutsch
2016-01-01
Full Text Available In this paper the real estate market in Slovenia and selected Slovenian city municipalities is analyzed with the goal of establishing whether or not it is possible to use the Housing Price Index as an indicator of urban development. The analysis shows that the real estate market in the Slovenian city municipalities has in recent decades been subject to a number of changes with a long-term effect. The analysis further proves that under certain conditions the Housing Price Index can serve as one of the indicators policy makers could use in planning and monitoring of urban development.
Graves, Yan Jiang; Jia, Xun; Jiang, Steve B
2013-03-21
The γ-index test has been commonly adopted to quantify the degree of agreement between a reference dose distribution and an evaluation dose distribution. Monte Carlo (MC) simulation has been widely used for the radiotherapy dose calculation for both clinical and research purposes. The goal of this work is to investigate both theoretically and experimentally the impact of the MC statistical fluctuation on the γ-index test when the fluctuation exists in the reference, the evaluation, or both dose distributions. To the first order approximation, we theoretically demonstrated in a simplified model that the statistical fluctuation tends to overestimate γ-index values when existing in the reference dose distribution and underestimate γ-index values when existing in the evaluation dose distribution given the original γ-index is relatively large for the statistical fluctuation. Our numerical experiments using realistic clinical photon radiation therapy cases have shown that (1) when performing a γ-index test between an MC reference dose and a non-MC evaluation dose, the average γ-index is overestimated and the gamma passing rate decreases with the increase of the statistical noise level in the reference dose; (2) when performing a γ-index test between a non-MC reference dose and an MC evaluation dose, the average γ-index is underestimated when they are within the clinically relevant range and the gamma passing rate increases with the increase of the statistical noise level in the evaluation dose; (3) when performing a γ-index test between an MC reference dose and an MC evaluation dose, the gamma passing rate is overestimated due to the statistical noise in the evaluation dose and underestimated due to the statistical noise in the reference dose. We conclude that the γ-index test should be used with caution when comparing dose distributions computed with MC simulation.
Rocha, Paulo; Boto, João P; Lind, Pedro G
2015-01-01
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York stock exchange. Using Kullback-Leibler divergence we evaluate the best model out from four biparametric models standardly used in the context of financial data analysis. In our present data sets we conclude that the inverse $\\Gamma$-distribution is a good model, particularly for the distribution tail of the largest volume-price fluctuations. Extracting the time-series of the corresponding parameter values we show that they evolve in time as stochastic variables themselves. For the particular case of the parameter controlling the volume-price distribution tail we are able to extract an Ornstein-Uhlenbeck equation which describes the fluctuations of the largest volume-prices observed in the data. Finally, we discuss how to bridge from the stochastic evolution of the distribution parameters to the stoch...
Spatiotemporal collapse in a nonlinear waveguide with a randomly fluctuating refractive index.
Gaididei, Y B; Christiansen, P L
1998-07-15
Analytical results, based on the virial theorem and the Furutsu-Novikov theorem, of the spatiotemporal evolution of a pulse in a nonlinear waveguide with a randomly fluctuating refractive index are presented. For initial conditions in which total collapse occurs in a homogeneous waveguide, random fluctuations postpone the collapse. Sufficiently large-amplitude and short-wavelength fluctuations can cause an initially localized pulse to spread instead of contracting. We show that the disorder can be applied to induce a high degree of controllability of the spatiotemporal extent of the pulses in the nonlinear waveguide.
The Tendencies of Harmonised Index of Consumer Prices in Lithuania and European Union
Ūla Urbaitė
2011-03-01
Full Text Available This article analyses the criterion of price stability, which plays an important role for Lithuanian ability to adopt the Euro. This work concentrates on analyses of price stability more deeply, presenting the methodologies of determination of inflation rate. The research is based on forecast of short and long-term tendencies of inflation rate in Lithuania and European Union in order to determine the future opportunities to meet price stability criterion and to adopt the Euro. Lithuanian Harmonised Index of Consumer Prices is forecasted for short and long-term, taking into account the present economical crises period and compared with predictions of other institutions such as Ministry of Finances, EC and SEB Bank.Article in English
78 FR 35054 - All Items Consumer Price Index for All Urban Consumers United States City Average
2013-06-11
... of the Secretary All Items Consumer Price Index for All Urban Consumers United States City Average... Commission and publishes this notice in the Federal Register that the United States City Average All Items... average of 147.7 to its 2012 annual average of 687.761 and that it increased 29.7 percent from its...
77 FR 23282 - All Items Consumer Price Index for All Urban Consumers; United States City Average
2012-04-18
... of the Secretary All Items Consumer Price Index for All Urban Consumers; United States City Average... Election Commission and publishes this notice in the Federal Register that the United States City Average... 1974 annual average of 147.7 to its 2011 annual average of 673.818 and that it increased 27.0...
75 FR 22164 - All Items Consumer Price Index for All Urban Consumers United States City Average
2010-04-27
... of the Secretary All Items Consumer Price Index for All Urban Consumers United States City Average... Commission and publishes this notice in the Federal Register that the United States City Average All Items... average of 147.7 to its 2009 annual average of 642.658 and that it increased 21.2 percent from its...
Yantao Wang
2015-08-01
Full Text Available External shocks have significant effects on China's economy, as energy and agriculture food price. In recent years, the increasing of energy price will promote energy efficiency; also increasing prices of agricultural products will impact on production efficiency and economy. In this study, we make a statistical analysis on the impact of energy and agricultural food prices to domestic economy. The result shows that energy price will influence the energy efficiency in the short time, LnEP at lag 1 period increased one percentage can drive LnEE growth by 0.627 percentage, at the same time, agricultural food price will impact on the production efficiency, LnAFP at lag 1 period and the 2 period increased 1 percentage will drive the LnPE increased by 0.245 and 0.016 percentage respectively. Therefore, agricultural food prices have direct mutual promotion effect. Also, there exist at least one direct co-integration relationship between energy price and energy efficiency, which means that there exist a long-term equilibrium relationship between energy price and energy efficiency.
Xiong, Xiong; Nan, Ding; Yang, Yang; Yongjie, Zhang
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures.
Xiong Xiong
Full Text Available This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10% or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures.
Nageshwar Singh
2013-01-01
Full Text Available It is proposed that a macroscopic theory of propagation and scattering of light through random media can be functional for the dye liquid flowing media in the microscopic levels too, with modest approximations. Maxwell’s equation for a random refractive index medium is approximated and solved for the electric field. An analytical expression for the spectral intensity of the field scattered by the refractive index fluctuations inside a medium has been derived which was valid within the first Born approximation. Far field spectral intensity variation of the radiation propagating through the liquid medium is a consequence of variation in correlation function of the refractive index inhomogeneities. The strength of radiation scattered in a particular direction depends on the spatial correlation function of the refractive index fluctuations of the medium. An attempt is made to explain some of the experimentally observed spectral intensity variations, particularly dye emission propagation through liquid flowing medium, in the presence of thermal and flow field.
The Research of Limitation of Price Index%论物价指数的局限性
杜子芳
2005-01-01
Traditional price indexes, such as CPI and central CPI etc, essentially calculated using the formulae of chain base index based on Laspeyres, therefore, none of these indexes is much valid for measuring the movement in the general price level. This paper proved in theory that there are three factors caused lack validity:the ratio of percentage of new-product/percentage of obsolescent-product, the ratio of price of substitutes/the price of the product, and the change of consume construct explained by the Engle-Low.
The impacts of petroleum price fluctuations on income distribution across ethnic groups in Malaysia
Saari, M. Yusof; Dietzenbacher, Erik; Los, Bart
2016-01-01
Crude oil price hikes have compelled governments of developing countries to let domestic prices of energy increase. Fiscal priorities made it impossible to fully compensate the hikes by raising energy subsidies. This paper examines the potential impacts of a limited deregulation of the petroleum pri
The impacts of petroleum price fluctuations on income distribution across ethnic groups in Malaysia
Saari, M. Yusof; Dietzenbacher, Erik; Los, Bart
2016-01-01
Crude oil price hikes have compelled governments of developing countries to let domestic prices of energy increase. Fiscal priorities made it impossible to fully compensate the hikes by raising energy subsidies. This paper examines the potential impacts of a limited deregulation of the petroleum pri
2010-01-01
... 5 Administrative Personnel 1 2010-01-01 2010-01-01 false How does OPM compute the consumer expenditure weights it uses to combine price indexes? 591.221 Section 591.221 Administrative Personnel OFFICE... the consumer expenditure weights it uses to combine price indexes? OPM uses the following...
Index of Real Sector Returns as Price Benchmarking for Islamic Banking Products
Researchers of Islamic Banking Department
2012-01-01
Full Text Available Objective – Islamic Banking is closely related to the real sector. Then, its operation should reflect the real sector which is expected to contribute to the sustainable economic growth. Nevertheless, Islamic banks are still benchmarking the price of their products (profit sharing and sales on interest rate. This is as an implication of the implementation of the dual banking system. Moreover, the small portion of Islamic banking compared to the total national banks causes the competitiveness of Islamic banking product in terms of pricing has a high correlation with the interest rate of conventional counterpart. This phenomenon indicates the need to find.Method – This research employed library research method since this paper relies on secondary data by thoroughly reviewing the most relevant literature. The paper attempt to propose a pricing indicator which is based on the real sector activities as the root of Islamic banking operations.Result – Theoretically, this indicator can reflect the real rate of return of every industry sector. In addition, it can help Bank Indonesia to monitor the real sector performance and analyze the possible gap between real sector activities and financial sector. Furthermore, when the benchmark of real rate of real sector return is available, the return index of Islamic banking reflecting the profit sharing performance of the whole Islamic banking industry can be formulated. This concept is different with other indexes which are corresponding to the price of financial assets.Conclusion – In general, return index of real sector as a reference for Islamic banking product pricing is expected to define the way of non-interest return analysis, to calculate the non-interest return of selected sectors that becomes the focus of analysis using Cash Recovery Rates (CRR, forming an index of industry by sector in the second stage, by doing a certain weighting of those companies, to analyze the relationship between macro
全球黄金价格的波动趋势与影响因素%Fluctuation Trend and Driving Factors of Global Gold Price
张明
2013-01-01
全球黄金价格在2001~2011年期间大幅上涨，但在2012~2013年间显著回调。从名义价格来看，2001~2011年的金价上涨幅度显著超过20世纪70年代末至80年代初的幅度，但从实际价格来看，2011年的黄金价格尚未超过1980年的黄金价格。全球黄金供应量相对稳定，且相对于黄金存量而言规模太小，因此全球黄金价格波动主要受到需求、尤其是投资需求变化的影响。本文建立了一个以投资需求为主体的全球黄金价格波动的分析框架，发现通货膨胀率、实际利率、全球金价与美国CPI的比率以及美元汇率这四个指标，与全球黄金价格的走势关系最为密切，用来预测未来黄金价格走势的能力也最强。通过运用这一分析框架，认为2013年下半年与2014年，全球黄金价格在波动中下行仍是大概率事件。%The global gold price surged during 2001 to 2011, but declined significantly in 2012 and 2013. From the per-spective of nominal price, the rise of gold price in the last decade was much larger that the rise in the late 1970 and ear-ly 1980. But from the perspective of real price, the former still lag behind the latter. The global gold supply is relatively stable, and the ratio of supply flow to the stock of gold is too small, therefore the fluctuation of global gold price could be largely attributed to the change of demand, especially investment demand of gold. This paper tries to establish an analyt-ical framework of gold price movement which focuses on investment demand. We find that the inflation rate, the long-term real interest rate, the ratio of gold price to U.S. CPI index and US exchange rate index have not only the closest re-lationship with gold price but also the strongest predicting power about the future gold price. Based on this framework, we think that the gold price tend to decline further in the rest of 2013 and even 2014.
A Study of the Balanced Area of Index's Fluctuation in Shanghai Stock Exchange
无
1999-01-01
Chinese stock market is a developing one. In the present stages, to control scientifically the expansion speed and avoid drastic fluctuations is an important problem. Through analysis of plenty of data of SSE(Shanghai Stock Exchange) Index and relevant economic quotas, we find that the problem of predicting SSE Index is a typical multi-variable, nonlinear one. On the basis of the analysis, we apply the technology of fuzzy pattern recognition, to the optimum pattern division of SSE Index's time alignments from Jan. of 1993 to Dec. of 1997, and get a balanced pattern of the stock index fluctuation. At the same time, by using database technology, we find the optimum expansion speed of Shanghai stock, which can make SSE Index fluctuate steadily within the balanced area. We verified this model with the latest data and found it coincides with the reality perfectly. So it has the practical value and provides the policy-makers with a scientific basis in controlling the expansion pace.
France Križanič
2013-01-01
Full Text Available This article deals with interesting oscillation pattern in electricity prices during the period of EU electric power supply liberalization process, its transition from infrastructure to market activity and during last economic crisis, when at first prices declined significantly, to be raised afterward and start to decline again during the last recession. Using empirical evidence from Germany and Slovenia and based on short theoretical background we try to explain how can such strong oscillations occur and what we can expect in the future? It was discovered that such oscillations can be connected with business cycles dynamic, only that electricity prices oscillations proved to be even stronger unless a major technological breakthrough occurs in the way energy is produced or spent. Economic growth affects electricity prices even in relative terms, causes growth in prices with respect to inflation and vice versa. To conclude, we can expect relative growth of electric power prices together with economic recovery in the near future, but growth should be moderately slower than growth of real GDP.
A Comparative Analysis of the Price Index in Transition Countries in the Time of Globalisation
Pejović Igor
2014-01-01
Full Text Available Globalisation with all its features can be divided in two segments - good and bad. When we look at the good side of globalisation, it is obvious that it has erased boundaries between countries in terms of trade, education, knowledge sharing, and other new technologies, while on the other hand, the bad side is that it has created a considerable gap between developed and developing countries, then different types of commercial, political and other conditioning, and dependence on strong, developed states. A great contribution to the negative part of globalisation was of economic instability that occurred at the beginning of this century and which consequences are still present in the world. In this article, we presented the impact of economic instability on the price index trough a comparative analysis of transition countries such as Montenegro, Serbia and Croatia over a period of five years (Croatia has just recently become a member of the European Union and due to that fact it was included in this study. The survey covered price indices relating to the prices of industrial products for the domestic markets, consumer price indices, indices of the hospitality services and the prices of the agricultural products.
Benny Budiawan Tjandrasa
2017-06-01
Full Text Available Governments sell bonds to finance their budget. The investors willing to buy government bonds because of the yield they will get, but on the other hand if government bond yields is too high it would burden the state in paying the interest due. Various studies have been done to find the variables that affect government bond yield significantly, such as exchange rate, inflation rate, interest rate, and oil price. This study found two more variables namely consumer expectations index and the economic conditions index to complement the variables that have been discovered. Those two variables are used as a proxy of economic stability of a country, the increase of those variables represent the increase of economic stability and will reduce the level of risk and lowering the yield that investors demand. This research use descriptive method and explanatory study with secondary data using multivariate regression equation model. The results shown consumer expectation index and economic condition index have significant effect on Indonesian Government Bond yield. To keep consumer expectation index and economic condition index increase government should give a positive signal and a sense of security to investor.
Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas
Patrice Gaillardetz
2010-01-01
Full Text Available We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index. These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process. A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market.
Lorde, Troy; Thomas, Chrystol [Department of Economics, Cave Hill Campus, University of the West Indies, P.O. Box 64, Bridgetown, St. Michael (Barbados); Jackman, Mahalia [Research Department, Central Bank of Barbados, Tom Adams Financial Centre (Barbados)
2009-07-15
Using vector autoregressive (VAR) methodology, this paper empirically investigates the macroeconomic effects of oil price fluctuations on Trinidad and Tobago. Overall, we find that the price of oil is a major determinant of economic activity of the country. Our impulse response functions suggest that following a positive oil price shock, output falls within the first two years followed by positive and growing response. We also investigate the macroeconomic impact of oil price volatility. Results suggest that an unanticipated shock to oil price volatility brings about random swings in the macroeconomy; however, only government revenue and the price level exhibit significant responses. With regard to the magnitude of the responses, shocks to oil price volatility tend to yield smaller macroeconomic impacts in comparison to shocks to oil prices. Variance decompositions suggest that the price of oil is a major component of forecast variation for most macroeconomic variables. Finally, Granger-causality tests indicate causality from oil prices to output and oil prices to government revenue. (author)
Lorde, Troy [Department of Economics, Cave Hill Campus, University of the West Indies, P.O. Box 64, Bridgetown, St. Michael (Barbados)], E-mail: troy.lorde@cavehill.uwi.edu; Jackman, Mahalia [Research Department, Central Bank of Barbados, Tom Adams Financial Centre (Barbados); Thomas, Chrystol [Department of Economics, Cave Hill Campus, University of the West Indies, P.O. Box 64, Bridgetown, St. Michael (Barbados)
2009-07-15
Using vector autoregressive (VAR) methodology, this paper empirically investigates the macroeconomic effects of oil price fluctuations on Trinidad and Tobago. Overall, we find that the price of oil is a major determinant of economic activity of the country. Our impulse response functions suggest that following a positive oil price shock, output falls within the first two years followed by positive and growing response. We also investigate the macroeconomic impact of oil price volatility. Results suggest that an unanticipated shock to oil price volatility brings about random swings in the macroeconomy; however, only government revenue and the price level exhibit significant responses. With regard to the magnitude of the responses, shocks to oil price volatility tend to yield smaller macroeconomic impacts in comparison to shocks to oil prices. Variance decompositions suggest that the price of oil is a major component of forecast variation for most macroeconomic variables. Finally, Granger-causality tests indicate causality from oil prices to output and oil prices to government revenue.
Some issues about compilation of real estate price index%编制城市房地产价格指数的若干问题
李国柱; 孙焕民
2003-01-01
Real estate price index is key market information for governments, real estate operators, consumersand economics researchers. By analyzing function orientation of real estate price index and frequent de-signing methods domestic and abroad, while considering the realities in China, this paper discusses appro-priate designing method of real estate price index and also provides a framework.
Asymmetric statistical features of the Chinese domestic and international gold price fluctuation
Cao, Guangxi; Zhao, Yingchao; Han, Yan
2015-05-01
Analyzing the statistical features of fluctuation is remarkably significant for financial risk identification and measurement. In this study, the asymmetric detrended fluctuation analysis (A-DFA) method was applied to evaluate asymmetric multifractal scaling behaviors in the Shanghai and New York gold markets. Our findings showed that the multifractal features of the Chinese and international gold spot markets were asymmetric. The gold return series persisted longer in an increasing trend than in a decreasing trend. Moreover, the asymmetric degree of multifractals in the Chinese and international gold markets decreased with the increase in fluctuation range. In addition, the empirical analysis using sliding window technology indicated that multifractal asymmetry in the Chinese and international gold markets was characterized by its time-varying feature. However, the Shanghai and international gold markets basically shared a similar asymmetric degree evolution pattern. The American subprime mortgage crisis (2008) and the European debt crisis (2010) enhanced the asymmetric degree of the multifractal features of the Chinese and international gold markets. Furthermore, we also make statistical tests for the results of multifractatity and asymmetry, and discuss the origin of them. Finally, results of the empirical analysis using the threshold autoregressive conditional heteroskedasticity (TARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models exhibited that good news had a more significant effect on the cyclical fluctuation of the gold market than bad news. Moreover, good news exerted a more significant effect on the Chinese gold market than on the international gold market.
Rural electrification in Sub Saharan Africa in a context of fluctuating oil-prices
Nygaard, Ivan; Bindner, Henrik W.; Katic, Ivan
2009-01-01
grid rural electrification schemes based on hybrid solar PVdiesel generators. This may bring PV systems in line with fossil fuel based systems in terms of consumer cost and options for productive use and it changes the market for PV from mainly donor supported schemes into mainstream rural...... electrification schemes governed and financed by electric utilities and rural electrification agencies. Based on a literature review and the experience with a full scale hybrid wind/PV diesel system at RISØ DTU, this paper provides cost estimates for hybrid PV-diesel systems and policy recommendations to change...... parts of the populations and with little or no value for productive uses. However, feasibility for solar PV has improved in the last few years. Retail prices for solar photovoltaic modules are reduced by 20-30% since 2001, and although far from the peak in 2008, oil prices in the next two years to come...
ARIMA Model Estimated by Particle Swarm Optimization Algorithm for Consumer Price Index Forecasting
Wang, Hongjie; Zhao, Weigang
This paper presents an ARIMA model which uses particle swarm optimization algorithm (PSO) for model estimation. Because the traditional estimation method is complex and may obtain very bad results, PSO which can be implemented with ease and has a powerful optimizing performance is employed to optimize the coefficients of ARIMA. In recent years, inflation and deflation plague the world moreover the consumer price index (CPI) which is a measure of the average price of consumer goods and services purchased by households is usually observed as an important indicator of the level of inflation, so the forecast of CPI has been focused on by both scientific community and relevant authorities. Furthermore, taking the forecast of CPI as a case, we illustrate the improvement of accuracy and efficiency of the new method and the result shows it is predominant in forecasting.
Cherkezyan, L.; Capoglu, I.; Subramanian, H.; Rogers, J. D.; Damania, D.; Taflove, A.; Backman, V.
2013-07-01
Despite major importance in physics, biology, and other sciences, the optical sensing of nanoscale structures in the far zone remains an open problem due to the fundamental diffraction limit of resolution. We establish that the expected value of spectral variance (Σ˜2) of a far-field, diffraction-limited microscope image can quantify the refractive-index fluctuations of a label-free, weakly scattering sample at subdiffraction length scales. We report the general expression of Σ˜ for an arbitrary refractive-index distribution. For an exponential refractive-index spatial correlation, we obtain a closed-form solution of Σ˜ that is in excellent agreement with three-dimensional finite-difference time-domain solutions of Maxwell’s equations. Sensing complex inhomogeneous media at the nanoscale can benefit fields from material science to medical diagnostics.
Cherkezyan, L.; Capoglu, I.; Subramanian, H.; Rogers, J. D.; Damania, D.; Taflove, A.
2014-01-01
Despite major importance in physics, biology, and other sciences, optical sensing of nanoscale structures in the far-zone remains an open problem due to the fundamental diffraction limit of resolution. We establish that the expected value of spectral variance (Σ̃2) of a far-field, diffraction-limited microscope image can quantify the refractive-index fluctuations of a label-free, weakly scattering sample at subdiffraction length scales. We report the general expression of Σ̃ for an arbitrary refractive-index distribution. For an exponential refractive-index spatial correlation, we obtain a closed-form solution of Σ̃ which is in excellent agreement with three-dimensional finite-difference time-domain solutions of Maxwell's equations. Sensing complex inhomogeneous media at the nanoscale can benefit fields from material science to medical diagnostics. PMID:23909326
折衷物价指数：一种新的物价指数计算方法%Eclectic Price Index:A New Way to Count Price Index
管豪
2013-01-01
The Laspeyres price index and Paasche price index are two indices that are used universally to reflect the price change in the present statistics system , but there are some deflects yet .The Laspeyres price index will enlarge the influence of price change to consumer and the Paasche price index will reduce that .Both of them will deviate from the real cost-of-living change largely .Eclectic price index is a new way to count price index by taking both of them into account , so it can reflect cost-of-living more truly and more effectively .% 拉氏指数和帕氏指数是当前广泛采用的反映物价变动水平的两种指数，然而两种指数在反映物价变动水平时存在一定的缺陷：拉氏指数会高估而帕氏指数会低估物价变动对消费者产生的影响，均会比较大地偏离消费者的真实生活成本变化。折衷指数是将拉氏指数和帕氏指数综合起来考虑的一种计算物价指数的新方法，能更真实有效地反映生活成本的变化。
Cherkezyan, L.; Capoglu, I.; Subramanian, H; Rogers, J. D.; Damania, D.; Taflove, A.; Backman, V
2013-01-01
Despite major importance in physics, biology, and other sciences, optical sensing of nanoscale structures in the far-zone remains an open problem due to the fundamental diffraction limit of resolution. We establish that the expected value of spectral variance (Σ̃2) of a far-field, diffraction-limited microscope image can quantify the refractive-index fluctuations of a label-free, weakly scattering sample at subdiffraction length scales. We report the general expression of Σ̃ for an arbitrary ...
Refractive index fluctuations in solids: nanoprobing by means of single-molecule spectroscopy
Anikushina, T A; Gorshelev, A A; Naumov, A V
2015-01-01
We suggest a novel approach for probing of local fluctuations of the refractive index $n$ in solids by means of single-molecule (SM) spectroscopy. It is based on the dependence $T_1(n)$ of the effective radiative lifetime $T_1$ of dye centres in solids on $n$ due to the local field effects. Detection of SM zero-phonon lines at ultra-low temperatures gives the values of SM natural spectral linewidth (which is inverse proportional to $T_1$) and makes it possible to reveal the distribution of the local $n$ values in solids. Here we demonstrate this possibility on the example of amorphous polyethylene and polycrystalline naphthalene doped with terrylene.
鲜奶零售价格波动规律与趋势预测%Fresh Milk Retail Price Fluctuations and Future Trend Forecasting
钱贵霞; 陈思
2011-01-01
近年中国奶业发生了一系列突发事件，原料奶及乳制品价格出现了较大幅度的波动，给生产者和消费者均带来了不利的影响，也阻碍了奶业的健康发展。本文在总结牛奶产量和牛奶价格波动特征的基础上，利用CensusXl2季节调整方法和HP滤波法分析了鲜奶价格的实际数据变动、趋势变动规律、季节性变动和不规则要素以及波动周期。结果表明，鲜奶零售价格呈现出逐年增长的趋势，在每一年内，鲜奶价格在一月份最低，年中回落，第三季度逐渐攀升，具有明显的季节变动特征。鲜奶零售价格的不规则要素的波动随机性较强，不具有规律性。2000年至今鲜奶零售价格分为4个明显的周期，周期平均长度为四年，2006～2008年的波动较为剧烈。本文还利用季节指数预测法和Holt—Winters季节乘积模型对未来两年的鲜奶零售价格走势进行了预测，结果显示，鲜奶零售价格在未来的两年中有明显的上涨趋势。据此提出了形成原料奶按质论价体系，建立价格补贴联动机制及加强食品安全监管等稳定鲜奶价格的政策建议。’%A series of unexpected events occurred in China＇s dairy industry, which caused the price of raw milk and dairy products fluctuating severely. The price fluctuations did harm to dairy farmers and consumers and even the sustainable development of the whole dairy industry. In this paper, based on the them, the cycle from 2006-2008 had strong fluctuations in fresh milk price. Based on the above analysis, we used two forecasting methods： were used seasonal index and Holt-Winters seasonal multiplicative model to forecast the future trend of fresh milk price. The result indicated that fresh will rise in next two years. Based on the above results, some policy recommendations had been put forward.
Entropy correlation distance method. The Euro introduction effect on the Consumer Price Index
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.
Denli, H. H.; Koc, Z.
2015-12-01
Estimation of real properties depending on standards is difficult to apply in time and location. Regression analysis construct mathematical models which describe or explain relationships that may exist between variables. The problem of identifying price differences of properties to obtain a price index can be converted into a regression problem, and standard techniques of regression analysis can be used to estimate the index. Considering regression analysis for real estate valuation, which are presented in real marketing process with its current characteristics and quantifiers, the method will help us to find the effective factors or variables in the formation of the value. In this study, prices of housing for sale in Zeytinburnu, a district in Istanbul, are associated with its characteristics to find a price index, based on information received from a real estate web page. The associated variables used for the analysis are age, size in m2, number of floors having the house, floor number of the estate and number of rooms. The price of the estate represents the dependent variable, whereas the rest are independent variables. Prices from 60 real estates have been used for the analysis. Same price valued locations have been found and plotted on the map and equivalence curves have been drawn identifying the same valued zones as lines.
2010-08-13
... Index Adjustments of Oil Pollution Act of 1990 Limits of Liability--Vessels and Deepwater Ports'' (74 FR... SECURITY Coast Guard 33 CFR Part 138 RIN 1625-AB25 Consumer Price Index Adjustments of Oil Pollution Act of...; information collection approval. SUMMARY: On July 1, 2009, the Coast Guard amended the Oil Pollution Act...
Establishment of Naval Ship Price Index%海军舰船价格指数构建
李凛然; 梁新
2016-01-01
针对"纯样本匹配法"不适用于海军舰船这类异质性品价格特点的情况,依据特征价格指数的基本理论,应用合并数据特征价格指数法,选取与海军舰船有关的特征质量因素,并引入虚拟时间变量,对我国1995—2013年的海军舰船购置价格进行了特征价格指数编制;结合物价水平的变化,分析了构建的舰船特征价格指数的变化规律,得到了构建的价格指数符合客观规律的结论.%Because of the pure-exemplar matching method not suitable for the feature of naval ship price, the paper takes Hedonic price index of the cross-section data modeling method for a use, and determines the attributes of naval ship price.On this basis, the paper figures out naval ship price index from 1995 to 2013.At the end, the paper analyses the change laws of the naval ship price index, according to the data of consumer price index for years.
Anisotropic power spectrum of refractive-index fluctuation in hypersonic turbulence.
Li, Jiangting; Yang, Shaofei; Guo, Lixin; Cheng, Mingjian
2016-11-10
An anisotropic power spectrum of the refractive-index fluctuation in hypersonic turbulence was obtained by processing the experimental image of the hypersonic plasma sheath and transforming the generalized anisotropic von Kármán spectrum. The power spectrum suggested here can provide as good a fit to measured spectrum data for hypersonic turbulence as that recorded from the nano-planar laser scattering image. Based on the newfound anisotropic hypersonic turbulence power spectrum, Rytov approximation was employed to establish the wave structure function and the spatial coherence radius model of electromagnetic beam propagation in hypersonic turbulence. Enhancing the anisotropy characteristics of the hypersonic turbulence led to a significant improvement in the propagation performance of electromagnetic beams in hypersonic plasma sheath. The influence of hypersonic turbulence on electromagnetic beams increases with the increase of variance of the refractive-index fluctuation and the decrease of turbulence outer scale and anisotropy parameters. The spatial coherence radius was much smaller than that in atmospheric turbulence. These results are fundamental to understanding electromagnetic wave propagation in hypersonic turbulence.
Inverse-cubic law of index fluctuation distribution in Indian markets
Pan, Raj Kumar; Sinha, Sitabhra
2008-03-01
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristic power-law exponent, the universality of such behavior has been debated, particularly in regard to emerging markets. Here we investigate the distribution of several indices from the Indian financial market, one of the largest emerging markets in the world. We have used tick-by-tick data from the National Stock Exchange (NSE), as well as, daily closing data from both the NSE and Bombay Stock Exchange (BSE). We find that the cumulative distributions of index returns have long tails consistent with a power law having exponent α ≈ 3, at time scales of both 1 min and 1 day. This "inverse-cubic law" is quantitatively similar to what has been observed in developed markets, thereby providing strong evidence of universality in the behavior of market fluctuations.
Tajus Subqi
2016-08-01
Full Text Available This research had analyzed the effect of financial performance and stock beta (systematic risk towards stock price of eight listed companies in Jakarta Islamic Index (JII – LQ 45 for the time period of 2012-2014. The data was gathered by employing literature study and documentation of financial statements. Multiple regressions are used to measure the effect of independent variable towards dependent variable along with ttest and F test. The results based on overall test suggested that only ROE and NPM had opposite direction correlation with the stock price, meanwhile other variables had positive direction correlation. From partial test with 5% level of significance, only EPS and PER had significant effect on stock price while other variables had no effect. Keywords: financial performance analysis, stock price, stock beta (systematic risk, Jakarta Islamic Index
Causal nexus of foreign stock prices on the Philippine stocks exchange composite index
Reynaldo C. Castro
2016-12-01
Full Text Available This study investigates the predictive relationship existing between the Philippine Stocks Exchange Index (PSEI and the foreign stock markets. historical data of the daily closing prices of the stock markets (s&p500 of the united states, Nikkei of Japan, Sensex of India, Shcomp of China, STI of Singapore, KLSE of Malaysia, and HKSE of hong kong covering January 4, 2002 to January 29, 2016 (n=3,411 observations were estimated using the Ordinary Least Squares (OLS regression equation, having the PSEI of the Philippines as the predicted variable. It was found out that the foreign stock markets are highly correlated with the PSE. Moreover, OLS regression revealed that an increase of the daily closing prices of s&p500 of United States, Nikkei of Japan, Sensex of India and STI of Singapore increases the value of the PSEI but decreases upon the appreciation of Shcomp of china and the HKSE of Hong Kong. Meanwhile, KLSE of Malaysia yielded no statistical significance towards the PSEI.
Deutsch Tomi
2016-12-01
Full Text Available This article focuses on the issue of statistical capacity building of official statisticians using the case of the consumer price index (CPI as an illustrative example. Although used for indexation of salaries, pensions, and social welfare benefits, but also as an approximation of the general inflation rate, there are several unresolved methodological issues associated with CPI’s calculation. Apart from the choice among two alternative concepts, the challenge of how to include owner-occupied housing (OOH in CPI has also not been adequately resolved yet. Analysis in the article is based on Slovenian data. The results show that accuracy of the CPI significantly improves if it is calculated using one of the superlative and symmetric formulas, and that it makes sense to include OOH in CPI using the total acquisitions approach. The analysis further indicates that the choice of the index formula for calculating CPI has a much greater impact on the CPI value than inclusion of OOH. Academic research findings such as these should not remain unknown to the wide professional community of official statisticians. Formal channels for knowledge transfer from academia to official statistics providers should be established to facilitate continuous statistical capacity building of official statisticians.
Muslich Lutfi
2016-09-01
Full Text Available The purpose of this research is to find out and analyze the effect of factors affecting price earning ratio on the shares registered in Jakarta Islamic Index. It is a causal research, a causality research which is based on the observation on the effects and the causing factors through some particular data. The data used were secondary data. This research used 48 observations as the research samples obtained based on certain criteria. The hypothesis was tested by using F-Test (Simultaneous Test, T-Test (Partial Test. The results showed that, partially, the Total Assets and Debt to Equity have significant effects to the Price Earning Ratio on the shares registered in Jakarta Islamic Index. Meanwhile, the Dividend Payout Ratio has no effect to Price Earning Ratio on the shares registered in Jakarta Islamic Index.
The Methodological Analysis of Compiling Price Index of Transportation in China%我国交通运输价格指数编制方法研究
王晓红
2003-01-01
The author discusses the importance and effect of compiling price index of transportation in China, as well as the main problems worth discussing regarding price index of transportation in China. She also raises some thoughts concerning compiling index of transportation in China.
矿产资源价格扰动性及对策分析%Analysis on the Fluctuation of Mineral Resources Price and Its Counter Measures
廖桂生; 陈建宏; 郑海力
2011-01-01
针对国内外矿产资源价格扰动现象，从西方经济学的供求关系、宏观政策执行、需求预期、替代品等基本理论入手，分析矿产资源价格扰动的动态机理，定性分析各种不同因素造成的价格扰动度，并依此提出强化宏观调控、实行矿产资源战略储备、促进替代品使用和实施两型社会建设等降低价格扰动策略的措施。%Aiming at the fluctuation of mineral resources price at home and abroad, from the basic theories of supply - demand relationship,the execution of macroscopic policy,predictable demand and substitutes, the dynamic mechanism of fluctuation of mineral resources price was analyzed, the qualitative analysis of the disturbance degree of various factors on the price of mineral resources was made. According to these, some measures against the price fluctuation were advanced, such as strengthening the macroscopic regulation, implementing the strategic reserves of mineral resources, promoting the uses of alternatives, and implementing the building of the＂ two types＂ society.
Stefan, F. M.; Atman, A. P. F.
2015-02-01
Models which consider behavioral aspects of the investors have attracted increasing interest in the Finance and Econophysics literature in the last years. Different behavioral profiles (imitation, anti-imitation, indifference) were proposed for the investors, which take their decision based on their trust network (neighborhood). Results from agent-based models have shown that most of the features observed in actual stock market indices can be replicated in simulations. Here, we present a deeper investigation of an agent based model considering different network morphologies (regular, random, small-world) for the investors' trust network, in an attempt to answer the question raised in the title. We study the model by considering four scenarios for the investors and different initial conditions to analyze their influence in the stock market fluctuations. We have characterized the stationary limit for each scenario tested, focusing on the changes introduced when complex networks were used, and calculated the Hurst exponent in some cases. Simulations showed interesting results suggesting that the fluctuations of the stock market index are strongly affected by the network morphology, a remarkable result which we believe was never reported or predicted before.
国际油价波动对中国经济的影响分析%Effects of International Oil Price Fluctuations on the Chinese Economy
吴有君
2016-01-01
Affected by geopolitical and economic situation,the international oil price has fluctuated greatly in recent years,which significantly affected the global and Chinese economy.Based on analysis of the various causes of fluctuations in oil price,it was concluded that the volatility in oil price would continue,but high oil price was unlikely to be repeated in the long run.Low oil price is generally favorablefor Chinese economy,but will have some impacts on the new energy and oil extraction industries.Proposal was raised thatthe government should take measures to support the above industries.%受经济形势和地缘政治的影响，近年来石油价格的波动幅度比较大，对世界乃至我国的经济影响很大。对导致油价波动的各种原因进行了分析，认为石油价格的大幅波动还将持续，而从长期趋势看高油价时代已不太可能重现。低油价对我国经济总体有利，但会对我国的新能源和采油等产业造成一定影响，建议国家采取一定的措施予以扶持。
李丹; 崔日明
2011-01-01
Since 1970s, the international price of crude oil fluctuated sharply for many times, and the analysis on its causation is always a hot topic in academic field. The history of international price fluctuation of crude oil is retrospected and devided into stages firstly, the structural factors of international price fluctuation of crude oil is analyzed secondly, and the causes of international price fluctuation of crude oil is analyzed empirically by applying SVAR model at last. The result shows that both shocks of general supply and short-term exogenous factors will inflence international price fluctuation of crude oil, but it is relatively not significant. Comparatively, the inflence of demand shock exceeds supply shock on international price fluctuation of crude oil, and the general demand shock evaluated by index of economic activities has not resulted in severe international price fluctuation of crude oil. It is showed that the uneven international price fluctuation of crude oil has no direct causation with the great increasing demand of crude oil in China in recent years.%20世纪70年代以来，国际油价经历多次剧烈波动，对于油价波动原因的分析一直是理论界的热点话题。首先对国际油价波动的历史进行梳理和阶段性划分，然后对国际油价波动的结构性因素进行分析，最后采用SVAR模型对国际油价波动的原因进行实证分析，结果显示一般供给冲击和短期外部因素冲击均会对国际油价波动产生影响，但其影响并不大。相比而言，需求冲击对国际油价的影响超过供给冲击，而且以经济活动指数衡量的一般需求冲击并未造成国际油价的剧烈波动。这说明，国际油价的异常波动与我国近年来对石油需求的大幅增加并没有直接的联系。
2014-07-01
Office of Management and Budget OUSD(C) Office of the Under Secretary of Defense (Comptroller) WTI West Texas Intermediate This is a work of the...Intermediate ( WTI ) crude oil benchmark with other crude oil pricing benchmarks to determine whether DOD’s approach to setting its standard price reflects...coming from the prices in the futures market for both West Texas Intermediate ( WTI ) and Brent crude oil prices.5 DOD uses the WTI projection as its
GDP核算中的价格指数及存在问题研究%The Research of Price Indexes of GDP Accounting and the Existing Problems
赵红
2005-01-01
This paper briefly introduces the price indices and their compilation methods employed in estimating constant GDP by production approach, together with a presentation of various Chinese style price indices of year-on-year type, year-to-year type and fixed-base type published in the China Statistical Yearbook. Through comparative analysis, difference between the above Chinese style price indices and theircounterparts corresponding to the relevant international standard terminology is revealed through presenting the price index formula respectively. In addition, this paper also summarizes the method of constant GDP estimation and the system of price statistics implemented in China and shows the underlying problems accompanied with the existing system and practice of the price statistics in the National Bureau of Statistics of China (NBS). Finally, recommendations and suggestions on the improvement of the international comparability of GDP at constant prices and price index compilation exercises are proposed for special consideration by the authorities concerned.
我国原料乳价格波动、影响及建议%Price Fluctuation, Influence and Suggestions of Raw Milk in China
魏秀芬; 周莹
2014-01-01
Since the second half of 2007, the raw milk price fluctuation in China can be divided into three stages. The breeding cost, the supply and demand of raw milk, the quality of raw milk, imports of dairy products, international dairy price, climate, epidemic situation and policies are the main factors of influencing raw milk price fluctuation. Excessive fluctuation of raw milk price will affect the interests of dairy farmers, dairy enterprise and consumers. So, the scientific dairy development plan should be made, the transaction of raw milk should be regulated, and the monitoring and early warning mechanism, reasonable raw milk price formation mechanism and benefit coupling mechanism between dairy enterprise and dairy farmers should be constructed.%2007年下半年以来，我国原料乳价格波动情况分为3个阶段。影响其波动的主要原因有饲养成本、原料乳供求、原料乳质量、乳制品进口、国际乳制品价格、气候、疫情和政策。原料乳价格波动过大会影响奶农、乳企和消费者的利益。必须科学制定乳业发展规划，规范原料乳交易，建立监测与预警机制、合理的价格形成机制以及乳企与奶农的利益联结机制。
无
2011-01-01
The Chinese Government faces the task of stabilizing vegetable prices to avoid steep increases and dips Fluctuations of vegetable prices in China have recently caused near panic in the domestic market.Purchase prices for farm produce are decreasing dramatically
The Research on the Fluctuation Spillover Effect of HS300 Stock Index Futures%沪深300股指期货波动溢出效应研究
徐翔
2012-01-01
本文研究表明沪深300股指期货与现货市场间存在不对称的波动溢出效应,股指期货交易产生的波动会引导现货市场波动,并且影响程度高达52%,而现货市场交易产生的波动并不能对股指期货市场产生显著的影响。另外,本文通过脉冲响应函数进行分析,发现沪深300股指期货价格变动较现货价格变动超前15分钟。%The empirical results show that asymmetric fluctuation spillover effect between HS300 stock index futures and spot market, the volatility of stock index futures will guide the fluctuations in the spot market, and its impact up to 52%, but the volatility of spot market have no effect on stock index futures. Then, in this paper, the impulse response function analysis show that, compared to spot market price, the stock index futures price changes ahead for at least 15 minutes.
Ahmad Kamaruddin, Saadi Bin; Md Ghani, Nor Azura; Mohamed Ramli, Norazan
2013-04-01
The concept of Private Financial Initiative (PFI) has been implemented by many developed countries as an innovative way for the governments to improve future public service delivery and infrastructure procurement. However, the idea is just about to germinate in Malaysia and its success is still vague. The major phase that needs to be given main attention in this agenda is value for money whereby optimum efficiency and effectiveness of each expense is attained. Therefore, at the early stage of this study, estimating unitary charges or materials price indexes in each region in Malaysia was the key objective. This particular study aims to discover the best forecasting method to estimate unitary charges price indexes in construction industry by different regions in the central region of Peninsular Malaysia (Selangor, Federal Territory of Kuala Lumpur, Negeri Sembilan, and Melaka). The unitary charges indexes data used were from year 2002 to 2011 monthly data of different states in the central region Peninsular Malaysia, comprising price indexes of aggregate, sand, steel reinforcement, ready mix concrete, bricks and partition, roof material, floor and wall finishes, ceiling, plumbing materials, sanitary fittings, paint, glass, steel and metal sections, timber and plywood. At the end of the study, it was found that Backpropagation Neural Network with linear transfer function produced the most accurate and reliable results for estimating unitary charges price indexes in every states in central region Peninsular Malaysia based on the Root Mean Squared Errors, where the values for both estimation and evaluation sets were approximately zero and highly significant at p value for money of PFI as well as towards Malaysian economical growth.
Using Sectoral Indexes to Discount the Exercise Price of Employee Stock Options
Majewska Agnieszka
2016-12-01
Full Text Available Employee stock options (ESOs are an instrument in compensating top management of corporations. In the literature, they are described as a variable component of remuneration of a long-term character (Borkowska, 2012. There are six characteristic elements of the ESO: a grant date, the ESO plan duration, employees entitled to receive options, vesting criteria, a vesting period, and an exercise price. The article refers to the exercise price. The remuneration of employees is determined by the option’s intrinsic value, i.e. the difference between the current stock price and the exercise price. This difference affects the costs incurred by a company in relation with their incentive stock option plan. In this connection, the exercise price of stock options needs to be analysed.
On the Time Varying Relationship between Oil Price and G7 Equity index: a Multivariate Approach
Khaled Guesmi
2016-06-01
Full Text Available The aim of this paper is to investigate the interaction between G7 stock markets and oil prices during the period 1998-2013. We employ a multivariate approach based on c-DCC-FIAPARCH framework that incorporates the features of asymmetries, persistence, that are typically observed in stock markets and oil prices. We show that the origin of oil price shock is the main driver of the relationship between stock and oil markets. More specifically, our results show, in one hand, that G7 equity market has a high correlation with oil market in the presence of aggregate demand oil price shocks (Asian crisis, housing market boom, Chinese growth, subprime crisis. In other hand, our results highlight that G7 equity market did not react to precautionary demand shocks (09/11 US terrorist attacks, and second Iraq war in 2003.
Zhang, Di; Cherkezyan, Lusik; Capoglu, Ilker; Subramanian, Hariharan; Chandler, John; Thompson, Sebastian; Taflove, Allen; Backman, Vadim
2015-01-01
We previously established that spectroscopic microscopy can quantify subdiffraction-scale refractive index (RI) fluctuations in a label-free dielectric medium with a smooth surface. However, to study more realistic samples, such as biological cells, the effect of rough surface should be considered. In this Letter, we first report an analytical theory to synthesize microscopic images of a rough surface, validate this theory by finite-difference time-domain (FDTD) solutions of Maxwell’s equatio...
Fast and anisotropic flexibility-rigidity index for protein flexibility and fluctuation analysis
Opron, Kristopher [Department of Biochemistry and Molecular Biology, Michigan State University, Michigan 48824 (United States); Xia, Kelin [Department of Mathematics, Michigan State University, Michigan 48824 (United States); Wei, Guo-Wei, E-mail: wei@math.msu.edu [Department of Biochemistry and Molecular Biology, Michigan State University, Michigan 48824 (United States); Department of Mathematics, Michigan State University, Michigan 48824 (United States); Department of Electrical and Computer Engineering, Michigan State University, Michigan 48824 (United States)
2014-06-21
Protein structural fluctuation, typically measured by Debye-Waller factors, or B-factors, is a manifestation of protein flexibility, which strongly correlates to protein function. The flexibility-rigidity index (FRI) is a newly proposed method for the construction of atomic rigidity functions required in the theory of continuum elasticity with atomic rigidity, which is a new multiscale formalism for describing excessively large biomolecular systems. The FRI method analyzes protein rigidity and flexibility and is capable of predicting protein B-factors without resorting to matrix diagonalization. A fundamental assumption used in the FRI is that protein structures are uniquely determined by various internal and external interactions, while the protein functions, such as stability and flexibility, are solely determined by the structure. As such, one can predict protein flexibility without resorting to the protein interaction Hamiltonian. Consequently, bypassing the matrix diagonalization, the original FRI has a computational complexity of O(N{sup 2}). This work introduces a fast FRI (fFRI) algorithm for the flexibility analysis of large macromolecules. The proposed fFRI further reduces the computational complexity to O(N). Additionally, we propose anisotropic FRI (aFRI) algorithms for the analysis of protein collective dynamics. The aFRI algorithms permit adaptive Hessian matrices, from a completely global 3N × 3N matrix to completely local 3 × 3 matrices. These 3 × 3 matrices, despite being calculated locally, also contain non-local correlation information. Eigenvectors obtained from the proposed aFRI algorithms are able to demonstrate collective motions. Moreover, we investigate the performance of FRI by employing four families of radial basis correlation functions. Both parameter optimized and parameter-free FRI methods are explored. Furthermore, we compare the accuracy and efficiency of FRI with some established approaches to flexibility analysis, namely
Economic Explanations on Fluctuation of Pig Price in China%中国生猪价格波动的经济学解释
张晨; 罗强; 俞美莲
2013-01-01
Pig farming industry has an important position in China. The frequent fluctuation of pig price in recent years has certain impact on smooth running of national economy and healthy development of pig farming industry. Known from studying the relevant literatures, there were both endogenous and exogenous factors in fluctuation of pig price, and then the paper proposed to study the causes of fluctuation of pig price using theories of economics. Cobweb model was a principal tool to explain price fluctuation of agricultural products. By analyzing data from January, 2000 to July, 2012, it was found that the fluctuation of pig price in China presents a state of“cobweb disturbance”showing divergent case in general while convergent case and closed case in certain periods of time. It was believed that this phenomenon was closely related to change of macroeconomic environment in China, particularly the change of monetary policy represented by the interest rate. By analyzing pig farmer’s behavior to price change of piglet and feed, and analyzing relation between real wage and pig farming industry from the angle of macro labor demand and goods supply, the paper brought up two new exploratory explanations which were helpful to supplement the deficiency of cobweb model.% 生猪养殖业在中国具有举足轻重的地位。近年来生猪市场价格波动频繁，对国民经济平稳运行和产业良性发展具有一定影响。通过对相关文献进行梳理可知，生猪价格波动具有内生性、外生性因素，进而笔者提出以经济学理论研究生猪价格波动的成因。蛛网模型是解释农产品价格波动的主要工具。以2000年1月—2012年7月的数据为分析对象，发现中国生猪价格波动呈现出整体发散，但局部封闭、收敛的“蛛网紊乱”状态，认为这与中国宏观经济环境的变化，尤其是以利率为代表的货币政策的变化有密切关联。通过仔猪和饲料价格变化分
A Distribution-class Locational Marginal Price (DLMP) Index for Enhanced Distribution Systems
Akinbode, Oluwaseyi Wemimo
The smart grid initiative is the impetus behind changes that are expected to culminate into an enhanced distribution system with the communication and control infrastructure to support advanced distribution system applications and resources such as distributed generation, energy storage systems, and price responsive loads. This research proposes a distribution-class analog of the transmission LMP (DLMP) as an enabler of the advanced applications of the enhanced distribution system. The DLMP is envisioned as a control signal that can incentivize distribution system resources to behave optimally in a manner that benefits economic efficiency and system reliability and that can optimally couple the transmission and the distribution systems. The DLMP is calculated from a two-stage optimization problem; a transmission system OPF and a distribution system OPF. An iterative framework that ensures accurate representation of the distribution system's price sensitive resources for the transmission system problem and vice versa is developed and its convergence problem is discussed. As part of the DLMP calculation framework, a DCOPF formulation that endogenously captures the effect of real power losses is discussed. The formulation uses piecewise linear functions to approximate losses. This thesis explores, with theoretical proofs, the breakdown of the loss approximation technique when non-positive DLMPs/LMPs occur and discusses a mixed integer linear programming formulation that corrects the breakdown. The DLMP is numerically illustrated in traditional and enhanced distribution systems and its superiority to contemporary pricing mechanisms is demonstrated using price responsive loads. Results show that the impact of the inaccuracy of contemporary pricing schemes becomes significant as flexible resources increase. At high elasticity, aggregate load consumption deviated from the optimal consumption by up to about 45 percent when using a flat or time-of-use rate. Individual load
Zainul Hasan Quthbi
2017-10-01
Artikel ini bermaksud untuk menganalisis saham syariah yang tergolong efisien untuk keputusan investasi dengan menggunakan SCAPM (Shari’a Compliant Asset Pricing Model. SCAPM adalah bentuk modifikasi dari CAPM (Capital Asset Pricing Model yang bertujuan agar kerangka model analisis masih dalam kerangka syariah. Teknik pengumpulan data adalah dokumentasi dari data yang bersifat sekunder. Digunakan 13 sampel saham syariah pada penelitian ini dengan kriteria saham syariah yang konsisten masuk pada JII (Jakarta Islamic Index periode penelitian Desember 2013 hingga November 2016 dan memiliki pengembalian saham individual positif. Hasil dari penelitian menunjukkan terdapat 9 saham syariah yang tergolong efisien dan 4 sisanya tidak efisien. Saham PT. Adaro Energy memiliki nilai RVAR terbesar yang berarti memiliki kinerja saham paling baik.
The impact of house price index specification levels on the risk profile of housing corporations
B. Kramer; T. Kuijl; M. Francke
2009-01-01
Asset Liability Management (ALM) for housing corporations is based on stochastic scenario models for important risk and return drivers such as interest and inflation rates, construction costs and sales prices of houses. Given the situation of the housing corporation (current real estate portfolio, a
Matito, Eduard; Salvador, Pedro; Duran, Miquel; Solà, Miquel
2006-04-20
In the past few years, there has been a growing interest for aromaticity measures based on electron density descriptors, the para-delocalization (PDI) and the aromatic fluctuation (FLU) indexes being two recent examples. These aromaticity indexes have been applied successfully to describe the aromaticity of carbon skeleton molecules. Although the results obtained are encouraging, because they follow the trends of other existing aromaticity measures, their calculation is rather expensive because they are based on electron delocalization indexes (DI) that involve cumbersome atomic integrations. However, cheaper electron-sharing indexes (ESIs), which in principle could play the same role as the DI in such aromaticity calculations, can be found in the literature. In this letter we show that PDI and FLU can be calculated using fuzzy-atom bond order (FBO) measures instead of DIs with an important saving of computing time. In addition, a basis-set-dependence study is performed to assess the reliability of these measures. FLU and PDI based on FBO are shown to be both good aromaticity indexes and almost basis-set-independent measures. This result opens up a wide range of possibilities for PDI and FLU to also be calculated on large organic systems. As an example, the DI and FBO-based FLU and PDI indexes have also been calculated and compared for the C60 molecule.
Unger, André J. A.
2010-02-01
This work is the first installment in a two-part series, and focuses on the development of a numerical PDE approach to price components of a Bermudan-style callable catastrophe (CAT) bond. The bond is based on two underlying stochastic variables; the PCS index which posts quarterly estimates of industry-wide hurricane losses as well as a single-factor CIR interest rate model for the three-month LIBOR. The aggregate PCS index is analogous to losses claimed under traditional reinsurance in that it is used to specify a reinsurance layer. The proposed CAT bond model contains a Bermudan-style call feature designed to allow the reinsurer to minimize their interest rate risk exposure on making substantial fixed coupon payments using capital from the reinsurance premium. Numerical PDE methods are the fundamental strategy for pricing early-exercise constraints, such as the Bermudan-style call feature, into contingent claim models. Therefore, the objective and unique contribution of this first installment in the two-part series is to develop a formulation and discretization strategy for the proposed CAT bond model utilizing a numerical PDE approach. Object-oriented code design is fundamental to the numerical methods used to aggregate the PCS index, and implement the call feature. Therefore, object-oriented design issues that relate specifically to the development of a numerical PDE approach for the component of the proposed CAT bond model that depends on the PCS index and LIBOR are described here. Formulation, numerical methods and code design issues that relate to aggregating the PCS index and introducing the call option are the subject of the companion paper.
Do financial investors affect the price of wheat?
Daniele Girardi
2012-03-01
Full Text Available It is widely debated whether financial speculation was a significant force behind recent food price fluctuations. As a matter of fact, during the 2000s agricultural commodity derivatives markets were flooded by a ‘wall of money’ coming from financial investors. In agricultural exchanges, the greatest part of this huge financial inflow came from index traders, i.e. financial actors that follow a passive strategy of tracking a commodity index. In this article I present new empirical evidence that supports the hypothesis that financial investments have affected wheat price dynamics in recent years. In particular, I focus on Hard Red Winter (HRW wheat. Since 2007 HRW wheat price fluctuations have been positively related to US stock market returns and oil price movements. These correlations appear to be determined by commodity index traders, since both these relationships proved to be spurious, with the most tracked commodity index as the confounding variable.
Using Cost Estimating Relationships to Develop A Price Index for Tactical Aircraft
2014-04-30
implications of fixed-price contracts in the 1970s. Horowitz has performed econometric analysis relating training to readiness and military...section and time-series data, often called panel data in the econometrics literature. Time can be measured in the present analysis either by fiscal...empty weight from year to year. Models for Analysis Overview This section introduces the three models in broad terms. Full CER Hedonic Model . The
物业服务价格指数体系构建探讨%Study on the construction of property services price index system
汪伸; 陈德豪
2015-01-01
在目前物业服务市场中，价格问题是最为关键的问题，行业急需通过构建完善的物业服务价格指数体系，以科学的物业服务价格指数指导各类物业服务项目的价格调节。本文分析了构建物业服务价格指数体系的背景，阐述了构建物业服务价格指数体系的出发点、目标、原则和主要内容，最后提出构建物业服务价格指数体系和发布价格指数的一些相关事项。旨在促进物业服务行业更为健康规范地发展。%Nowadays, in the property services market, the price problem is the key problem. The industry needs to construct a perfect price index system and calculate scientiifc price indexes to guide the regulation of property services price. This article analyses the background of the construction of property services price index system, points out the starting point, object and principles of the construction of property services, explores the main content of the construction of property services price index system and puts forwards some related matters when we construct property services price index system and release property services price index to promote the development of property services industry.
The downs and ups of the consumer price index in Argentina: From National Statistics to Big Data
Celia Lury
2014-07-01
Full Text Available On the 5th of February 2007, the Institute of National Statistics and Census in Argentina (INDEC released a press statement, giving a percentage figure for that month’s Consumer Price Index (CPI-GBA. Since the announcement, this number and its subsequent variations have been at the centre of a national and international political, legal and technical controversy. The legitimacy of the numerical value of the percentage has been called into question by a range of actors and has been challenged by the emergence of multiple alternative indicators of inflation. We explore this methodological controversy through the lens of statactivism. We do not describe the controversy in its entirety, but, rather, enter the controversy to develop a comparison of the procedures informing the production of the CPI as a national statistic with those informing its production as a big data number. In both cases, we explore the way in which price is produced as an indicator. In doing so we draw attention to the significance of calculative infrastructures as ubiquitous, multi-layered processes of connectivity, that have the capacity to make surfaces, to draw lines and boundaries, and to enable particular economic and political activities to unfold in multiple and specific ways. We argue that the capacity to connect, to attach and detach, that is immanent to such infrastructures configures price as an indicator in particular ways, and in doing so help make what we call state space, a term which we use to draw attention to how specific configurations of connectivity in the calculative infrastructure enacts a space of possibility for statactivism
Javed Bin Kamal
2012-09-01
Full Text Available The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009. Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012.
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
Jiang, G.J.; van der Sluis, P.J.
2000-01-01
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the
José-María Montero
2009-10-01
Full Text Available (a When environmental variables are included in hedonic house price models, the locations where a property transaction has been taken place are more than those equipped with an environmental monitoring station. (b When environmental variables are numerous, an environmental quality index (EQI is needed. The solution is to interpolate (kriging environmental variables and, subsequently, elaborate an EQI, because of the lower prediction variance. (c Environmental informations can be both objective and subjective. The potential mismatch between the spatial support for both the objective informations and the subjective ones is solved by using a kriging strategy (area-to-point kriging that forces scarce objective environmental informations to be coherent with dense subjective ones. These options for elaborating EQIs are compared in Madrid City (Spain.
Price System for Water Supply and its Economic Impact Analysis
Jing Zhao
2015-04-01
Full Text Available In light of the actual economic circumstances and water price level, the CGE model to simulate the price policy for multiple water sources is modified and expanded. A water price reform plan is proposed to meet water-saving requirements and water resources allocation. The affected scale and scope for implementing the water price policy is evaluated on a quantitative basis. Research results indicate that a reasonable water price system in Tianjin in 2020 should be set up as follows: the comprehensive tap water price stands at 4$/m3, the tap water price for industrial, administrative and business service sectors is 2.4$/m3, and the tap water price for special industry and domestic use are 8.8$/m3 and 1.4$/m3 respectively. The adjusted water price will bring about tangible results to water resources allocation optimization and water conservation. Although most sectors are negatively affected to varying degrees after raising the water price, particularly the lodging and catering sectors, a 100% water price rising will produce only little impact on price index, and sectoral output and employment will not cause economic fluctuations or social instability. Water price adjustments, as long as it is reasonable, will be more positive than negative on the whole. Research outcomes will provide a scientific decision-making basis for formulating the local water price policy.
Maria Juliana Leone
2012-10-01
Full Text Available During a decision making process, the body changes. These somatic changes have been related to specific cognitive events and also have been postulated to assist decision making indexing possible outcomes of different options. We used chess to analyze heart rate (HR modulations on specific cognitive events. In a chess game, players have a limited time-budget to make about 40 moves (decisions that can be objectively evaluated and retrospectively assigned to specific subjectively perceived events, such as setting a goal and the process to reach a known goal. We show that HR signals events: it predicts the conception of a plan, the concrete analysis of variations or the likelihood to blunder by fluctuations before to the move, and it reflects reactions, such as a blunder made by the opponent, by fluctuations subsequent to the move. Our data demonstrate that even if HR constitutes a relatively broad marker integrating a myriad of physiological variables, its dynamic is rich enough to reveal relevant episodes of inner thought.
Montri Inthachot
2016-01-01
Full Text Available This study investigated the use of Artificial Neural Network (ANN and Genetic Algorithm (GA for prediction of Thailand’s SET50 index trend. ANN is a widely accepted machine learning method that uses past data to predict future trend, while GA is an algorithm that can find better subsets of input variables for importing into ANN, hence enabling more accurate prediction by its efficient feature selection. The imported data were chosen technical indicators highly regarded by stock analysts, each represented by 4 input variables that were based on past time spans of 4 different lengths: 3-, 5-, 10-, and 15-day spans before the day of prediction. This import undertaking generated a big set of diverse input variables with an exponentially higher number of possible subsets that GA culled down to a manageable number of more effective ones. SET50 index data of the past 6 years, from 2009 to 2014, were used to evaluate this hybrid intelligence prediction accuracy, and the hybrid’s prediction results were found to be more accurate than those made by a method using only one input variable for one fixed length of past time span.
国际油价变化及未来趋势判断%A Fluctuated International Crude Oil Price and Its Perspective
张雷; 李江苏; 黄园淅; 杨波
2011-01-01
Soon after the beginning of the petroleum times, economic development for many countries has to be faced with a great challenge from a fluctuated crude oil prices. The authors revealed the facts as follows. Between 1965 and 2000, a key factor dominating the change of crude oil price in the whole world came mainly from the politic conflicts between the advanced countries or the traditional oil-importer and the organization of oil exporters. Yom Kippur War or October War in 1973, Islamic Revolution in 1979, and Iraq invaded Kuwait in 1990 were the best examples in explanting the acutely soaring crude oil prices in the whole world. This situation, however, has been changed since the very beginning of the 21 st century when the key factor dominating the oil price floating in the world has transformed from political to economic reasons when the market game transformed from a traditional binary structure constituted only by exporters and importers to a new ternary one made up by the oil exporters, the old importers (the developed countries), and the newly emerging importers (the newly developing countries). In fact, demand growth has been much higher in the developing world than that in the developed one since 2001. According to BP statistics, there had about 95％ of the demand growth of the whole world contributed by the developing countries during the period 2001-2008, compared with that of only 30％ during the period of 1965-2000. In the meantime, there were 17 old importers or developed countries which witnessed their shrinking in demand in 2008, compared with only 10 in 2003. Along with such a change, the world oil market has been becoming an ideal place for speculation businesses. Soon after reached a low point in 1999 of $17 per barrel (all prices are in US$ per barrel) with the Asian Financial Crisis, which reduced demand, crude oil prices increased rapidly, more than doubling by September 2000 to $35, and steadily increased to $40-50 in 2004. In 2005, crude
Nadhem Selmi
2015-05-01
Full Text Available In this paper, we examine and forecast the House Price Index (HPI and mortgage market rate in terms of the description of the subprime crisis. We use a semi-parametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005 [Shimotsu, K., & Phillips, P.C.B. (2005, Exact local Whittle estimation of fractional integration. The Annals of Statistics, 33(4, 1890-1933.] in a long memory parameter time series. Empirical investigation of HPI and mortgage market rate shows that these variables are more persistent when the d estimates are found on the Shimotsu method than on the one of Künsch (1987 [Künsch, H.R. (1987. Statistical aspects of self-similar processes. In Y. Prokhorov and V.V. Sazanov (eds., Proceedings of the First World Congress of the Bernoulli Society, VNU Science Press, Utrecht, 67-74.]. The estimating forecast values are more realistic and they strongly reflect the present US economy actuality in the two series as indicated by the forecast evaluation topics.
Jammallo, Lauren S.; Miller, Cynthia L.; Singer, Marybeth; Horick, Nora K.; Skolny, Melissa N.; Specht, Michelle C.; O'Toole, Jean; Taghian, Alphonse G.
2013-01-01
Background Identifying risk factors for lymphedema in patients treated for breast cancer has become increasingly important given the current lack of standardization surrounding diagnosis and treatment. Reports on the association of body mass index (BMI) and weight change with lymphedema risk are conflicting. We sought to examine the impact of pre-operative BMI and post-treatment weight change on the incidence of lymphedema. Methods From 2005-2011, 787 newly-diagnosed breast cancer patients underwent prospective arm volume measurements with a Perometer pre- and post-operatively. BMI was calculated from same-day weight and height measurements. Lymphedema was defined as a relative volume change (RVC) of ≥10%. Univariate and multivariate Cox proportional hazards models were used to evaluate the association between lymphedema risk and pre-operative BMI, weight change, and other demographic and treatment factors. Results By multivariate analysis, a pre-operative BMI ≥30 was significantly associated with an increased risk of lymphedema compared to a pre-operative BMI lymphedema compared to patients with a pre-operative BMIlymphedema (HR: 1.97, p = lymphedema, whereas a BMI of 25-lymphedema. Patients with a pre-operative BMI≥30 and those who experience large weight fluctuations during and after treatment for breast cancer should be considered at higher-risk for lymphedema. Close monitoring or early intervention to ensure optimal treatment of the condition may be appropriate for these patients. PMID:24122390
Banh Quoc, Tuan; Ishige, Masashi; Ohkubo, Yuria; Aketagawa, Masato
2009-12-01
In the previous work (Ishige et al 2009 Meas. Sci. Technol. 20 084019), we presented a method of measuring the relative air-refractive-index fluctuation (Δnair) from the laser frequency shift with the measurement uncertainty of order 10-8 using a phase modulation homodyne interferometer (Basile et al 1991 Metrologia 28 455), which was supported by an ultralow thermal expansion material (ULTEM) and an external cavity laser diode (ECLD). In this paper, an improvement in the uncertainty of the Δnair measurement is presented. The improvement method is based on a Fabry-Perot cavity constructed on the ULTEM, which has a thermal expansion coefficient of 2 × 10-8 K-1 and an ECLD. The Pound-Drever-Hall method (Drever et al 1983 Appl. Phys. B 31 97) is also used to control the ECLD frequency to track the resonance of the cavity. Δnair can be derived from the ECLD frequency shift. The estimated measurement uncertainty of Δnair for a short time (~150 s) in the experiment is of order 2.5 × 10-9 or less.
刘瑾婧; 方兆本; 李海涛
2011-01-01
Using the EC-EGARCH-GED model, the function of price discovery and volatility spillovers of index futures was investigated. The result suggests that index futures enlarge volatility in the stock market. In the long run, index futures have an impact on the price of stock indexes, while in the short run, the impact of index futures is greater than long run equilibrium. The effect of the recently listed index futures on the Shanghai and Shenzhen 300 stock index was measured at last and the results showed that index futures' listing brought a impact on stock indexes.%运用EC-EGARCH-GED模型,分析了中国股指期货的价格发现功能和波动外溢效应.研究结果表明股指期货增大了股指的波动性.从长期看,股指期货的价格影响股票指数的价格；而短期内股指期货价格对股指价格的影响比长期均衡的影响大.最后还考察了中国新上市的股指期货对沪深300指数的影响,认为股指期货的上市给股指带来了一定的冲击力.
张宇青; 周应恒
2013-01-01
了解林产品生产者价格指数波动的特征对稳定林产品PPI和价格水平有重要意义。采用ARCH-LM和残差平方和相关图方法检验后认为：木材、竹材PPI序列不存在不存在ARCH效应；HP滤波分析显示木材和竹材行业的P P I指数长期趋势比较平稳，相比于木材市场，近期竹材的市场供求状态相对合理；采用GARCH-M、 TARCH和EARCH模型分析认为胶脂和果实类林产品市场不存在“高风险-高收益”特征，但胶脂和果实类林产品PPI指数波动存在非对称性。%It’s important to Learn characteristics of forest products producer price index volatility for stable PPI and the price level. After Using ARCH-LM and the residual sum of squares correlation di-agram method. We considerst that: wood, bamboo PPI does not exist ARCH effect, HP filter analy-sis shows wood and bamboo industry PPI index slong-term trend is relatively stable, compared to the timber market, supply and demand status of bamboo market relatively reasonable;using GARCH-M, TARCH and EARCH model analysis that plastic resin and fruit category forest products does not exist“high risk - high return” feature, but it’s PPI index fluctuations exist asymmetry.
Relative Prices and Inflation Stabilisation
Aoki, Kosuke
2015-01-01
When price adjustment is sluggish, inflation is costly in terms of welfare because it distorts various kinds of relative prices. Stabilising aggregate price inflation does not necessarily minimise these costs, but stabilising a well-designed core inflation minimises the cost of relative price fluctuations and thus the cost of inflation.
Titus SUCIU
2013-01-01
In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...
Titus SUCIU
2013-01-01
In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...
李祎; 翟玮
2012-01-01
The writer of this paper intends to classify the financial indicators into three categories and conduct an analysis into the relationship between the financial indicators of the listed companies and the price fluctuation by making use of the Pearson correlation coefficient, with the latest three years＇ financial data of listed companies in Shanghai and Shenzhen as samples. The results shows that： the listed companies＇ financial indicators of the explanatory power of the stock prices present a weakening trend; the main factors that affect the stock prices include the per-share earnings and rate of return on total assets; the companies＇ solvency is negatively correlated with stock prices, which has no statistical relativity with the fluctuations of stock prices; and the profitability of the company is the main factor that influences the listed company＇s share prices.%文章以近三年的沪深能源类上市公司的财务数据为样本，将财务指标分为三类，运用皮尔逊相关性系数分析了上市公司财务指标与其股价的关系。结果发现：上市公司财务指标对股价的解释力呈减弱的趋势；每股收益和总资产报酬率是影响股价的主要因素；公司偿债能力与股价呈负相关，对股价变动不具有统计意义上的相关性；公司盈利能力是影响上市公司股价的主要因素。
Alanen, P; Kuttila, M; Le Bell, Y
1997-01-01
We studied the fluctuation of temporomandibular disorders, applying two classifications systems, in a 2-year follow-up study of 411 subjects. In general, the fluctuation was not large. There were no major differences between the two classifications. In our opinion, a decision to treat a patient on the basis of the treatment need grouping would not lead to overtreatment. The study design suffered from the fact that it is not possible to separate the fluctuation of the TMD itself and the fluctuation of its signs and symptoms from each other, owing to the descriptive nature of the diagnosis 'temporomandibular disorder'.
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. Second
A Framework for Price Statistics
Kimberly D. Zieschang
2000-01-01
This paper describes the primary framework associating the four principal price indices in the system of economic statistics—the Producer Price Index (PPI), the Consumer Price Index (CPI), and the Export and Import Price Indices (XPI and MPI)—with the macroeconomic value aggregates they decompose into price and volume components. The paper begins by defining the basic algebra of price indices. It then discusses the definition of the value aggregates comprising the goods and services component...
模糊性与股指期货价格双向偏差研究%The Study of Ambiguity and Stock Index Future Prices Bidirectional Deviation
冯瑞敏; 陆家骝
2015-01-01
CSI 300 stock index futures pricing shows a special pattern:the mispricing in the future market is bidirectional, and most of time is positive.This pattern is quite different from that in the foreign financial market, since it is more often to witness negative mispricing in foreign future markets.What′s worse, this pattern cannot be explained by the current stock-index futures pricing model.In order to explain this phenomenon, this paper builds up a new future pricing model from the perspective of am-biguity.We first build up the continuous infinite life consumption-investment model of ambiguity-averse investors to study their optimal decisions under ambiguity circumstance.We investigate the relationship between investors′asset position and the equilib-rium asset prices, proposing the ambiguity future pricing model.After that, based on CSI 300 stock index′s and its future′s daily data from 2010-2014, the new pricing model is tested.Both Monte Carlo Markov Chain estimation method and vector auto-re-gression tests are adopted.Finally, we calibrate the ambiguity parameter in Chinese financial market. Our study provides the following findings.First and foremost, future′s stochastic process deviates from its underlying under am-biguous circumstances.The non-arbitrage mechanism cannot ensure that the future′s price follows the same process of the index. Meanwhile, investors won't change their investment strategy if future′s price is within the ambiguous pricing range.Secondly, the direction of the mispricing is determined by the net asset position of the transaction-driven investors.Under the assumption of am-biguity, ambiguity-averse investor's preserved price of the future is affected by his asset position.Hence, if the future transaction is driven by those in the net long position, there is a positive mispricing of the future price.Otherwise, the negative mispricing exists if it is driven by those in the net short position.Thirdly, the degree of
Theory of Financial Risk and Derivative Pricing
Bouchaud, Jean-Philippe; Potters, Marc
2009-01-01
Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.
猪肉价格波动与通货膨胀相依关系研究%Research on the Interdependence between Infaltion and Price Fluctuation of Pork
张国富; 杜子平
2015-01-01
This paper calls the produces with capital goods characteristic capitalized agricultural produces , and takes pork as an example to calculate the coefficient of contingency of inflation and price fluctuation of pork by using five fami-lies of copula models;based on the Akaike Information Criterion ( AIC) and Bayesian Information Criterion ( BIC,) the frank copula is found to be the most suitable to model the interdependence between inflation and price fluctuation of pork. Using the frank copula, we calculate the Kendall′τand Spearman′ρbetween inflation and price fluctuation of pork.The results indicate that there are positive correlations between them.The rise of pork price has remarkable impact on infla-tion.%本文将具有资本品特征的农产品称为资产化农产品，以猪肉作为资产化农产品的代表，利用五种Copula函数计算了通货膨胀率序列和猪肉价格指数收益序列的相依系数；通过AIC和BIC法则选择Frank Copula为最优模型，并基于Frank Copula模型计算了通货膨胀率和猪肉价格波动率之间的Kendall’τ和Spearman’ρ相依系数。结果表明通货膨胀率和猪肉价格波动率之间存在正的相依关系，猪肉价格上涨对诱发通货膨胀有很强的推动作用。
Pricing models of Stock index futures and their empirical study%指数期货合约定价模型及其实证研究——对恒生指数期货合约定价的实证分析
徐国祥; 檀向球
2003-01-01
The paper deduces Stock Index Futures Pricing Models respectively under the ideal circumstance andunder the restrictive circumstance and makes an empirical study on the pricing efficiency of HIS index fu-tures.
未预期的收入冲击与离婚：来自住房市场的证据%Unexpected House-Price Fluctuations and Marital Dissolution
范子英; 胡贤敏
2015-01-01
在Becker （1977）所开创的婚姻经济学中，离婚是由两个因素导致的：婚姻错配和收入冲击，不过实证研究却很难将两者的效应分离。本文使用中国地级市2005—2012年的离婚和房价的面板数据，采用向量自回归的残差项测量未预期到的房价变化，证实收入冲击是影响离婚率的一个重要因素；并且，由于未预期到的房价波动与婚姻匹配的质量无关，因此未预期到的房价冲击效应就可以全部归结为收入冲击。这些研究发现说明近年来高速上涨的房价与离婚率攀升是相互关联的，并且在婚姻市场上，“同享福”比“共患难”更不稳定，这也暗示着从更宏大视角来评估房地产市场的必要性。%Marital mismatch and uncertain income shock are two general causes leading to marital disso -lution according to Becker (1977) theory, however, it is difficult to distinguish the later from the former in empirical studies .Using vector autoregressive residual as the measurement of unexpected house -price , this pa-per takes the panel data of house-price and divorce from 2005 to 2012 to study the relation between house-price and marital dissolution .We find that, firstly, unexpected house-price fluctuations significantly affects di-vorce rate .Secondly , the relationship between house prices and divorce rates is asymmetric .House-price de-creases have no statistically significant effect on the share of the population that is divorced , while house-price increases increase the divorce rate .Thirdly, the higher house-price fluctuations are , the greater impact on the divorce rate .
Methodological selection strategy analysis on medicine price index%药品价格指数的方法学综述
马芳芳; 吴晶
2015-01-01
Objective:To review methodology of medicine price index methodology and provide methodological implications for empirical researches. Methods:Based on the recent original home and abroad researches, the price index formulas, the medicine product definition, price and quantity units were introduced in this paper together with their merit/demerit and different selections’ measurement bias. Results: The measurement results were significantly different along with selections of the different weighted price index formulas. The medicine product definition and the price/quantity units in the formulas were different as well. By taking into account the new products entry and the ol-der ones exit updating issue, and by considering the products quality changes issue can also have an important empir-ical implication for the price measurement. Conclusions:The medicine price index methods need to be deeply devel-oped and the researchers should devote to further research and perform accurate measurement. In the empirical analy-sis, researchers can use different methods to measure the medicine price index in order to more accurately reflect the medicine price level change.%目的：：综述药品价格指数的研究方法，为药品价格指数实证研究提供方法学借鉴。方法：以近年来的国内外研究文献为基础，从指数方法(公式)、药品产品的定义、价格和数量计量单位三个方面进行综述，并对选择不同方法的优缺点以及测量偏倚进行评析。结果：价格指数的结果会随着指数公式所选择的权重、产品的定义以及价格和数量计量单位的不同而不同。在指数公式的选择中是否考虑了新产品上市和老产品退市的产品更新换代问题以及产品的质量变化问题等同样会使得指数结果具有较大差异。结论：药品价格指数的研究方法还有待进一步研究完善，学术界应致力于对价格指数进行更深入的研究，以达到更精
基于分形理论的居民消费价格指数预测%The Consumer Price Index Prediction Based on Fractal Theory
刘清志; 邢梓
2014-01-01
With the rapid development of China’s economy,the price level has increased significantly,the normal life of the residents has been greatly affected. Based on the consumer price index(CPI),by using the related predict knowledge of the fractal theory,we analysed the trend of the consumer price index of China during 2000-2011,and concluded that the CPI index will continue to rise combined with the scatter plot. We also summarized the reasons for the increasing of CPI according to the result,and proposed measures from the aspects of policies and market in order to control the price level reasonably and to ensure the harmonization of the market operation.%随着我国经济的迅速发展，物价水平明显升高，居民的正常生活受到了很大影响。以居民消费价格指数（CPI）为研究对象，运用分形理论的相关预测知识，分析了我国2000-2011年的居民消费价格指数走势，结合散点图得出CPI指数还会持续上升的结论。在此基础上分析了CPI指数上升的原因，从政策和市场等方面提出相应措施以合理控制物价，确保市场运作的协调统一。
Trend Prediction for Stock Price Using Dynamic Hurst Index%动态Hurst指数对股票价格（指数）趋势的判断
赵仕军; 徐丙振
2011-01-01
Hurst Index is defined in fractal chaos theory and time series to determine groups of statistical parameters, which has been applied in marketing process. In this paper, we calculate the Hurst index based on the data collected from the real stock market price. Upon certain conditions, stock price movement does not fit the Brownian motion model, indicating the invalidity of the given stock market. The presented method is aimed to calculate the statistics for long-time Hurst index of a large cycle so as to calculate the＇dynamic Hurst index.%采用长时间、大周期统计Hurst指数，进而计算出动态Hurst指数，从而判断实际股票市场的股票指数的趋势以及动态Hurst指数的适应范围，认为动态Hurst指数在证券投资中有一定的参考价值，可以对股票价格或指数的长时趋势进行预测．
Dynamic analysis about time series of stock market price%股票市场价格时间序列的动力学分析
王德河
2003-01-01
This paper argued that the stock market should be considered as a complicated nonlinear system. The fluctuations of stock price are positive coherent, then there is persistence and trend in stock price movements. The author analyzed the time series of 180 index with R/S analysis method. The result confirmed the author's ideas.
Hu, Haixin
This dissertation consists of two parts. The first part studies the sample selection and spatial models of housing price index using transaction data on detached single-family houses of two California metropolitan areas from 1990 through 2008. House prices are often spatially correlated due to shared amenities, or when the properties are viewed as close substitutes in a housing submarket. There have been many studies that address spatial correlation in the context of housing markets. However, none has used spatial models to construct housing price indexes at zip code level for the entire time period analyzed in this dissertation to the best of my knowledge. In this paper, I study a first-order autoregressive spatial model with four different weighing matrix schemes. Four sets of housing price indexes are constructed accordingly. Gatzlaff and Haurin (1997, 1998) study the sample selection problem in housing index by using Heckman's two-step method. This method, however, is generally inefficient and can cause multicollinearity problem. Also, it requires data on unsold houses in order to carry out the first-step probit regression. Maximum likelihood (ML) method can be used to estimate a truncated incidental model which allows one to correct for sample selection based on transaction data only. However, convergence problem is very prevalent in practice. In this paper I adopt Lewbel's (2007) sample selection correction method which does not require one to model or estimate the selection model, except for some very general assumptions. I then extend this method to correct for spatial correlation. In the second part, I analyze the U.S. gasoline market with a disequilibrium model that allows lagged-latent variables, endogenous prices, and panel data with fixed effects. Most existing studies (see the survey of Espey, 1998, Energy Economics) of the gasoline market assume equilibrium. In practice, however, prices do not always adjust fast enough to clear the market
An Empirical Analysis of Price Fluctuations in the Transient China%中国转轨时期物价波动的实证分析
高铁梅; 刘玉红; 王金明
2004-01-01
@@ 1. Introduction In the transition to the socialist market economy in the last decade, the inherent contradictions in China's economy have undergone tremendous changes and the price level has experienced a process from high inflation to deflation.
ANIELA BĂLĂCESCU
2011-06-01
Full Text Available In the analysis of economic stability an important part is owned by consumer prices. The present study is devoted to an analysis of the evolution of CPI and inflation rate in the Rumanian economy. The analysis uses annual and monthly series for the period January 2000 - December 2010.
Arneberg, Marie; Bowitz, Einar
2006-01-01
International comparisons of data on expenditure on education use purchasing power parities for currency conversion and adjustment for price differences between countries to allow for volume comparisons. The resulting indicators are commonly interpreted as differences between countries in input volumes to the education sector-teachers, materials,…
An Analysis of Colombian Power Market Price Behavior from an Industrial Organization Perspective
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.
Ishige, Masashi; Aketagawa, Masato; Banh Quoc, Tuan; Hoshino, Yuta
2009-08-01
We present a method for air-refractive-index (nair) fluctuation measurement using a laser interferometer. The method is based on a combination of a phase modulation homodyne interferometer (PMHI), an external cavity laser diode (ECLD) and an ultralow thermal expansion material (ULTEM). The PMHI utilizes a Michelson interferometer which is constructed on the ULTEM plate under the condition of an air temperature fluctuation of less than 10 mK, so that the optical path change or the air-refractive-index fluctuation (Δnair) caused by the thermal disturbance can be neglected. Meanwhile, the ECLD is controlled by adjusting its frequency to track some of the dark fringes of the interferometer, so that Δnair can be derived from the ECLD frequency change. The uncertainty of the Δnair measurement in the experiment is of 10-8 order. However, it will be possible to decrease the uncertainty to 10-9 or less if the signal-to-noise ratio (SNR) of the control system is improved.
陈莹; 武志伟; 王杨
2014-01-01
The market for HS300 equity index comprises index futures and various ETFs which are growing rapidly. This paper explores the impact of multi-market trading on the price discovery process of HS300 index. We find that:The index futures contribute the most to price discovery,followed by the Huatai Bairui ETF which allows a cash redemption. Jiashi ETF( which allows in-kind redemption only)contributes the least to price discovery,which is not consistent with our intuition. Furthermore,we show that volatility,instead of liq-uidity,as would be conjectured by the transaction-costs hypothesis,is the driving factor for relative price lead-ership between the index futures market and ETF markets. Finally,some advice which helps improve the multi-level index in China Securities Market has been suggested according to the research conclusion.%中国正积极开发以沪深300指数为标的的多种衍生产品，希望形成多市场交易格局。论文采用信息份额模型和共因子模型研究了多市场交易对沪深300指数价格发现的影响。结果显示：股指期货对价格发现贡献度最高；与人们的直觉相悖，允许现金赎回的华泰柏瑞ETF基金的价格发现贡献度高于实物赎回的嘉实 ETF 基金。进一步的证据表明，股指期货和指数ETF基金各自的和相对的波动性是影响其相对价格发现能力的主要因素，而非流动性。最后，根据研究结论提出了进一步完善中国多层次指数衍生证券市场的相关建议。
Huttin, Christine C
2012-01-01
This paper aims to propose a new methodological agenda for new price measurement for medical services; it is based on a cost sensitivity index coming from series of pilot studies on physicians, in order to provide adjustment methods to household surveys for health care expenditure budgets. The use of stated-revealed preference models with inclusion of stated preference studies is proposed with an example on a physician cost sensitivity study in Europe; it could also help the ISPOR task for force best practices in conjoint study designs.
王建林; 赵佳佳
2013-01-01
Coal price could have an effect on electricity supply in China , which does not attract most researchers'attention.We analyze the relationship between power supply , coal price and economic growth .Empirical test is applied using the data from October 1996 to May 2012.The result suggests that there is a long-run equilibrium relationship be-tween power supply , coal price and economic growth .Power shortage is a departure from the long-run equilibrium relation-ship.Using bootstrap granger causality testing approach we find a unidirectional Granger causality running from power supply to economic growth , a unidirectional Granger causality running from coal price to power supply and a bidirectional Granger causality between coal price and economic growth .Policy solutions are also discussed in the paper , such as perfection of coal-electricity price link system , monitoring coal price fluctuation and breaking the administrative monopoly in electricity market .%近十年来电力供应紧张一直困扰中国经济，大量文献检验了电力供应与经济增长的关系，而忽视了煤炭价格这一因素。基于1996年10月到2012年5月的月度数据，我们使用了包含煤炭价格的多变量方法进行分析。研究结果显示， Johansen协整检验发现电力供应、煤炭价格和经济增长之间存在长期均衡关系；拔靴Granger因果检验发现，电力供应单向引导经济增长，煤炭价格单向引起电力供应，煤炭价格与经济增长之间存在双向的Granger因果联系。据此，我们建议完善煤电价格联动机制，密切关注煤炭价格波动和打破电力市场行政垄断等。
朱苗绘; 秦开大; 杨保建
2012-01-01
Cointegration and Granger causality tests are widely used to analyze the relationship among economic variables in macroeconomic fields. However, it is rarely seen such analysis in enterprise micro market structure. The paper chooses the real deal data of rose in Kunming international flower auction market from Feb. 16, 2009 to Feb. 12, 2010, and analyzes correlations and influences of the rose price fluctuations. The empirical results show that there is a long-term equilibrium relationship between price and supply volume which is the the endogenous variable of price. Price has an impact on supply volume with one lagged period, whereas supply volume with three lagged periods on the price. At the same time, the price affect the rate of abortion with three lagged periods, and the abortion rate has no causality to the price.%协整与Granger因果检验被广泛应用于宏观经济领域经济变量间的关系分析中,但是,将协整与Granger因果检验应用于企业微观市场结构经济变量之间的分析的文献还鲜见报道.论文选择昆明国际花卉拍卖市场2009年2月16日至2010年2月12日间玫瑰的交易数据,分析鲜活农产品拍卖市场品类价格波动的相关性及其影响.实证结果表明:价格与供货量存在长期的均衡关系,供货量是价格的内生变量；价格对滞后一期的供货量产生影响,供货量则影响滞后三期的价格；此外,价格对滞后三期的流拍率产生影响,但流拍率的变化不会对价格产生影响.
马亚明; 赵慧
2012-01-01
本文在对热钱流动导致资产价格波动进而影响金融脆弱性的进行系统论述的基础上,基于国内2003年1月至2011年12月月度股票收益率和房屋价格指数,利用SVAR模型研究了热钱对我国股票市场和房地产市场价格的影响。结果表明,热钱对股票市场和房地产市场有着长期均衡关系,热钱流入显著推动了股票价格指数上涨;股票收益率波动的30%是由热钱异动所致,但热钱对房屋价格指数影响相对较小,表现在房价变动中20%与热钱流动有关;股价上涨同时对房地产市场价格有着正向影响,被抬高的房价会进一步吸引热钱的流入。基于热钱对金融稳定与脆弱性的影响,提出完善人民币汇率和利率机制,合理疏导等治理热钱的政策建议。%In this paper, on the basis of a systematic discussion on the effect ofhot money flows on financial fragility by means of asset price fluctuation, based on the stock yield and housing price index from January 2003 to December 2011, we make a research on the effect of hot money on stock market and real estate market price in China with SVAR model. It turns out that there is a long- term equilibrium relationship between hot money and stock market and real estate market. And hot money flows remarkably leads the increase in stock market index, and 30~ of stock benefit rate is caused by the irregular hot money flows. But the effect of hot money on housing price index is rela tively not obvious; on the other hand, the increase in stock price has a positive effect on the real es- tate market price, and the elevated housing price will further attract hot money flows. Based on the effect of hot money on financial stability and fragility, we propose the policies and suggestions for improving RMB exchange rate and interest rate mechanism and reasonable guidance to control the hot money.
黄飞雪; 谷静
2011-01-01
In this paper a subdominant ultra-metric space with exactly defined topology sequence is applied to study the fluctuations and correlation of real estate prices of 70 cities under the impact of Financial Crisis.A comparative analysis of the monthly data from sample Housing Sales Price Index from July 2005 to July 2009 shows that the cluster effect in the real estate prices of the 70 cities is more significant after outbreak of the global financial crisis.Over time,the housing price span among different cities tends narrower,indicating that real estate price fluctuations among different cities are becoming more correlative.The central nodes in China are shifting from tier 2 and 3 cities to tier 1 cities.The influence of tier 1 cities is stronger.Although the global financial crisis led to much lower housing prices of the 70 cities,the whole housing market remains relatively stable.It is suggested to pay more attention to the housing prices of tier 1 cities in an effort to construct a harmonious society where every household has a house to live in.%为了考察金融危机影响下中国70个大中城市房价的波动特征及关联变化,提出采用具有准确拓扑序列的亚超度量空间方法。通过对2005年7月至2009年7月中国70个大中城市房屋销售价格指数样本的月数据进行金融危机前后对比实证,结果发现：金融危机爆发后,中国70个大中城市房价间聚集效应更加明显;房价间距离明显缩短,表明70城市房价波动的关联性提高;聚集的中心节点由二三线城市逐渐变为一线城市,使得一线城市的影响力大幅增强。虽然全球金融危机爆发,使得中国70个大中城市房价大幅降低,但其整体上仍然是相对稳定的。建议继续加
邓祥征; 林英志; 葛全胜; 赵永宏
2011-01-01
Over the past three decades, economic loss from the agricultural sector in the N(o)rth China Region has generally increased due to increasingly severe drought. In this paper, an estimation model was built based on the partial equilibrium theory, which appears to be capable of simulating the fluctuation of market prices of agricultural products corresponding to the frequency and intensity of natural disasters. Four types of crop products (including rice, wheat, maize, and legume), four types of livestock products (including pork, beef, eggs, and milk product), as well as three types of production factors (including capital, labor, and land) are comprehensively taken into account in the proposed model. Three scenarios, i.e., mild drought, moderate drought, and severe drought, were designed so as to obtain more robust results. Using this model and data from China Statistical Yearbook and China Agriculture Yearbook, we estimated market price fluctuations of eight types of crop and livestock products across the North China Region under the three drought scenarios. Results indicate that the prices of rice, wheat, and beef could rise by 0.67％, the prices of maize, pork, eggs, and milk products could rise by 0.56％, and the price of legume could rise by 0.57％ under the mild drought scenario compared with that under the absence of drought. Under the scenario of moderate drought, the prices of maize, pork, eggs, and milk products rise by 1.78％-1.79％, and the prices of wheat and rice rise by 1.89％ and 1.78％, respectively, with reference to the absence of drought. The rise in beef price could be 1.91％ and the rise in legume price could reach 1.72％ under the absence of drought. Under the scenario of severe drought, prices of rice, wheat, maize, and legume could rise by 3.56％-3.57％. The rise of the beef price of 3.59％ is severest among all crop and livestock products. The prices of eggs and milk products could rise by 3.47％ and 3.46％, respectively
袁庆禄
2012-01-01
构建GARCH模型，揭示糖11期指、郑糖期指和柳糖现指的波动规律及共生关系。估计结果表明：三种指数均具有尖峰厚尾特征；糖11期指和郑糖期指均存在杠杆效应；国内郑糖期指和柳糖现指表现出明显的共生关系，中外白糖指数之间的共牛关系不明显。%This paper established GARCH model, and comparatively analysed the fluctuation characteristics and symbiotic relationships of ICE sugar No.l 1 tuture index, Zhengzhou white sugar future index and Liuzhou white sugar spot index. The results showed that three indices had the characteristics of higher peak and fat tail. Both ICE sugar No. 11 future index and Zhengzhou white sugar future index had asymmetry effect. There was a symbiotic relationship between Zhengzhou white sugar future index and Liuzhou white sugar spot index obviously, and wasn't a symbiotic relationship between domestie index and foreign index.
The Analysis of Domestic Oil Price Fluctuation Based on ARCH Models%基于ARCH类模型的国内油价波动分析
潘慧峰; 张金水
2005-01-01
The ARCH type models are applied on the weekly data of crude oil return from January 1997 to November 2003 to examine the features of volatility in China market. Our findings indicate that there exists significant conditional heteroskedasticity but with low persistence in the return of crude oil. The leverage effect in oil market is different from the one in the stock market, which shows that upward movements in the price of crude oil are followed by higher volatilities than downward movements of the same magnitude. Based on this, this paper analyzes the cause of the leverage effect in crude oil market from the angel of nonrenewable resources and discusses the countermeasures to deal with the volatility in oil price in terms of the situation of China.
蔡志强
2012-01-01
若将“蛛网模型”和“均衡移动模型”结合起来，探讨农产品价格决定和价格波动中的关键因素及其相互作用的机理，就会得如下结论：我国农产品的合约制生产与流通组织化模式发展滞后，自然因素的随机作用造成农户生产决策的混同均衡，大量资金频繁进出农产品生产领域和流通环节，以及消费偏好的意外变化，这种种因素的“共振作用”就使得农产品价格波动屡屡发生“过山车”现象。而农产品合约制生产与流通的组织化模式的建立，应为治理农产品价格波动“过山车”现象的有效策略。%Combining Cobweb Model with Equilibrium Movement Model, the article explores the key factors and interactional mechanism of price establishment and fluctuations of farm produce, and reaches the following conclusions. China lags behind in the contractual agreement production and organizational development of distribution of farm produce. The stochastic function of natural factors results in the pooling equilibrium of farmers＇ decision-making. A lot of capital frequently flows into and out of the field of production and distribution of farm produce. The consumers＇ pref- erence varies unexpectedly. The synchronous vibration of various factors leads to the ＂roller coast- er＂ phenomenon of price fluctuations of farm produce. Therefore, the contractual agreement production and organizational development of distribution of farm produce are the effective strategies for dealing with ＂roller coaster＂ phenomenon of price fluctuations of farm produce.
国际大宗商品价格波动的中国因素探讨%On Chinaese Influencing Factors of International Commodity Price Fluctuation
王皓; 朱明侠
2016-01-01
国际大宗商品价格的持续上涨加剧了全球通货膨胀压力，而随着中国经济发展和地位提升，中国因素被认为是推动国际大宗商品价格上涨的重要原因。借鉴国外学者的FAVAR模型，采用多变量建立较为完整的宏观经济模型，研究结果表明：第一，中国需求的增加对国际大宗商品价格的上涨具有显著作用；第二，中国利率、人民币对美元汇率的上升会在短期内抑制国际大宗商品价格的上涨；第三，人民币汇率和利率虽然都会对国际大宗商品价格产生显著影响，但利率的作用效果要弱于汇率。因此，应尽快促进利率市场化，鼓励企业走出去，并加快推进产业结构调整，从而实现经济的持续健康发展。%The rise of international commodity price increases the pressure of global inflation;and with the economic development of China and the improvement of China’s position,Chinese factors have become the most important cause for the rise of international commodity price. With the help of FAVAR model,the authors carry out the related study on this by establishing a comprehensive macro economic model based on multi-variables. It is found that:first,the increase of Chinese demand has significant impact on the rise of international commodity price;second,the rise of China’s interest rate and the exchange rate of RMB to US dollars will restrain the rise of international commodity price in the short term;and third,the interest rate and exchange rate of RMB will both have significant impact on the price of international commodity,and the impact of interest rate will weaker than that of the exchange rate. So,we should accelerate interest rate liberalization,encourage the enterprises to go out,and accelerate industrial restructuring to realize the sustainable and healthy economic development.
Bonar, Hot; Ruchjana, Budi Nurani; Darmawan, Gumgum
2017-03-01
Inflation is defined as a situation where generally the price of goods has increased continuously. In order to measure inflation, Statistics of Indonesia (BPS) use the Consumer Price Index (CPI). Inflation in North Sumatera Province monitored through CPI change in several major cities which are Medan, Pematang Siantar, Sibolga, and Padangsidimpuan. The CPI value in these cities was affected by the previous times value and have correlation between one another. In data modeling, data that have correlation in time and spatial is called space time data. One of data modeling methods that can be used to analyze the space time data is the Generalized Space Time Autoregressive (GSTAR) which was introduced by Ruchjana (2002) with assumed constant variance error. Furthermore, time series data such as inflation often have high volatility which implicates on an inconstant value of variance and error. Nainggolan (2011) was introduced GSTAR model with an Autoregressive Conditional Heteroscedastic (ARCH) error, called GSTAR-ARCH model. In this model, the mean equation was modeled by GSTAR model and the variance equation was modeled by the ARCH model. For non stationarity data, we apply GSTAR-Integrated with ARCH error (GSTARI-ARCH) model, and the estimation parameters are using Generalized Least Square (GLS) method as introduced by Nainggolan (2011).
A Research on the Impact of Major Sport Events on ;the Stock Price Index%大型体育赛事对股价指数的影响研究
王树; 翟丰
2015-01-01
选取世界杯和夏季奥运会作为研究对象,选取具有代表性的21个主要国家和地区的主要股价指数,采用事件研究法研究大型体育赛事发生前后各15天内的股市收益情况。研究表明：大型体育赛事举办前后,21个主要国家和地区的股价指数都出现了波动,特别是夏季奥运会期间波动异常显著。世界杯和夏季奥运会对股价指数的影响呈现出反向变动趋势,具体表现为：世界杯举办前后,大盘收益率基本为负值,而且事件日后出现较大幅度下降；而奥运会举办前后,大盘收益率基本为正值,呈“M”型显著波动。从总体上看,21个主要国家和地区的股票市场呈现出“跌—涨—跌”的趋势；世界杯和夏季奥运会对股市的影响具有不对称性,世界杯期间股价下跌的“赛事魔咒”效应更为突出。%This paper selects World Cup and the Summer Olympics as the research objects,choosing 21 representa-tive countries to analyze their stock price index. It studies the market conditions in the time of 15 days after and be-fore the major sport events. The research shows that all of the 21 countries’ stock price index have been volatile,es-pecially during the Summer Olympics. The impact of World Cup and the Summer Olympics on the stock price index shows a reverse trend. To be specific, during the World Cup, the rate of return presents as negative and keeps fast falling after the events. On the contrary,the rate of return is positive during the Olympic Games,revealing significant fluctuations in"M" type. From a general view, the stock market shows a trend of“fall———rise———fall”trend during major sport events. The effects of World Cup and the Summer Olympic Games on the Chinese stock market are asymmetric, which makes the phenomenon of“Tournament Curse of Sport Events”more obvious to be seen.
Study on the Price Fluctuations of Angelica Sinensis in Minxian, Gansu%甘肃省岷县1990-2010年当归价格波动分析
王秀兰; 云立新
2012-01-01
In recent years, there have been several wide fluctuations in the price of Chinese herbal medicines due to the epidemics and natural disasters. Take Minxian County's Angelica sinensis resource as an example, which is the most influential in China, and analyzed the divergent fluctuations between its price and planting area in 1990-2010. The result shows that: the Chinese herbal medicine as a kind of special agricultural product,whose production can not be formed completely by the market regulating due to marketing delay, limited herbalist rational and in complete information, the government should strengthen to control its supply, demand, distribution, storage and other aspects.%近年来,由于受突发疫情、自然灾害等影响,我国中药材价格大幅波动问题逐渐引起社会关注.通过对我国当归的最大产地——甘肃岷县进行实地调研,分析1990-2010年岷县当归价格和种植面积的发散式波动情况,发现中药材作为一种特殊农产品,产销存在时滞、药农理性有限和信息不完全条件下,往往会发生一缺就上,一上就多,一多就下,一下就缺的怪圈.提出有效缓解价格波动的对策,中药材不能任由市场来调节产量,政府应从供给、需求、流通、仓储等方面加强宏观调控.
Statistical Properties of Fluctuations: A Method to Check Market Behavior
Panigrahi, Prasanta K; Manimaran, P; Ahalpara, Dilip P
2009-01-01
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal behavior of the returns using a recently developed wavelet based fluctuation analysis method. the returns show a fat-tail distribution as also weak non-statistical behavior. We have also carried out continuous wavelet as well as Fourier power spectral analysis to characterize the periodic nature and correlation properties of the time series.
Yongxiu He
2014-04-01
Full Text Available In Beijing, China, the rational consumption of energy is affected by the insufficient linkage mechanism of the energy pricing system, the unreasonable price ratio and other issues. This paper combines the characteristics of Beijing’s energy market, putting forward the society-economy equilibrium indicator R maximization taking into consideration the mitigation cost to determine a reasonable price ratio range. Based on the computable general equilibrium (CGE model, and dividing four kinds of energy sources into three groups, the impact of price fluctuations of electricity and natural gas on the Gross Domestic Product (GDP, Consumer Price Index (CPI, energy consumption and CO2 and SO2 emissions can be simulated for various scenarios. On this basis, the integrated effects of electricity and natural gas price shocks on the Beijing economy and environment can be calculated. The results show that relative to the coal prices, the electricity and natural gas prices in Beijing are currently below reasonable levels; the solution to these unreasonable energy price ratios should begin by improving the energy pricing mechanism, through means such as the establishment of a sound dynamic adjustment mechanism between regulated prices and market prices. This provides a new idea for exploring the rationality of energy price ratios in imperfect competitive energy markets.
Baker, W; Marn, M; Zawada, C
2001-02-01
Companies generally have set prices on the Internet in two ways. Many start-ups have offered untenably low prices in a rush to capture first-mover advantage. Many incumbents have simply charged the same prices on-line as they do off-line. Either way, companies are missing a big opportunity. The fundamental value of the Internet lies not in lowering prices or making them consistent but in optimizing them. After all, if it's easy for customers to compare prices on the Internet, it's also easy for companies to track customers' behavior and adjust prices accordingly. The Net lets companies optimize prices in three ways. First, it lets them set and announce prices with greater precision. Different prices can be tested easily, and customers' responses can be collected instantly. Companies can set the most profitable prices, and they can tap into previously hidden customer demand. Second, because it's so easy to change prices on the Internet, companies can adjust prices in response to even small fluctuations in market conditions, customer demand, or competitors' behavior. Third, companies can use the clickstream data and purchase histories that it collects through the Internet to segment customers quickly. Then it can offer segment-specific prices or promotions immediately. By taking full advantage of the unique possibilities afforded by the Internet to set prices with precision, adapt to changing circumstances quickly, and segment customers accurately, companies can get their pricing right. It's one of the ultimate drivers of e-business success.
Beydoun, May A; Powell, Lisa M; Chen, Xiaoli; Wang, Youfa
2011-02-01
Food prices are expected to affect dietary intakes, however, previous findings are mixed and few are based on nationally representative data. We examined the associations of price indices of fast foods (FF-PI) and fruits and vegetables (FV-PI) with dietary intakes and BMI among U.S. children and adolescents using data from the Continuing Survey of Food Intakes by Individuals (CSFII; 1994-1998) for 6759 children (2-9 y) and 1679 adolescents (10-18 y). FF-PI and FV-PI were linked to individuals' CSFII dietary data through city-level geocodes. Main outcomes included intakes of selected nutrients and food groups, a fast food consumption index (FF-CI), diet quality using the 2005 Healthy Eating Index (HEI), and BMI. Among children (2-9 y), a higher FF-PI (by $1) was associated with intakes of lower FF-CI (β ± SE: -0.9 ± 0.3 count/d), higher HEI (6.6 ± 2.5), higher intakes of fiber (2.7 ± 0.7 g/d), calcium (225.7 ± 52.3 mg/d), dairy (172.5 ± 36.2 g/d), and fruits and vegetables (113.3 ± 23.4 cup equivalents/d). FV-PI was inversely related to fiber intake (β ± SE: -3.3 ± 1.5 g/d) and positively associated with BMI (4.3 ± 1.2 kg/m(2)). Less consistent findings were ascribed to FV-PI and among adolescents (10-18 y). Significant associations were almost equally balanced between low and high family income groups, with some significant interactions between food prices and family income observed, particularly among children (2-9 y). Our findings suggest that among U.S. children aged 2-9 y, higher FF-PI is associated with better dietary quality, whereas higher FV-PI is linked to higher BMI and lower fiber intake. Associations varied by family income in children for many dietary intake variables.
无
2007-01-01
@@ As was projected in the third-quarter monetary policy implementation report published by the People's Bank of China on November 15th, 2006, the residents' consumption price index in China would reach 1.5% in 2006. Prices of consumer commodities such as water, power and natural gas would rise and the pressure of inflation would persist in the future.
周峰; 杨美超
2015-01-01
不同经济发展水平城市的房价波动存在着明显的差异。为探析造成这种差异的深层次原因，分别选取一、二、三线有代表性的城市作为样本，首先直观地分析了各类别城市之间房价的波动差异。然后针对不同类别城市分别建立了面板数据模型（Panel Data）和误差修正模型（ECM），深入分析造成房价波动差异的长期和短期原因。结果表明：收入对不同类别城市房价影响不同，并且对同一类别城市房价的长期和短期影响也不一样；实际利率对一线城市房价影响显著，而对二、三线城市房价影响不显著；经济发展水平越高的城市，房价由短期非均衡向长期均衡调整的速度越快。最后根据以上分析给出政策建议。%There exists obvious distinctions in the housing price fluctuation among cities with different economic levels .Taking some representative first - tier ,second - tier and third - tier cities as examples ,firstly ,we analyze the different fluctuation characteristics of the different ranked cities qualitatively and then establish panel data model (Panel Data) and error correction model (ECM) respectively among the three kinds of cities .According to these two models ,we can draw a conclusion of the factors affecting the house prices and its influence from short - term to long - term .The conclusion indicates that incomes have different effects on different kinds of cities ; real interest rates have significant effects on the first - tier cities , but not on the second - tier or the third - tier cities .It is faster for the first - tier cities that the price of house regresses from volatility in short - term to equilibrium in long - term .Finally ,we propose some policy suggestions .
Yang, Liansheng; Zhu, Yingming; Wang, Yudong
2016-06-01
In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality. We find that both returns and volatilities of energy industry index display apparent multifractal behavior. Oil market activity is an important source of multifractality in energy stocks index in addition to long-range correlations and fat-tail distributions.
Hagy, Jessica
2008-01-01
Jessica Hagy is a different kind of thinker. She has an astonishing talent for visualizing relationships, capturing in pictures what is difficult for most of us to express in words. At indexed.blogspot.com, she posts charts, graphs, and Venn diagrams drawn on index cards that reveal in a simple and intuitive way the large and small truths of modern life. Praised throughout the blogosphere as “brilliant,” “incredibly creative,” and “comic genius,” Jessica turns her incisive, deadpan sense of humor on everything from office politics to relationships to religion. With new material along with some of Jessica’s greatest hits, this utterly unique book will thrill readers who demand humor that makes them both laugh and think.
Mousavi, Sayed Roholla; Galavi, Mohammad; Eskandari, Hamdollah
2013-01-01
The effect of primary-treated municipal wastewater (TMWW) on the leaf area index (LAI) and quality of maize (Zea mays) was studied in comparison to the clean irrigation water (control). The experiment was based on a randomized block design with four replicates, and it was conducted in a field experiment in Aligoudarz (Iran). Irrigation was applied with five different methods as treatments: T1: irrigation with clean water during whole growing period (control); T2: 75% clean water and 25% TMWW; T3: 50% clean water and 50% TMWW; T4: 25% clean water and 75% TMWW; T5: irrigation with TMWW during whole growing period. Results showed that irrigation with TMWW had a significant positive impact on all characters compared with the control. Maximum LAI was yielded on the 80th day after emergence in T4. Use of TMWW increased seed oil to 5.85%, which was 29.2% more than that in the control. Maximum values for percentage of protein, total dry matter and phosphorus concentration were obtained in T5. Maximum zinc concentration (15.93 mg kg(-1)) was obtained in T4; it was 8% more than the control. According to the results there was no significant difference in treatment T4 and T5.
Heterogeneous traders, price-volume signals, and complex asset price dynamics
Frank H. Westerhoff
2005-01-01
model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.
RESTAURANT NO. 2: PRICE INCREASES
2003-01-01
'DSR', the concession holder of Restaurant no. 2 (bldg. 504 - Meyrin site), has submitted to the Restaurant Supervisory Committee a request to increase certain prices. After close examination, the Committee has established that the proposed increases are compatible with the relevant price indexing mechanisms and other contractual conditions. The new prices will apply as from Monday, June 30, 2003.
RESTAURANT NO. 3: PRICE INCREASES
2003-01-01
'AVENANCE', the concession holder of Restaurant no. 3 (bldg. 866 - Prévessin site), has submitted to the Restaurant Supervisory Committee a request to increase its prices. After close examination, the Committee has established that the proposed increases are compatible with the relevant price indexing mechanisms and other contractual conditions. The new prices will apply as from Monday, June 2, 2003.
Price-volume multifractal analysis and its application in Chinese stock markets
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.
DOES WTI OIL PRICE RETURNS VOLATILITY SPILLOVER TO THE EXCHANGE RATE AND STOCK INDEX IN THE US?
Ching-Chun Wei
2014-04-01
Full Text Available The purpose of this paper is to examine whether the volatility of the West Texas Intermediate oil spot returns (WTIR is affected by the Texas Light Sweet oil futures returns (FUR, the exchange rate returns between the US dollar and the Euro (ERR, and the S&P 500 energy index returns (EIR, and if any of those have changed over time. The daily data of the WTIR, the FUR, the ERR, and the EIR between the period of January 4, 2000 and September 30, 2009, were utilized. The empirical results of the multivariate GARCH of the BEKK model indicated that the WTIR is significantly affected by its own past volatility, and by the volatility of FUR, ERR, and EIR. Most likely, WTIR employs a structural conversion in our dummy variable for selected time points. This suggests that investors could use the FUR’s past volatility as a basis for WTIR purchase. In addition, the changes in ERR’s and EIR’s past volatility can be partially used as a basis for the same purpose.
曲富丽
2015-01-01
The consumer price index has chaotic changes rules,the traditional models are difficult to accurately mining the change tendency,in order to obtain more ideal prediction results of consumer price index,a consumer price index prediction model by using chaos theory and improved neural network is put forward in this paper.Firstly,the phase space reconstruction is used to find the changes rules of consumer price index data,and then neural network is used to establish the prediction model of consumer price index which particle swarm optimization algorithm is used to select parameters of neural network,lastly,some consumer price index data are used to tested the performance.The experimental results show that,the proposed model can accurately reflect the changes of consumer price index,and the prediction results are conducive to macroeconomic analysis and decision making.%提出一种混沌理论和改进神经网络相融合的居民消费价格指数预测模型(Chaotic-NN)。首先对居民消费价格指数历史样本进行相空间重构,从中发现居民消费价格指数的变化信息,然后采用神经网络建立居民消费价格指数预测模型,并采用粒子群算法优化神经网络参数,最后利用多个居民消费价格指数预测实例对其性能进行验证性测试。结果表明,Chaotic-NN 可以全面描述居民消费价格指数变化的非线性和混沌性,拟合度和预测精度都比较高,真实地反映了居民消费价格指数的变化规律。
祁神军; 张云波; 张琼茹
2012-01-01
针对厦门市岛内外一体化进程加快,房地产交易重心从岛内转向岛外,而现有的房地产指数已不能准确地反映厦门房地产市场供求关系的问题,引进Hedonic模型构建厦门市新的房地产指数.首先,研究了国内外现有房地产指数的优缺点,得出特征价格理论在厦门房地产指数中的适用性和可行性；其次,通过理论研究、模型构建和应用研究3个方面系统地对Hedonic模型进行深入研究；最后,利用EViews 6.0软件,对已收集到的665组厦门市二手房数据进行模型选优、检验,建立了厦门市二手房特征价格模型,并将其应用到厦门市二手房价格指数中.研究结果表明,基于Hedonic模型的厦门市房地产指数更能准确地反映厦门市房地产市场的供求关系,是一种有效的房地产指数.%With the integration process of inside and outside the islands of Xiamen,the quality of real estate outside the island of Xiamen has been promoted quickly,as result of that,the center of real estate market has been shifted to the outside. But current price index is unable to reflect the supply and demand of Xiamen. Correspondingly, a new price index of second hand house transaction in Xiamen was proposed based on Hedonic Model. Firstly,the advantages and disadvantages of both domestic and overseas current price index were discussed,and the feasibility of applying the Hedonic price theory in Xiamen was also induced. Then, Hedonic price theory was systematically analyzed from theory studying, model building and application. Finally,a new price index of second hand house transaction in Xiamen was set up according to the history data,and it was selected,optimized, and simulated by the EViews 6.0 software. The experimental results show that Hedonic price method is an effective and scientific method for price index.
Diversified Price Dynamics in some Sub-Segments of the Housing Market
Kokot Sebastian G.
2015-06-01
Full Text Available The observation of price movements on the real estate market is an extremely difficult task as we have to face problems belonging to two spheres. The first of them is the specific nature of real estate as marketable objects and of the real estate market itself. The second one is the character and quality of data on real estate transaction prices. In this article the author, based on an empirical study, attempts to prove that even in a single segment of a local real estate market the prices in individual sub-segments can fluctuate with different intensity. The range of price movements can be so vast that it seems pointless to apply a single averaged price index for the whole segment, and usually that is what analysts do.
The Effect of Food Prices on Inflation in the Republic of Serbia
Radukić Snežana
2015-05-01
Full Text Available In the Republic of Serbia, food accounts for a significant share in the consumer price index through which the inflation is statistically expressed. Therefore, in considerations of the basic factors of increase in the general price level, a special emphasis is placed on the specific features of the market of agricultural-food products. The aim of this research is to peruse the effect of the characteristics of the food market in Serbia on the inflation rate. High volatility of food prices is present because of the instability of this market, mainly due to seasonal fluctuations of supply and the effect of natural factors. Bearing in mind that the increase in food prices is the main determinant of the increase in the inflation rate, the indirect state control is very important so as to maintain price stability. Special importance is attached to the following instruments of economic policy: commodity reserves, storage policy, and fiscal and foreign trade policy.
Relationships among energy price shocks, stock market, and the macroeconomy: evidence from China.
Cong, Rong-Gang; Shen, Shaochuan
2013-01-01
This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market "underreacting." The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.
Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China
Rong-Gang Cong
2013-01-01
Full Text Available This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.
Shimabukuro, Hayato; Inoue, Susumu; Yokoyama, Shuichiro
2014-01-01
Although the cosmological paradigm based on cold dark matter and adiabatic, nearly scale-invariant primordial fluctuations is consistent with a wide variety of existing observations, it has yet to be sufficiently tested on scales smaller than those of massive galaxies, and various alternatives have been proposed that differ significantly in the consequent small-scale power spectrum (SSPS) of large-scale structure. Here we show that a powerful probe of the SSPS at $k\\gtrsim 10$ Mpc$^{-1}$ can be provided by the 21 cm forest, that is, systems of narrow absorption lines due to intervening, cold neutral hydrogen in the spectra of high-redshift background radio sources in the cosmic reionization epoch. Such features are expected to be caused predominantly by collapsed gas in starless minihalos, whose mass function can be very sensitive to the SSPS. As specific examples, we consider the effects of neutrino mass, running spectral index (RSI) and warm dark matter (WDM) on the SSPS, and evaluate the expected distribut...
冯涛; 罗小伟; 徐浩
2015-01-01
Based on the new Keynesian risk spillover perspective,this paper explores whether the monetary policy in the open country should respond to asset price fluctuations.Through comparing four alternative monetary policy rules,we reveal that relative to the benchmark rule,the remaining three monetary rules that respond to the asset price fluctuations all boost the so-cial welfare effect,whereas the monetary policy rule that responds to both domestic asset prices and foreign asset prices fluctu-ations will bring about less losses to the social welfare.In a two -country risk spillover framework,therefore,the central bank should respond to both domestic and foreign asset price fluctuations when implementing the monetary policy.%基于新凯恩斯风险外溢视角，探讨了开放型大国货币政策是否应该对资产价格波动进行回应。在对四种可选择货币规则比较后发现：相对于基准规则，其它三种对资产价格波动做出了反应的货币规则都提升了社会福利效应，而对国内外两种资产价格波动都进行反应的混合型货币规则更是带来了社会福利损失更小化。因此，在一个两国风险外溢框架下，开放型大国央行在执行货币政策时不但应该对国内资产价格波动进行反应，也应该对国外的资产价格波动进行反应。
Description of dynamics of stock prices by a Langevin approach
Huang Zi-Gang; Chen Yong; Zhang Yong; Wang Ying-Hai
2007-01-01
We have studied the Langevin description of stochastic dynamics of financial time series. A sliding-window algorithm is used for our analysis. We find that the fluctuation of stock prices can be understood from the view of a time-dependent drift force corresponding to the drift parameter in Langevin equation. It is revealed that the statistical results of the drift force estimated from financial time series can be approximately considered as a linear restoring force. We investigate the significance of this linear restoring force to the prices evolution from its two coefficients, the equilibrium position and the slope coefficient. The daily log-returns of S&P 500 index from 1950 to 1999 are especially analysed. The new simple form of the restoring force obtained both from mathematical and numerical analyses suggests that the Langevin approach can effectively present not only the macroscopical but also the detailed properties of the price evolution.
Jaime Enrique Arrieta Bechara
2009-12-01
Full Text Available As opposed to the weak form of efficient-market hypothesis, the current study shows that it is possible to do good predictions about the daily share price fluctuations of Suraminv, using artificial neural network models. Furthermore, the forecasts obtained are used to analyze the possibility of gaining extraordinary returns with regard to the Buy & Hold strategy, through negotiation systems with basic rules.La investigación muestra que es posible realizar, por medio de modelos de redes neuronales artificiales, buenas predicciones sobre el comportamiento diario de la acción de SURAMINV. Tales resultados contrarían la hipótesis de la teoría de eficiencia débil de mercado. A partir de dichas predicciones y con el uso de sistemas de negociación, se evalúa la posibilidad de obtener rendimientos extraordinarios sobre la estrategia Buy & Hold teniendo en cuenta costos de transacción y oportunidad.
宋博通; 王勇
2016-01-01
深圳市二手房销售价格指数的时间序列存在非线性和自仿射性的特征，且呈现出某种趋势和循环周期的特性；因此对其价格指数分形特性的研究，为掌控房价指数的走势提供量化的依据。文章以深圳市2005年1月—2015年2月每月的二手房销售价格指数为研究对象，运用R/S分析方法进行分析，证明二手房价格指数具有分形特征，且具有显著的长期记忆性特征。在此基础上，建立基于序列和变换的分形模型，对深圳市二手房短期的价格指数进行预测，以期为投资者和管理运营者提供参考信息。%The time series of sales price index secong-hand housing in Shenzhen exists nonlinear and the affine sexual characteristics, and presents a trend and characteristics of the cycle. So the study of the price index fractal proprety has provided a quantitative basis for the control of price index movements. In this paper, we choose the second-hand secong-hand housing sales price index from January 2005 to February 2015 in Shenzhen as the research object, the R/S analysis method is used to prove that second-hand secong-hand housing price index has fractal characteristic and has significance long-term memory features. On this bssis, the fractal model is established based on sequence and transform to forecast the short-term price index of Shenzhen housing so as to provide reference information for investors and management operators.
Effects of coal prices on merchandise prices in China
Ding Zhihua; Zhou Meihua; Liu Yan
2011-01-01
Coal is the principal form of energy used in China.Hence,coal price variations are expected to have some influence on merchandise prices.Monthly data from January,2002,to October,2010,were used to construct a varying-parameter state space model,and an error correction model,to estimate the influence of coal prices on Chinese merchandise prices.The time lag and the dynamic relationship were determined from the data.A long term equilibrium relationship between coal price and the PPI,and the CPI,can be observed.The long term influence of coal price fluctuations on the PPI is 0.263％.The corresponding value for the CPI is 0.157％.The PPI shows an influence from coal price change in the first period of observation:by eight periods the influence is obvious,after which it diminishes.The effect of coal price change on the CPI is rather weak and has no long term memory.Analysis of variance shows a similar situation.The elasticity coefficient of coal prices on the CPI,or the PPI,fluctuates over the 2002-2004 period.From 2002 to 2007 the influence elasticity on the CPI declined and subsequently levelled off after 2009.
Forecast of Consumer Price Index Based on VAR%基于VAR的居民消费价格指数预测
张涵; 范晔
2012-01-01
我国经济增长自2010年一季度创造出新一轮经济增长周期高点以后，2011年全年至2012年一季度一直呈现出缓慢下降态势。但居民消费价格指数在大幅上涨后仍高位运行，抑制通货膨胀的压力依然很大。2012年能否实现预期的通货膨胀控制目标？仍需要采取一系列宏观调控措施。为了解决这些问题，本文运用向量自回归（VAR）模型，对当前的经济周期态势和物价波动形态以及影响因素进行探讨和分析，同时采用误差修正和向量自回归等计量模型对居民消费价格指数等经济指标走势进行预测和分析，并在此基础上对下一步的宏观调控提出政策建议。%After reaching the peak of an economic cycle since the first quarter of 2010, the economic growth of China has been gradually slowing down from 2011 to the first quarter of 2012. Nevertheless, the CPI is still running high after a sharply growth, which strengthens the pressure of inflation control. Whether the government can achieve the expected inflation control purpose depends on a series of macro-control measures and their execution affect. In or- der to explore the answer and the solution of these puzzles scientifically, this article proposes to use the vector auto re- gression (VAR) model to analyze the trend of the current economic cycle, the price fluctuation morphology, and the in- fluence factors. It also proposes to predict and analyze economic indicators such as the CPI with the error correction and vector autoregressive model. Basing on these studies and researches, this article tries to make some macro-control policy recommendations to solve the problems.
The fractal feature and price trend in the gold future market at the Shanghai Futures Exchange (SFE)
Wu, Binghui; Duan, Tingting
2017-05-01
The price of gold future is affected by many factors, which include the fluctuation of gold price and the change of trading environment. Fractal analysis can help investors gain better understandings of the price fluctuation and make reasonable investment decisions in the gold future market. After analyzing gold future price from January 2th, 2014 to April 12th, 2016 at the Shanghai Futures Exchange (SFE) in China, the conclusion is drawn that the gold future market has sustainability in each trading day, with all Hurst indexes greater than 0.5. The changing features of Hurst index indicate the sustainability of gold future market is strengthened first and weakened then. As a complicatedly nonlinear system, the gold future market can be well reflected by Elman neural network, which is capable of memorizing previous prices and particularly suited for forecasting time series in comparison with other types of neural networks. After analyzing the price trend in the gold future market, the results show that the relative error between the actual value of gold future and the predictive value of Elman neural network is smaller. This model that has a better performance in data fitting and predication, can help investors analyze and foresee the price tendency in the gold future market.
Tourism Equilibrium Price Trends
Mohammad Mohebi
2012-01-01
Full Text Available Problem statement: A review of the tourism history shows that tourism as an industry was virtually unknown in Malaysia until the late 1960s. Since then, it has developed and grown into a major industry, making an important contribution to the country's economy. By allocating substantial funds to the promotion of tourism and the provision of the necessary infrastructure, the government has played an important role in the impressive progress of the Malaysian tourism industry. One of the important factors which can attract tourists to Malaysia is the tourism price. Has the price of tourism decreased? To answer this question, it is necessary to obtain the equilibrium prices as well as the yearly trend for Malaysia during the sample period as it will be useful for analysis of the infrastructure situation of the tourism industry in this country. The purpose of the study is to identify equilibrium tourism price trends in Malaysian tourism market. Approach: We use hotel room as representative of tourism market. Quarterly data from 1995-2009 are used and a dynamic model of simultaneous equation is employed. Results: Based on the result during the period of 1995 until 2000, the growth rate of the equilibrium price was greater than consumer price index and producer price index. Conclusion: In the Malaysian tourism market, new infrastructure during this period had not been developed to keep pace with tourist arrivals.
76 FR 53533 - Notification of New Pricing Methodology
2011-08-26
... United States Mint Notification of New Pricing Methodology ACTION: Notice. SUMMARY: The United States Mint is implementing a new pricing methodology for its commemorative gold coins to mitigate the effect that fluctuating gold commodity costs has on the pricing of these products. The new pricing methodology...
Armstrong, Mark
2008-01-01
This paper surveys recent economic research on price discrimination, both in monopoly and oligopoly markets. Topics include static and dynamic forms of price discrimination, and both final and input markets are considered. Potential antitrust aspects of price discrimination are highlighted throughout the paper. The paper argues that the informational requirements to make accurate policy are very great, and with most forms of price discrimination a laissez-faire policy may be the best availabl...
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...
张志权; 郭阳
2014-01-01
There are many influential factors involved in the fluctuation of residents′ consumption price. They are divided into eight sorts and analyzed by factor analysis method according to 20 years′ data from 1994 to 2013. It is obtained how security demand factor,communication demand factor and leisure de-mand factor lead to the fluctuation of residents′consumption price and what their size of influence is. At last the paper puts forward corresponding strategy to solve the price fluctuation.%居民消费价格波动的影响因素有很多，文章将其影响因素分为8类，收集1994-2013年20年的数据对其进行因子分析，得出保障性需求因子、沟通需求因子和休闲需求因子对其的阶梯影响程度，并就带来的物价波动提供相应的对策。
Hedonic Price Indices for Ground Vehicles
2015-05-01
portion of price change that is unexplainable by other means. In previous work with aircraft, Harmon et al. (2014) found that cost progress curves...same time, we noticed that year-over-year price growth for most vehicle systems seemed higher than could be accounted for by simple inflation...quality growth terms attribute some of the observed price growth to that, leaving less unexplained price growth to be accounted for by the price index
Forecasting of the Egg Price Based on EEMD
Dan; WANG; Yucheng; HE
2015-01-01
In the transitional period of " new normal",the target price is put forward to deepen the reform system of agricultural product price. Egg is the main agricultural product and its price has fluctuated violently in recent years. Setting up a target price for egg will reduce the price fluctuations. This article brings up a three-step agricultural price forecasting model based on EEMD and applies it to the analysis of egg price. It shows that the upward trend can be divided into three stages,and the fluctuation is greater than that of food consumer price in the foreseeable future. The volatility of egg price is bad for the development of the fresh market and stable life of the residents. This article finally puts forward some recommendations.
Man Fu
2011-12-01
Full Text Available We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts to shareholders. A stochastic discount factor motivated by the consumption-based asset pricing model is utilized. A single macroeconomic factor, namely the output gap determines the non-fundamental component of stock prices. A resulting trivariate Vector Autoregression (TVAR model of stock prices, broad dividends, and the output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s.
无
2010-01-01
Part I–Price Index National Index for China Textile City (located in Keqiao, Shaoxing county in Zhejiang Province, east of China) concludes its price index (periodic code:20101101) at 100.31 points rise of 0.68% as against its previous week.
无
2011-01-01
Part I—Price IndexNational Index for China Textile City （located in Keqiao,Shaoxing county in Zhejiang Province,east of China） concludes its price index （periodic code：20110606） at 110.56 points.
RESTAURANT NO. 3 : PRICE INCREASES
Restaurant Supervisory Committee
2002-01-01
'AVENANCE', the concession holder of Restaurant no. 3 (bldg. 866 - Prévessin site), has submitted to the Restaurant Supervisory Committee a request to increase its prices. After close examination, the Committee has established that the proposed increases are compatible with the relevant price indexing mechanisms and other contractual conditions. The new prices will apply as from Monday, June 3, 2002. Restaurant Supervisory Committee, tel. 77551
透析2004年中国液晶电视价格及原因%The Analysis of Price Fluctuation of China LCD TV and the Reasons in 2004
陈新成
2005-01-01
In domestic LCD television market of 2004, the sales of LCD TV ascended to a great extent when compared with the same period of last year. The ever-decreasing price had attracted the sight of the consumers.And in the paper, the author will analyze the issue from four aspects, and discuss the reason why the falling price of LCD TV in China so as to throw light upon the former price of LCD and illustrate the price trend of LCD in the future for domestic consumers.
Sources of Economic Fluctuations in Central America
Wilfredo Toledo
2014-06-01
Full Text Available Using panel data from Central America, this paper studies the determining factors of inflation and aggregate output fluctuations by estimating two Structural Vector Autoregressive (SVAR models. Price and output variables are included in one of the models, whereas M2 and the price of oil are additional variables in the other one. Findings of this study suggest that price is determined by the demand, while output seems to be influenced mainly by the supply shocks in that area. It was also evidenced that the price of oil does not have a significant impact on the general price level in that region.
Mei-Maun Hseu; Huimin Chung; Erh-Yin Sun
2007-01-01
This paper investigates the intra-day price dynamics of the S&P 500, Nasdaq-100 and DJIA indices for the periods both before and after the Nasdaq market crash which occurred between March 2000 and March 2001. We explore the relative price efficiencies of the three indices in the spot, futures, E-mini futures and ETF markets, and find that a cointegrating relationship existed between the three indices during the period after the crash. This would seem to imply that in the aftermath of the cras...
郑燕琴; 夏洪山; 吴梦诗
2014-01-01
In order to achieve maximum profits and get more consumer surplus ,many airlines are implementing the system multistage ticket price .Appling the method of data envelopment analysis ,using the malmquist index ,researches are made on efficiency evaluation of system of multistage ticket price to the 20 routes of Shandong Airlines .Trough empirical re-search ,there are 12 routes are DEA invalid in these 20 routes .That is to say ,the system of multistage ticket price to these 12 routes still needs to be adjusted .At the same time ,by decomposing the malmquist index ,factors that affect the efficiency of system of multistage ticket price implemented by airlines can be known according to the visual date .There are 9 routes are the result of the structure of multistage ticket price ,and 7routes are due to price reason .%为实现利润最大化，目前很多航空公司都实行多级票价体系，以获得更多的消费者剩余。引入数据包络分析法，利用malmquist指数，针对山东航空公司20条航线进行了多级票价的效率评价研究，通过实证发现，这20条航线中，有12条尚未达到DEA （date envelopment analysis ）有效，即多级票价体系尚需调整。同时，通过分解malmquist指数，可以从数据直观地看出影响航空公司多级票价体系效率的因素，其中9条是由于多级票价结构原因，7条是由于票价价位原因。
王劲松; 韩克勇; 赵琪
2016-01-01
Asset prices fluctuation is an important factor affecting financial stability. Financial stability does not only mean the stability of bank credit and exchange rate fluctuation;it is also a multi-dimensional indicator system that can be used to comprehensively measure the stability of such finance related variables as banks,securities,foreign exchanges,and other macro economic situations. The influence of asset prices fluctuation on financial stability is studied via empirical evidence based on the establishment of financial stability target systems. The research indicates that sale prices and stock prices of China ’s real estate have a significant effect on financial stability. The drastic fluctuations in asset prices of real estate,stock and so on are the important reasons triggering financial instability. Therefore,policy authority should be well aware of the influence of fluctuations in asset prices on financial stability and strengthen the supervision on asset markets of real estate and stock,thereby reducing the possibility of causing financial crisis by fluctuations in asset prices.%资产价格波动是影响金融稳定的重要因素。金融稳定不仅仅指银行信贷或汇率波动的稳定性，而是一个多维度的、能够全面衡量银行、证券、外汇以及宏观经济状况等金融相关变量稳定性的指标体系。本文在构建金融稳定指标体系的基础上，实证研究了我国资产价格波动对金融稳定的影响，结果表明，中国房地产销售价格和股票价格等资产价格显著影响金融稳定，且房地产、股票等资产价格的剧烈波动是引发金融不稳定的重要原因。为此，政策当局要充分意识到这一点，通过加大股票市场监管力度、建立股票市场和房地产市场的预警体系等手段来观测资产价格波动情况；同时，在制定货币政策时应高度关注资产价格，从而在一定程度上降低由资产价格剧烈波动引发金融危机的可能性。
刘巍
2012-01-01
This paper studies the history of fluctuations in commodity prices in China from 1979 to 2008. Then based on exchange equation, it is working on the assumption that money circulation speed will change and employs statistical description and econometric analysis to analyze the effects of money circulation speed and money supply on commodity prices. It concludes that, in terms of the effect of money flow on commodity prices in China, whether from the perspective of sensitivity or importance, the effect of money circulation speed was greater than the effect of money supply during the sample period.%文章考察了1979--2008年中国物价波动的历史，以交易方程式为逻辑基础，放松了货币流通速度不变的假设，以货币流通速度、货币量、GDP环比指数为依据，运用统计描述和数量方法分析了货币流通速度和货币量对物价的影响。文章的研究结论是，在这30年里，就货币流量对中国物价的影响而言，无论是敏感性还是重要性，货币流通速度都大于货币量。
Price setting in turbulent times
Ólafsson, Tjörvi; Pétursdóttir, Ásgerdur; Vignisdóttir, Karen Á.
-dependent pricing increases as domestic labour costs rise relative to total production costs. The results provide important insight into inflation dynamics due to an interaction between high and asymmetric exchange rate pass-through and price indexation. This interaction causes an exchange rate depreciation...... in the domestic market by their direct exposure to exchange rate movements captured by imported input costs as a share of total p duction costs. More exposed firms are found to be more likely to use state-dependent pricing, to adjust their prices in response to exchange rate changes, and to rely on increasing...
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...
Tenopir, Carol
1998-01-01
Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…
House Price, House Quality and Economic Growth
De Vries, P.; Boelhouwer, P.J.
2010-01-01
The literature on housing markets suggest that periods of economic growth are characterised by a demand for better housing quality and increasing prices. The basic principles of the theory are that the short-run price fluctuations occur due to market imperfection, while over the long term, causality
陈仲常; 纪同辉
2012-01-01
针对中国房地产泡沫和房屋销售价格时间序列的特征问题,利用基于R/S分析法的赫斯特指数作为测算的依据。对房屋销售价格指数季度数据和国房景气指数中的销售价格指数月度数据进行了对比实证研究（样本区间为1998年～2010年）。研究结果表明房屋销售价格具有明显的分形结构,并表现出状态持续性,在没有外力作用条件下,房地产泡沫风险会积累性增加。这一发现的政策价值在于明确了房地产具有消费品和投资品双重性质,不能完全依赖市场自发力量进行调节,政府也不应在泡沫风险很大时强制干预,而应采用全程监管方法,实现房地产业稳定发展的目标。%In this paper,we propose hurst index which is based on the R/S analysis to quantify the features about price time series of houses.The sales price index of National Housing boom index monthly data and housing sales price index for the quarterly data are compared with empirical research（Sample interal from 1998 to 2010）.The empirical results show that the price time series of houses has obvious fractal structure;without external force,the real estate bubble will increase because of accumulated risk.The value of this discovery lies in formulate policy.Real estate,as the dual nature of the consumer goods and investment goods,can not rely on market forces to regulate the spontaneous.When the risk of real estate bubble high,the authorities should not mandatory intervene real estate market,but in order to achieve stability development goals,the full supervision should be adopted.
Price pass-through and minimum wages
Daniel Aaronson
1997-01-01
A textbook consequence of competitive markets is that an industry-wide increase in the price of inputs will be passed on to consumers through an increase in prices. This fundamental implication has been explored by researchers interested in who bears the burden of taxation and exchange rate fluctuations. However, little attention has focused on the price implications of minimum wage hikes. From a policy perspective, this is an oversight. Welfare analysis of minimum wage laws should not ignore...
On Stabilizing or Deregulating Food Prices
Flåm, Sjur Didrik; Gaasland, Ivar; Vårdal, Erling
2006-01-01
This paper studies measurement of welfare e¤ects, transient and permanent, of stabilizing or deregulating prices in Cobweb-like settings. As in Cobweb-models, producers must commit inputs in face of uncertainty. Here, however, we consider producers who are concerned with adaptations of inputs rather than price predictions. This shift of emphasis reflects two things. First, since persistent randomness causes on-going price fluctuations, point predictions are of modest concern. Second, producer...
Nominal and real price convergence in Romania – Statistical evaluation -
Mihai Gheorghe
2015-09-01
Full Text Available The creation of both the Economic and Monetary Union and of the single common market have meant two very important steps in getting a more and more compact Union. The first step regarding EMU lead to the adoption of a single currency and to the elimination of the exchange rates fluctuations, while the second one lead to the elimination of physical, administrative and technical barriers in order to achieve a sustainable economic growth and a stimulation of competition. Romanian authorities set out a new target year for the Euro adoption. Technically, the euro adoption as of 1 January 2019 would imply participation in the ERM II starting 1 January 2016 for the minimum 2-year stay. During this period the EU authorities will assess whether Romania meet the determined criteria for entering the third stage of EMU. The purpose of the paper is to assess the nominal and real convergence of Romanian prices, before and after the admission to the European Union (EU. The paper provides a short presentation of technical consideration of the both indices used to measure the price convergence, namely Harmonized Indices of Consumer Prices (HICP and the price level estimated in the PEC framework. A retrospective analysis since the EU admission show that in Romania, the inflation measured by the harmonized index of consumer prices has been on a downward trend, but is still relatively high, at an average rate of 3,2% in 2013. In Romania the price level is significantly lower as compared to the EU 15 average (46%, most probably this is due to the low per capita income level. In addition, the poor marketing and the low reputation of the domestic goods and services can also be regarded as factors reducing the convergence of prices in Romania and the EU.
2006-01-01
Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced, as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.
2005-01-01
Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.
孙娜; 杜亚灵; 李淑湘
2015-01-01
Dispute about adjustment in contract sum caused by price fluctuation during the project delay is gradually increasing. Firstly, the division of responsibility on delay is determined under single event delay and common delay. Secondly, it is proposed that the divide of responsibility on price fluctuation during delay is determined based on the principle of "default not to benefit", and it is pointed out that determine of price indices under delay is different from normal construction progress when applying the formula of adjustment in contract sum. Thirdly, analysis of the determination of price indices under single event delay and common delay respectively based on above principle.%工期延误期间因物价波动引起的价款调整容易引起纠纷。首先，对单事件延误和共同延误这两种情况进行责任划分；其次，提出基于违约者不受益原则对工期延误期间物价波动进行责任划，并指出调价公式中价格指数在工期延误情况下的确定方法与施工进度正常情况下的确定方法有所不同；最后，基于上述原则分别在单事件延误和共同延误两种情况下对价格指数的确定进行详细分析。
曾廷敏; 林祥友; 王勇
2013-01-01
The dynamic relationships between price and volume of CSI 300 stock index futures are empirically examined based on 5 minutes high frequency transaction price and volume data of CSI 300 stock index futures contracts , and the results show that there is obviously positive direction relationship between price volatility and trading volume and between relative trading volume and relative position volume , but there is significantly negative direction relation with position volume , that there is obviously positive relationship between the volatility and expected trading volume or unexpected trading volume , furthermore , the positive influence of unexpected trading volume is bigger , that there is significantly negative relationship between the volatility and expected position volume or unexpected position volume , furthermore , the negative influence of unexpected position volume is bigger , that the influence of the change of trading volume and position volume on the volatility of stock index futures price is asymmetric , and that the influence of the shock of positive trading volume and position volume is bigger than that of negative trading volume and position volume , i.e.the influence on price volatility is bigger when unexpected trading volume and unexpected position volume are positive .The supervisors and investors in stock index futures market can analyze the changing trends of the implicit indicators such as price volatility and market risk and so on by monitoring explicit indicators such as trading volume , position volume , relatively trading volume , relative position volume and so on as well as their changes in order to implement proper supervising policies and trading policies .%利用沪深300股指期货合约的5分钟高频交易价量数据，分析股指期货合约的价量特征及其动态关系，结果表明：股指期货合约的价格波动率与成交量、相对成交量和相对持仓量之间均存在显著正向关系，而与持仓
张欢; 成金华
2011-01-01
Consuming a large quantity of oil, gas and electricity is a characteristic of modem urban life. The rise of energy price would inevitably lead to the rise of living cost, and then affect consumption structure and habits, which has a far-reaching influence on social commodities demand and social economy development. In China, energy commodity prices are mainly regulated by the nation; therefore, the strategy of energy price regulation should be mutually adapted to the resident consumption level. In this context, to investigate the dynamic relationship between energy prices and consumption levels is able to provide reference for formulating policy among national energy prices and resident consumption levels. The authors examined the dynamic fluctuation effects of China's energy price fluctuation and resident consumption levels from 1989 to 2009 using the impulse response function of VAR and SVAR models as well as variance decomposition technique. Results indicate that (1) the resident consumption level has positive shocks on the energy price level in the short term, but it has negative shocks on energy price in the long term. In the short term, improvement in resident consumption levels has a promotion effect on energy price rise, while the energy price level has an obvious positive shock on resident consumption levels both in the short term and in the long tenn. Energy price increase promotes the improvement of consumption levels. (2) The energy price level is mainly affected by its own level in the early stage.In the middle and long terms, the resident consumption level also makes a greater contribution to the energy price level. In the short term, the resident consumption level is mainly affected by the resident consumption level at the early stage, whereas it is jointly affected by the resident consumption level and energy price level in the long term. In terms of these findings, a rapid increase in energy price should be avoided as it would lead to dramatic
The minimum wage and restaurant prices
Daniel Aaronson; Eric French; MacDonald, James M.
2004-01-01
Using both store-level and aggregated price data from the food away from home component of the Consumer Price Index survey, we show that restaurant prices rise in response to an increase in the minimum wage. These results hold up when using several different sources of variation in the data. We interpret these findings within a model of employment determination. The model implies that minimum wage hikes cause employment to fall and prices to rise if labor markets are competitive but potential...
Bubbles and crashes in house prices under heterogeneous expectations
W. Bolt; M. Demertzis; C. Diks; C. Hommes; M. van der Leij
2013-01-01
We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to buying prices via imputed rents. The resulting model displays nonlinear aggregate price fluctuations around the fundamental value. For many parameter values the fundamental price is unstable,
谭政勋
2012-01-01
非金融部门利润率的下降是导致信用扩张的内生性原因,信用游离于实体经济之外、单纯在金融系统内循环是房价上涨和波动的主要推动力。信贷扩张和房价波动相互影响,但信贷扩张对房价的影响远远大于房价上涨对信贷扩张的影响;信贷扩张对房价的放大机制即加速器效应在国际房地产市场普遍存在,加速器效应是房价顺周期性变化的潜在原因,但房价上涨引起信贷进一步扩张的加速器效应不存在。以美日为代表的发达国家的实体经济利润率下降、信用扩张、房价泡沫的累积、直至危机爆发的历史经验值得深思。%The decline of profit margin of non - financial sectors is the internal reason of credit expansion. Divorced from the real economy credit purely circulates inside the financial system as the driving force for the increase and fluctuation of housing prices. Credit expansion and housing price fluctuation are interacted, but the former is more influential to the latter than the other way around. The amplification mechanism of housing price by credit expansion, namely the acceleration effect, is universal in the international property market. This effect is the potential cause for the periodic change of housing price. However, the deceleration effect of credit expansion by rising housing price is not yet existent. Such historic experience is worth our reflection as the decrease of profit margin, the credit expansion, the aecumulation of housing price bubble and even the breakout of economic crisis in de- veloped countries represented by America and Japan.
Keynes, population, and equity prices.
Tarascio, V J
1985-01-01
Keynes in 1937 examined the phenomenon of the Great Depression from a longrun perspective in contradiction to the "General Theory," where the focus was on the shortrun. "Some Economic Consequences of a Declining Population," Keynes' article, reveals the context in which the "General Theory" was written. In the "General Theory," the focus is on short-term fluctuations, i.e., business cycles, but Keynes fails to provide any theoretical explanation as to why the depression of the 1930s was so severe and intractable. In the 1937 article, the depression is seen as the result of the combined effects of a decline in longrun growth due to population growth decline and a shortrun cyclical decline, together producing severe economic consequences. What is important for the purposes of this discussion is the implication, within the context of the 1937 article, that not only was the stock market crash of 1929 related to population change (with its accompanying collapse in expectations) but that, in general, changes in the rate of growth of population are accompanied by stock price movements in the same direction. The remainder of the discussion is devoted to a simple empirical test of this relationship. The data used are population size (POP), defined as the total residential population in the US from 1870-1979, and the Standard and Poor 500 Stock index (SP) for the corresponding 109-year period. In addition, a 3rd series was constructed, a price deflated Standard and Poor index (RSP) with a base period of 1870, to account for possible inflationary distortion of the index. The empirical results do not invalidate the hypothesis that population growth rates affect equity markets. In fact, there seems to be strong evidence that they are related in a manner suggestive of Keynes' intutition, namely, that the stock market crash of 1929 was due to factors more fundamental than those often perceived from a shortrun perspective. According to Keynes (1937), population is the most
The Effect of Monetary Policy on Commodity Prices: Disentangling the Evidence for Individual Prices
Carolina Arteaga Cabrales
2014-01-01
Full Text Available We study the effect of monetary policy shocks on commodity prices. While most of the literature has found that expansionary shocks have a positive effect on aggregate price indices, we study the effect on individual prices of a sample of four commodities. This set of commodity prices is essential to understand the dynamics of the balance of payments in Colombia. The analysis is based on structural VAR models; we identify monetary policy shocks following Kim (1999, 2003 upon quarterly data for commodity prices and their fundamentals for the period from 1980q1 to 2010q3. Our results show that commodity prices overshoot their long run equilibrium in response to a contractionary shock in the US monetary policy and, in contrast with literature, the response of the individual prices considered is stronger than what has been found in aggregate indices. Additionally, it is found that the monetary policy explains a substantial share of the fluctuations in prices.
Rhebergen, Koenraad S.; Versfeld, Niek J.
2005-04-01
The SII model in its present form (ANSI S3.5-1997, American National Standards Institute, New York) can accurately describe intelligibility for speech in stationary noise but fails to do so for nonstationary noise maskers. Here, an extension to the SII model is proposed with the aim to predict the speech intelligibility in both stationary and fluctuating noise. The basic principle of the present approach is that both speech and noise signal are partitioned into small time frames. Within each time frame the conventional SII is determined, yielding the speech information available to the listener at that time frame. Next, the SII values of these time frames are averaged, resulting in the SII for that particular condition. Using speech reception threshold (SRT) data from the literature, the extension to the present SII model can give a good account for SRTs in stationary noise, fluctuating speech noise, interrupted noise, and multiple-talker noise. The predictions for sinusoidally intensity modulated (SIM) noise and real speech or speech-like maskers are better than with the original SII model, but are still not accurate. For the latter type of maskers, informational masking may play a role. .
Quantifying economic fluctuations
Stanley, H. Eugene; Nunes Amaral, Luis A.; Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki
2001-12-01
This manuscript is a brief summary of a talk designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena-scale invariance and universality-can be useful in guiding research on interpreting empirical data on economic fluctuations. Using this conceptual framework as a guide, we empirically quantify the relation between trading activity-measured by the number of transactions N-and the price change G( t) for a given stock, over a time interval [ t, t+Δ t]. We relate the time-dependent standard deviation of price changes-volatility-to two microscopic quantities: the number of transactions N( t) in Δ t and the variance W2( t) of the price changes for all transactions in Δ t. We find that the long-ranged volatility correlations are largely due to those of N. We then argue that the tail-exponent of the distribution of N is insufficient to account for the tail-exponent of P{ G> x}. Since N and W display only weak inter-dependency, our results show that the fat tails of the distribution P{ G> x} arises from W. Finally, we review recent work on quantifying collective behavior among stocks by applying the conceptual framework of random matrix theory (RMT). RMT makes predictions for “universal” properties that do not depend on the interactions between the elements comprising the system, and deviations from RMT provide clues regarding system-specific properties. We compare the statistics of the cross-correlation matrix C-whose elements Cij are the correlation coefficients of price fluctuations of stock i and j-against a random matrix having the same symmetry properties. It is found that RMT methods can distinguish random and non-random parts of C. The non-random part of C which deviates from RMT results, provides information regarding genuine collective behavior among stocks. We also discuss results that are reminiscent of phase transitions in spin systems, where the divergent behavior of the response function at
Forecast the Commercial Housing Price Index Based on Search Keywords Attention%基于搜索关键词关注度的商品房价格指数预测
白丽娟; 闫相斌; 金家华
2015-01-01
房地产作为国民经济的支柱产业，其价格预测受到学者的广泛关注。现有的预测研究，其数据存在严重的滞后性，影响预测的有效性。互联网搜索引擎关键词在表征用户信息需求、行为趋势等方面的能力日益显著，为分析用户消费信息需求、消费行为趋势等提供了较高质量的实时数据。本文在对搜索行为和商品房价格决定机制的理论分析基础上，论证了将关键词关注度指数加入回归预测模型的合理性，并使用Google Trend关键词数据进行了实证研究，结果显示这一改进可以提高对商品房价格指数的预测能力，降低预测误差。%Real estate is a pillar industry of the national economy, of which the price forecast is widely concerned by scholars. The previous studies of housing price prediction have serious lag in data sources, thus the validity of the fore-cast is restricted. The popularity of the Internet enables the increasingly significant capacity of search engine keywords in the characterization of users’ real information needs and behavior trends. This provides real-time data for scholars to analyze consumers’ information demand and behavior. In this paper we carry out a systematic theoretical analysis on search behavior and housing price determination mechanism. On this basis, we demonstrate the rationality of adding keywords attention index into the housing price prediction model and conduct an empirical research using Google Trend Keywords data. The results illustrate that the new model can improve the predictive power and accuracy of housing price prediction and reduce the prediction error.
Fair pricing, and pricing paradoxes
Barbara Swart
2016-05-01
Full Text Available The St Petersburg Paradox revolves round the determination of a fair price for playing the St Petersburg Game. According to the original formulation, the price for the game is infinite, and, therefore, paradoxical. Although the St Petersburg Paradox can be seen as concerning merely a game, Paul Samuelson (1977 calls it a “fascinating chapter in the history of ideas”, a chapter that gave rise to a considerable number of papers over more than 200 years involving fields such as probability theory and economics. In a paper in this journal, Vivian (2013 undertook a numerical investigation of the St Petersburg Game. In this paper, the central issue of the paradox is identified as that of fair (risk-neutral pricing, which is fundamental in economics and finance and involves important concepts such as no arbitrage, discounting, and risk-neutral measures. The model for the St Petersburg Game as set out in this paper is new and analytical and resolves the so-called pricing paradox by applying a discounting procedure. In this framework, it is shown that there is in fact no infinite price paradox, and simple formulas for obtaining a finite price for the game are also provided.
INTERACTION OF MACROECONOMIC VARIABLES WITH STOCK PRICES
ALİ ÖZER
2013-06-01
Full Text Available The aim of this study is to determine whether there is a relationship between ISE 100 Index and some macroeconomic variables by using monthly data of January 1996 – December 2009. ISE 100 Index was used as dependent variable and interest rates, money supply, foreign trade equilibrium, industrial production index, gold prices, exchange rates, consumer price index were used as independent variables. Least squares estimation method, Johansen-Jeselius cointegration test, Granger causality test and variance decomposition results produced by VEC model were used in the study. These analysis show that there is a long run relationship between some macroeconomic variables and stock prices.
基于物价指数上涨的最优在线租赁决策模型%Optimal online rental decision model with increasing price index
徐维军; 胡茂林
2013-01-01
In actual rental market, based on the inflation characteristics that the rental cost each period and purchase price of an equipment generally continue to rise as time goes, we propose online rental decision model with increasing price index. By using online algorithm, we first investigate optimal offline strategies, and then present deterministic optimal online strategy and its competitive ratio. From the view of improving competitive performance of online strategy, basing on the idea of risk control, we propose randomized online strategy and its competitive ratio, and strictly prove that this strategy' is an only randomized optimal online strategy for this problem by using analysis technique of two person zero-sum game. Moreover, we further point out that the competitive performance of deterministic and randomized optimal strategies are declined as the purchasing price of the equipment and the price index increase, respectively. Finally, numerical analysis illustrates that when there is inflation, the optimal decision date is relatively advanced, but the competitive performance of online strategy decreases significantly. Thus, it shows that the changes of price index have a significant effect on online rental decision.%考虑到现实租赁市场设备租金费用及购买价格随着时间推移总体呈现出持续性上涨特征,建立了基于物价指数上涨的在线租赁决策模型,首先分析了该问题的最优离线策略,其次运用在线算法理论给出了该问题的确定性最优在线租赁策略及其竞争比.从提高策略的竞争性能角度出发,基于风险控制思想,给出了该问题的随机性最优在线租赁策略及其竞争比,并运用两人零和博弈分析技巧严格证明了此策略是该问题的唯一随机性最优竞争策略.进一步指出了确定性和随机性最优策略的竞争性能均随着购买价格上涨而下降,也随着物价指数上涨而降低.最后,结合数值分析发现当存在通货
严敏; 巴曙松; 吴博
2009-01-01
This paper investigates the price discovery function,the linkages and interactions between the futures and spot markets of Hu-Shen 300 stock indexes with a VEC model,common factor models and a modified bivariate EGARCH model with an error correction.The evidence suggests that there is a long-run cointegration,a short-term bidirectional Granger relationship between the futures and spot markets,although most of the price discovery takes place at the spot markets for the moment and significant asymmetric volatility-spillovers are not found.%借助向量误差修正模型、公共因子模型和带有误差修正的双变量EGARCH模型,对沪深300股指期货市场和现货市场之间的价格发现功能以及互动关系进行了研究和分析,研究结论表明:目前指数现货市场在价格发现中起到主导作用,且两个市场之间不存在显著的非对称双向波动溢出效应,但是指数期货价格和现货价格之间存在长期的均衡关系、短期的双向Granger因果关系.
屈晶
2013-01-01
Based on depositors' questionnaire survey, this paper made the investigation on differences between residents price satisfaction index and the consumer price index (CPI) of Zhumadian City, and explored their reasons, according to factors of affecting resident prices satisfaction index, finally, obtained the enlightenment brought by this difference.% 本文基于储户问卷调查的的基础上，调查了驻马店市居民物价满意指数与居民消费价格指数(CPI)差异情况，并根据影响居民物价满意指数的因素，探讨了城镇居民物价满意指数与居民消费价格指数(CPI)存在差异的主要原因，最后得出这种差异给我们的启示。
Price volatility and banking in green certificate markets
Amundsen, Eirik Schrøder; Baldursson, Fridrik M.; Mortensen, Jørgen Birk
2006-01-01
There is concern that prices in a market for Green Certificates (GCs) primarily based on volatile wind power will fluctuate excessively, leading to corresponding volatility of electricity prices. Applying a ratinal expectations simulation model of competitive storage and specualtion of GCs...... the paper shows that the introduction of banking of GCs may reduce price volatility considerably and lead to increased social surplus. Banking lowers average prices and is therefore not necessarily to the benefit of 'green producers'. Prooposed price bounds on GC-prices will reduce the importance of banking...
在分数布朗运动下权益指数年金的定价%On Pricing of Equity-Indexed Annuities in Fractional Brownian Motion
郭峰涛
2012-01-01
假设标的资产价格服从几何分数布朗运动,在标的资产有红利支付且红利率和无风险利率为非随机函数的情况下,给出了不同方法下权益指数年金的定价公式.%In this paper, the underlying asset is supposed to be subject to Geometric Fractional Brownian Motion with payment of dividends. The risk-free interest rate and dividend yield are non-random functions. The pricing formulas of Equity-Indexed Annuities under different methods are given. In addition, a-nalysis of sensitivity has also been made.
侯外林
2011-01-01
Aiming at such characteristics as the heteroscedasticity, sharp peak and thick tail, serial autocorrelation and so on during some time series of stock index returns, this paper combines the ARMA model with GARCH model to set up a regression model, so as to estimate the VaR value of the annual return rate of the related stock index, which can effectively predict the stock volatility and the accompanying probability under the similar market conditions. Therefore, during the stress testing practices of the securities companies, reasonably designed stress testing scenarios of downward stock index based on accompanied probability can further improve the scientificalness of the design of stress testing scenarios and enhance the practical guidance of the stress testing results. At the same time, the idea of this paper can be applied to the empirical analysis of financial time series with abundant historical data of interest rates, exchange rates, market trading volume etc., so as to guide the design of stress test scenarios, such as bond market fluctuations, foreign exchange fluctuations and fluctuations in market trading volumes.%针对股指收益率时间序列某期间的异方差、尖峰厚尾以及序列自相关等特性，将ARMA模型与GARCH模型相结合，回归建模测算相关股指年度收益率VaR值，可以有效预测类似市场条件下股指的波动以及相伴概率。因此，在证券公司压力测试实践中，基于相伴概率合理设计股指下跌的压力测试情景，可以进一步提高压力测试情景设计的科学性，增强压力测试结果的现实指导意义。同时，可以将本文研究思路推广应用于利率、汇率、市场交易量等历史数据较充分的金融时间序列的实证分析，借以指导债市波动、汇市波动以及市场交易量波动等压力测试情景的设计工作。
BUDGETARY POLICY - A TOOL FOR MITIGATING CYCLIC FLUCTUATIONS. STUDY CASE FOR ROMANIA, 1996-2011
PITORAC RUXANDRA IOANA
2013-08-01
Full Text Available As part of a broader work, the object of this article is the study of budgetary policy, as a tool formitigating cyclic fluctuations in the economy. The following analysis indicators were used: public spending foreconomic actions, the real Gross Domestic Product and the structural budget deficit, on the basis of which thetype of budgetary policy adopted in Romania between 1996 and 2011 was established. The economic spendingand the GDP are expressed in millions of RON, comparable prices, the switch to current prices was achievedwith the aid of the Consumer Price Index, with 2012 as the baseline year, and the structural budget deficit isexpressed as a percentage of the GDP and were taken from the database of the National Statistics Institute andof the European Commission. The research carries out a review of the literature regarding budgetary policy, theway in which this contributes to the mitigation of cyclic fluctuations and identifies the budget measures taken inRomania between 1996 and 2011, with an emphasis on analysing public spending for economic actions. Then,through a quantitative analysis and an econometric model, it underlines the influence of public spending foreconomic actions on the Romania's real GDP and identifies the budgetary policy implemented by Romania. Theresults of the research emphasize Romania's economic condition, as well as the measures taken by thegovernment authorities in view of mitigating the cyclic fluctuations in the economy.
王娜
2013-01-01
The monthly economic time series can be affected by seasonal factors, and the real trend of the time series may be confused. So it is important to identify, separate and adjust the seasonal factors of time series while using monthly residential consumer pricing index to do research. The paper applies X-12-ARIMA and TRAMO/SEATS methods to analyze the seasonal factors of residential consumer pricing index. Moreover, the paper attempts to solve the Chinese Spring Festival affects and forecasts the future trend using TRAMO/SEATS.%月度经济时间序列往往会受到季节因素影响，使得经济发展中的客观变化规律被遮盖或混淆。因此，使用居民消费价格指数月度数据进行物价波动趋势分析时，首先应该采用科学的方法对月度时间序列中的季节因素进行识别、分离和调整。本文使用X-12-ARIMA和TRAMO/SEATS两种基于ARIMA模型的季节调整方法，对我国2001-2012年的定基比价格指数进行了季节调整，并对今后短期内CPI的走势进行了预测。
PRICE ON THE ORGANIC FOOD MARKET
GEORGE ATANASOAIE
2012-12-01
Full Text Available The main objective of this paper is to present prices on PAE market (PAE- organic foods market. Prices are analyzed in terms of importance and the main factors that contribute to their establishment (quality of products, distribution channels, certification and eco-labeling system, customer segments and market development stage. This paper is based on the investigation of secondary sources, of specialized literature related to PAE consumers. The paper shows that are used three strategic options of prices: prices with high rigidity located in a low or high level and fluctuating prices, characterized by variations on short periods of time. Price is a very important barrier to market development but this importance can be mitigated through appropriate communication policies with the market, which are essential especially for markets in early stages of development.
THE PRICE ON THE ORGANIC PRODUCT MARKET
ATĂNĂSOAIE GEORGE SEBASTIAN
2013-08-01
Full Text Available The main objective of this paper is to present prices on PAE market (PAE- organic foods market. Prices areanalyzed in terms of importance and the main factors that contribute to their establishment (quality of products,distribution channels, certification and eco-labeling system, customer segments and market development stage.The paper shows that are used three strategic options of prices: prices with high rigidity located in a low or highlevel and fluctuating prices, characterized by variations on short periods of time. Price is a very importantbarrier to market development but this importance can be mitigated through appropriate communicationpolicies with the market, which are essential especially for markets in early stages of development
Identifying of risks in pricing using a regression model of demand on price dependence
O.I. Yashkina
2016-09-01
Full Text Available The aim of the article. The main purpose of the article is to describe scientific and methodological approaches of determining the price elasticity of demand as a regression model based on the price and risk assessment of price variations on the received model. The results of the analysis. The study is based on the assumption that the index of price elasticity of demand on high-tech innovation is not constant as it is commonly understood in the classical sense. On the stage of commodity market release and subsequent sales growth, the index of price elasticity of demand may vary within certain limits. Index value and thereafter market response are closely related to the current price. Achieving the stated purpose of the article is possible when having factual information about prices and corresponding volumes of sales of new high-tech products for a short period of time, on the basis of which types of demand and prices interrelation are modeled. Risk assessment of pricing and profit optimization by the regression of demand depending on price consists of three stages: a obtaining of a regression model of the demand on the price; b obtaining of function of demand price elasticity and risk assessment of pricing depending on behavior of the function; c determination of the price of company to receive a maximum operating profit based on the specific model of price to demand function. To receive the regression model of dependence of demand on price it is recommended to use specific reference models. The article includes linear, hyperbolic and parabolic models. The regression dependence of price elasticity of demand on price for each of the reference models of demand is obtained on the basis of the function elasticity concept in mathematical analysis. The concept of «function of price elasticity of demand» expresses this dependence. For the received functions of price elasticity of demand, the article provides intervals with the highest and lowest
Fakhri Husein
2017-03-01
Full Text Available Shariah Compliant Asset Pricing Model (SCAPM is a modification of the model Capital Asset Pricing Model (CAPM. This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jakarta Islamic Index. Sampling technique used was purposive sampling and obtained 26 shares. The analysis tool used is MatLab R2010a. The results of this study are not prove theMarkowitz portfolio theory. This is explained by the amount of Beta market (β_m a value beta below 1 indicates that the fluctuation of stocks returns do not follow the movement of market fluctuations. Investors are likely to want a high profit, the investors are advised to choose a second portfolio groups, with rate of 0.176722% and investors are likely to enjoy a substantial risk in the investment portfolio are advised to choose the first group with a great risk of 0.8501%.
刘美霞
2012-01-01
权益指数年金是一种介于固定年金和变额年金之间的混合年金,它有最小保证利率,能够实现保险的保障和投资增值的双重功能。基于短期利率的两因子Vasicek模型和死亡力带跳的Feller过程模型,采用简单点对点的方法,给出了权益指数年金价格的解析表示。%The equity index annuity is a hybrid between a fixed and variable annuity that earns a minimum rate of interest,and can achieve the dual function of value-added and protection of insurance.It is based on the two-factor Vasicek model of short interest rates and Feller process with jumps of mortality,using a way of simple point-to-point,given the analytical expression of equity index annuity prices.
The Multi-asset Pricing Model with Stock and Stock Index Futures%含股指期货的多资产价格动力学模型
王婧
2015-01-01
本文在做市商机制下异质交易者(基本面分析者与技术分析者)投资于多个风险资产与一个无风险资产的金融市场动态模型基础上，讨论引入以一支风险资产为标的的股指期货，建立股票与股指期货的两类资产价格模型。考虑6维动力系统模型并分析其稳定区域与分支情况，讨论主要参数对稳定区域的影响。%In this paper,under the market maker mechanism,the heterogeneous traders invest in multiple risky assets and a risk-free as-set in the financial market dynamic model. We discuss the introducion of a risky assets as the subject matter of the stock index futures, and develop two types of asset pricing model on stock and stock index futures. We consider the six-dimensional discrete time dynamical system and analyse its stability region,bifurcation,and discuss how the key parameters affect the stability region.
Dynamics relationship between stock prices and economic variables in Malaysia
Chun, Ooi Po; Arsad, Zainudin; Huen, Tan Bee
2014-07-01
Knowledge on linkages between stock prices and macroeconomic variables are essential in the formulation of effective monetary policy. This study investigates the relationship between stock prices in Malaysia (KLCI) with four selected macroeconomic variables, namely industrial production index (IPI), quasi money supply (MS2), real exchange rate (REXR) and 3-month Treasury bill (TRB). The variables used in this study are monthly data from 1996 to 2012. Vector error correction (VEC) model and Kalman filter (KF) technique are utilized to assess the impact of macroeconomic variables on the stock prices. The results from the cointegration test revealed that the stock prices and macroeconomic variables are cointegrated. Different from the constant estimate from the static VEC model, the KF estimates noticeably exhibit time-varying attributes over the entire sample period. The varying estimates of the impact coefficients should be better reflect the changing economic environment. Surprisingly, IPI is negatively related to the KLCI with the estimates of the impact slowly increase and become positive in recent years. TRB is found to be generally negatively related to the KLCI with the impact fluctuating along the constant estimate of the VEC model. The KF estimates for REXR and MS2 show a mixture of positive and negative impact on the KLCI. The coefficients of error correction term (ECT) are negative in majority of the sample period, signifying the stock prices responded to stabilize any short term deviation in the economic system. The findings from the KF model indicate that any implication that is based on the usual static model may lead to authorities implementing less appropriate policies.
Indexing Executive Compensation Contracts
I. Dittmann (Ingolf); E.G. Maug (Ernst); O.G. Spalt (Oliver)
2013-01-01
textabstractWe analyze the efficiency of indexing executive pay by calibrating the standard model of executive compensation to a large sample of US CEOs. The benefits from linking the strike price of stock options to an index are small and fully indexing all options would increase compensation costs
韩科峰
2013-01-01
物价上涨、尤其是与人民生活息息相关的蔬菜、肉类产品价格的上涨，给宏观经济及人民生活带来了极大挑战。从枣庄市有代表性的农贸市场和大型超市选取的相关样本中获得的数据来看，大部分蔬菜肉类产品的价格都在上涨。其原因在于：商品供不应求、节日因素、供应商和经销商的经营成本对价格的影响。我国有效解决相关商品价格涨幅差异大、市场监管不足、就业压力等问题，必须重视农业生产，走农业集约化道路，保证市场供应，稳定商品价格，加大监管力度，促进就业增加，从而保证宏观经济的平稳运行。%Rising prices, especially those of vegetables and meat products that directly affect people's livelihood has posed a great chal-lenge to the people's livelihood and the macro economy. Selected data from samples of typical farm produce markets and large supermar-kets in Zaozhuang shows prices of most vegetable and meat product are going up, causing by short supply of commodities, holiday factors, and the operation cost of suppliers and resellers. To cope with the issues including the huge price rise of certain commodities, poor market supervision and employment pressure, China must focus on agricultural production, developing intensive agriculture, to secure market supply;stabilize commodity prices;reinforce supervision;and promote employment, so as to safeguard the steady running of the macro e-conomy.
Import Price-Elastcities: Reconsidering the Evidence
Helene Erkel-Rousse; Daniel Mirza
2000-01-01
Recent geography and trade empirical studies based on monopolistic competition [Hummels, 1998; Hanson, 1999; Head and Ries, 1999] suggest high levels of trade price-elasticities (between 3 and 11). However, direct estimations of price-elasticities in trade equations, using price indexes at the aggregate or industry levels, lead to much lower values than those predicted by the prior studies and the theory (usually around unity). In this article, we show that these inconclusive results may be d...
Import Price-Elastcities: Reconsidering the Evidence
Helene Erkel-Rousse; Daniel Mirza
2000-01-01
Recent geography and trade empirical studies based on monopolistic competition [Hummels, 1998; Hanson, 1999; Head and Ries, 1999] suggest high levels of trade price-elasticities (between 3 and 11). However, direct estimations of price-elasticities in trade equations, using price indexes at the aggregate or industry levels, lead to much lower values than those predicted by the prior studies and the theory (usually around unity). In this article, we show that these inconclusive results may be d...
The Hierarchical Trend Model for property valuation and local price indices
M.K. Francke; G.A. Vos
2002-01-01
This paper presents a hierarchical trend model (HTM) for selling prices of houses, addressing three main problems: the spatial and temporal dependence of selling prices and the dependency of price index changes on housing quality. In this model the general price trend, cluster-level price trends, an
Pricing hazardous substance emissions
Staring, Knut; Vennemo, Haakon
1997-12-31
This report discusses pricing of emissions to air of several harmful substances. It combines ranking indices for environmentally harmful substances with economic valuation data to yield price estimates. The ranking methods are discussed and a relative index established. Given the relative ranking of the substances, they all become valued by assigning a value to one of them, the `anchor` substance, for which lead is selected. Valuations are provided for 19 hazardous substances that are often subject to environmental regulations. They include dioxins, TBT, etc. The study concludes with a discussion of other categories of substances as well as uncertainties and possible refinements. When the valuations are related to CO, NOx, SOx and PM 10, the index system undervalues these pollutants as compared to other studies. The scope is limited to the outdoor environment and does not include global warming and eutrophication. The indices are based on toxicity and so do not apply to CO{sub 2} or other substances that are biologically harmless. The index values are not necessarily valid for all countries and should be considered as preliminary. 18 refs., 6 tabs.
Hüsnü YÜCEKAYA
2013-09-01
Full Text Available The phases of industrialization in Ottoman manufacturing andproblems related to them are of the aspects which haven't become clearyet. Among the factors which cause trouble for manufacturers,historians of Ottoman economics have most emphasized the extreme increase in the prices of raw materials . Undoubtedly, in order tounderstand the case, it is necessary to discuss the matter in detail.Which factor had what share on the rise in prices?Was the financialinstability as a result of the changes on the value of the kuruş the mosteffective factor on this case?Or did the inflation as a result of selling rawmaterials to foreign merchants cause the dramatic rise in prices?If oneof these aspects or another aspect which isn't mentioned here waseffective,when did the reflections of this case in Ottoman lands becomeapparent?Lots of questions and problems like these have been facingOttoman economic historians. In this research, certain facts taken fromthe court register become meaningful by making simple index. It isknown that in index studies related with prices in Ottoman Empirewhich were conducted in the past, data related with the food sector wasgenerally used.When the fact that both the şer’iyye registers and thedata related with the weaving sector were not used sufficiently in indexstudies is taken into consideration it will be understood that this indexshall include some interesting results.According to the image reflectedfrom index,prices started to increase after 1750s.However,the sharpestincreases were observed after 1840s.Moreover this increase occured atan increasing speed andrate. Yet,it is known that regulations on thevalue of coin ended after 1844. .Unceasing increase in prices despitethe lack of any changes on the value of the kuruş is a subject on whichdeep analyses should be made. Osmanlı İmalatçılığının endüstrileşme safhaları ve yaşamış olduğu sıkıntılar, bugün hala net olarak berraklaşmayan hususlardand
Nonparametric Autoregression Model on Consumer Price Index%居民消费价格指数的非参数自回归模型
代洪伟; 凌能祥
2012-01-01
The nonparametric autoregression model was established using the data of Chinese consumer pr/ce index in 2004 -2008. The OLS estimation, the orthogonal sequence estimation and spline est/mation were used to estimate the regressive function respectively. The result showed that the nonparametric model is superior to linear models and in the three estimation methods, the orthogonal sequence estimation is the best. Finally, the simulated and predicted results were eomoared with those oresented by LIU Chun - van based on ARIMA model.%利用我国2004年-2008年的居民消费价格指数数据，建立非参数自回归模型，并分别用线性最小二乘方法、正交序列方法和多项式样条方法进行了拟合和预测．结果表明，非参数模型优于线性模型；在三种估计方法中，正交序列估计方法优于其他两种方法．最后将模拟、预测的结果和刘春燕等建立的基于ARIMA模型模拟、预测的结果进行了比较．
Price regulation and generic competition in the pharmaceutical market.
Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje
2006-09-01
In March 2003 the Norwegian government implemented yardstick-based price regulation schemes on a selection of drugs subjected to generic competition. The retail price cap, termed the "index price," on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the six drugs (chemical entities) included in the index price system, we estimate a structural model enabling us to examine the impact of the reform on both demand and market power. Our results suggest that the index price helped to increase the market shares of generic drugs and succeeded in triggering price competition.
Sauer, Johannes
of biodiversity and the appropriate incorporation in stochastic fron-tier models to achieve more realistic measures of production efficiency. We use the empirical example of tobacco production drawing from as well as affecting species diversity in the surrounding forests. We apply a shadow profit distance....... Based on a biologically defined species diver-sity index we incorporate biodiversity either as a desirable output or biodiversity loss as a detrimental input. Beside quantitative shadow price measures the main contribu-tion of the work is the evidence that parametric scores of environmental efficiency...
Sauer, Johannes
. Based on a biologically defined species diver-sity index we incorporate biodiversity either as a desirable output or biodiversity loss as a detrimental input. Beside quantitative shadow price measures the main contribu-tion of the work is the evidence that parametric scores of environmental efficiency...... of biodiversity and the appropriate incorporation in stochastic fron-tier models to achieve more realistic measures of production efficiency. We use the empirical example of tobacco production drawing from as well as affecting species diversity in the surrounding forests. We apply a shadow profit distance...
FEWS NET Price Volatility Data 2002-2012
US Agency for International Development — This dataset from the Famine Early Warning System Network (FEWS NET) documents ten years, from 2002 to 2012, of cereal price fluctuations across twenty-five African...
Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis
Xiao, Di; Wang, Jun
2012-10-01
The continuum percolation system is developed to model a random stock price process in this work. Recent empirical research has demonstrated various statistical features of stock price changes, the financial model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price, in an attempt to reproduce and explain this set of empirical facts. The continuum percolation model is usually referred to as a random coverage process or a Boolean model, the local interaction or influence among traders is constructed by the continuum percolation, and a cluster of continuum percolation is applied to define the cluster of traders sharing the same opinion about the market. We investigate and analyze the statistical behaviors of normalized returns of the price model by some analysis methods, including power-law tail distribution analysis, chaotic behavior analysis and Zipf analysis. Moreover, we consider the daily returns of Shanghai Stock Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and the simulation data are exhibited.
Coupling detrended fluctuation analysis of Asian stock markets
Wang, Qizhen; Zhu, Yingming; Yang, Liansheng; Mul, Remco A. H.
2017-04-01
This paper uses the coupling detrended fluctuation analysis (CDFA) method to investigate the multifractal characteristics of four Asian stock markets using three stock indices: stock price returns, trading volumes and the composite index. The results show that coupled correlations exist among the four stock markets and the coupled correlations have multifractal characteristics. We then use the chi square (χ2) test to identify the sources of multifractality. For the different stock indices, the contributions of a single series to multifractality are different. In other words, the contributions of each country to coupled correlations are different. The comparative analysis shows that the research on the combine effect of stock price returns and trading volumes may be more comprehensive than on an individual index. By comparing the strength of multifractality for original data with the residual errors of the vector autoregression (VAR) model, we find that the VAR model could not be used to describe the dynamics of the coupled correlations among four financial time series.
王政; 吕卓易; 牟晨冰; 黄雪松
2011-01-01
In 1973, Fischer Black Myron Schole and Robert Merton had established the B -S Option Pricing Model, which provides a theoretical basis for the pricing of European stock index options. This paper constructed a CSI 300 index option contract, and made an estimation of five influential factors of the pricing of stock index options including volatility and risk free interest rate, and then conducted a pricing research using the Black - Scholes Option Pricing Model, based on which we analyzed the adaptability of stock index options in Chinese securities market. The results showed that it is applicable for China to introduce stock index options.%FischerBlack、MyronScholes和RobertMerton于1973年就建立了Black—Scholes模型，该模型为股票指数期权定价提供了理论依据。本文假定了一份欧式沪深300指数期权合约，并对波动率、无风险利率等5个参数进行了估计，然后利用Black—Scholes模型对该股票指数期权进行了定价研究，并以此为基础，对股票指数期权在我国证券市场的适用性进行了分析。结果表明，股票指数期权在我国是适用的。
赵景东; 孙文婷; 冯玉英
2013-01-01
受英国SG100邮票价格指数启发，借鉴股票价格指数的建立方法，运用中国邮票互动网上提供的邮票收盘价和成交量计算出了中国邮票月度价格指数。在此基础上，将邮票价格指数的超额回报与股票价格指数的超额回报进行资本资产定价模型回归，结果显示中国邮票投资并不能为股票投资者提供多元化的可能，但英国邮票投资给中国股票投资者提供了多元化的可能，产生了超额收益，分散了风险。%We are inspired by British SG100 Stamp Price Index to build Chinese Stamp Price Index by ourselves. We make use of closing price and trading volume of stamps which are available online to calculate the monthly price indexes of Chi-nese stamps. The results of the Capital Asset Pricing Model regression of the monthly stamp index excess returns and the excess returns of stock indexes show that investing in Chinese stamp can’t provide portfolio diversification benefits for stock investors. Adding British stamps to Chinese stock portfolios can improve the investment performance of investors.
Oil price and food price volatility dynamics: The case of Nigeria
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.
Simple Patterns in Fluctuations of Time Series of Economic Interest
Fanchiotti, H.; García Canal, C. A.; García Zúñiga, H.
Time series corresponding to nominal exchange rates between the US dollar and Argentina, Brazil and European Economic Community currencies; different financial indexes as the Industrial Dow Jones, the British Footsie, the German DAX Composite, the Australian Share Price and the Nikkei Cash and also different Argentine local tax revenues, are analyzed looking for the appearance of simple patterns and the possible definition of forecast evaluators. In every case, the statistical fractal dimensions are obtained from the behavior of the corresponding variance of increments at a given lag. The detrended fluctuation analysis of the data in terms of the corresponding exponent in the resulting power law is carried out. Finally, the frequency power spectra of all the time series considered are computed and compared
Application of Markov Model in Crude Oil Price Forecasting
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.
Price Conduction Mechanism of China’s Wheat Industry Chain Based on VECM
Haiyan; ZHU
2015-01-01
With the aid of the VECM( vector error correction model),this paper studied dynamic effect of wheat price and flour price conduction mechanism in the wheat industry chain. Study results indicate that in a long term,wheat price and flour price have equilibrium relationship. Through threshold co-integration test,it found that there is no threshold co-integration relationship between wheat price and flour price.This can be adjusted using the linear error correction mode. In a short term,the wheat price and flour price have Granger causality relationship. When the price deviates from equilibrium state,the flour price can be adjusted and regressed to equilibrium state,but the speed of wheat price regressing to equilibrium state is slow. Finally,the impulse response function analysis indicates that fluctuation of the wheat price can bring huge and sustained impact to wheat and flour market.
战金艳; 林英志; 葛全胜; 徐志刚
2011-01-01
According to the partial equilibrium theory,this paper built an agricultural equilibrium model which was used to simulate the impacts on the market price of agricultural products due to the occurrence of natural disasters.This model was used in the case study area,the quake-hit region Wenchuan,to simulate and evaluate the influences on market price fluctuation of agricultural products nationwide on the basis of data from Sichuan provincial statistical yearbook,survey data in the quake-hit region and data supplied by relevant agencies for the local government and departments concerned.The simulation results indicate the Wenchuan Earthquake has had only marginal impacts on the fluctuations of market price of agricultural products such as rice,wheat,corn and pork and have had no strong disturbance on the stability of the prices of agricultural products at national level.Wenchuan Earthquake,however,undoubtedly,resulted in some effects on the local agricultural production.It brought significantly negative impacts on both planting industry and breeding industry in the severe disaster areas.The research results of this paper provides information of decision-making for the disaster areas in scientifically evaluating earthquake influences on the changes of market prices of agricultural products,laying down planning of earthquake preparedness and disaster reduction and the recovery of agricultural production for the quake-hit region.%本文构建了一个用于分析自然灾害对区域农畜产品市场价格影响的自然灾害影响农业生产的分析模型,并基于多种统计与调查资料模拟了汶川特大地震对全国农畜产品市场价格的影响。模拟表明,汶川地震对全国水稻、小麦、玉米和猪肉主要农畜产品的市场价格的变化影响甚微,没有影响全国农业生产的基准面。不过,汶川地震毋容置疑地对当地农业生产造成了一定程度的影响,尤其是对重灾区种植业和养殖业造成了显
Market-Based Price-Risk Management for Coffee Producers
Sushil Mohan
2007-01-01
Coffee is characterised by high levels of price fluctuation, which exposes coffee producers to price risk. Coffee is widely traded in international commodity futures markets. This offers scope for producers to mange their price risk by hedging on these markets. The hedging mechanism proposed is based on the use of put options. The paper uses historical data of actual coffee put options contracts to estimate the costs of the mechanism; the benefits are inferred from field evidence. It emerges ...
The Minimum Wage, Restaurant Prices, and Labor Market Structure
Aaronson, Daniel; French, Eric; MacDonald, James
2008-01-01
Using store-level and aggregated Consumer Price Index data, we show that restaurant prices rise in response to minimum wage increases under several sources of identifying variation. We introduce a general model of employment determination that implies minimum wage hikes cause prices to rise in competitive labor markets but potentially fall in…
Don't Control Prices, Raise Interest Rates
ANDY XIE
2008-01-01
@@ The price of Thai white rice, a benchmark for the international rice trade, surged 30% on March 31 to USD 790/ton,prompted by news of various countries restricting food exports. Its price has doubled since the end of 2007 and nearly quadrupled from 2003, while the UN's FAO food price index has roughly doubled in the past two years.
Relationships between oil price shocks and stock market: An empirical analysis from China
Cong Ronggang [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Graduate School of the Chinese Academy of Sciences, Beijing 100080 (China); Wei Yiming [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China)], E-mail: ymwei@deas.harvard.edu; Jiao Jianlin [Hefei University of Science and Technology, Hefei 230009 (China); Fan Ying [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China)
2008-09-15
This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index.
Relationships between oil price shocks and stock market: An empirical analysis from China
Cong, Rong-Gang [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Graduate School of the Chinese Academy of Sciences, Beijing 100080 (China); Wei, Yi-Ming; Fan, Ying [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Jiao, Jian-Lin [Hefei University of Science and Technology, Hefei 230009 (China)
2008-09-15
This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index. (author)
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
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...
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...
Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert
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-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...
An annual quasidifference approach to water price elasticity
Bell, David R.; Griffin, Ronald C.
2008-08-01
The preferred price specification for retail water demand estimation has not been fully settled by prior literature. Empirical consistency of price indices is necessary to enable testing of competing specifications. Available methods of unbiasing the price index are summarized here. Using original rate information from several hundred Texas utilities, new indices of marginal and average price change are constructed. Marginal water price change is shown to explain consumption variation better than average water price change, based on standard information criteria. Annual change in quantity consumed per month is estimated with differences in climate variables and the new quasidifference marginal price index. As expected, the annual price elasticity of demand is found to vary with daily high and low temperatures and the frequency of precipitation.
Price transmission in the Spanish bovine sector: the BSE effect
2010-01-01
A regime-switching vector error correction model is applied to monthly price data to assess the impact of BSE outbreaks on price relationships and patterns of transmission among farm and retail markets for bovine in Spain. To evaluate the degree to which price transmission is affected by BSE food scares, a BSE food scare index is developed and used to determine regime-switching. Results suggest that BSE scares affect beef producers and retailers differently. Consumer prices are found to be we...
A GARCH option pricing model with filtered historical simulation
Mancini, Loriano; Barone-Adesi, Giovanni; Engle, Robert
2008-01-01
We propose a new method for pricing options based on GARCH models with filtered historical innovaions. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows that our model outperforms other competing GARCH pricing models and ad hoc Black–Scholes models. We show that the flexible change of me...
ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING
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.
朱民武
2014-01-01
文章基于2010年3月31日至2012年底沪市A股数据和融资融券余额交易数据，通过建立误差修正模型，利用协整检验和Granger因果检验的计量方法研究沪市A股指数和融资融券交易余额之间的关系，实证检验融资融券交易的推行对于沪市A股指数的影响，结果表明：融资融券余额和沪市A股指数之间存在长期稳定的协整关系，沪市A股指数是融资融券余额的Granger因，但融资融券余额不是沪市A股指数的Granger因，股价的变动会影响融资融券滞后一期和滞后二期的交易量，但融资融券的推行并没有加剧A股市场的波动。不过样本期内融资融券交易中融券卖空交易占比过少，融券卖空对冲作用的发挥受到卖空量的约束，应通过增加卖空标的、加快发展转融券等方式提升融券卖空交易量。%In this paper, the methods of cointegration and Granger causality test measurement are used to test the relationship between Shanghai A-share Index and securities margin trading balance based on the data of March 31, 2010 to December 31, 2012 to investigate the impact of the implementation of securities margin trading on Shanghai A-share Index. The empirical results show that there exists stable long-term cointegration relationship between margin balance and the Shanghai A-share Index. The Shanghai A-share Index is the Granger cause of securities margin trading balance, while the margin balance is not the Granger cause of Shanghai Composite Index. The change of stock price will influence the first-lagged and second-lagged margin trading volume, while the implementation of securities margin trading does not exacerbate the volatility of Shanghai share market. However, the volume of short-selling is too small to hedging the market effectively. We should increase the volume of short-selling by expanding the source of underlying stocks.
A Two-Factor Autoregressive Moving Average Model Based on Fuzzy Fluctuation Logical Relationships
Shuang Guan
2017-10-01
Full Text Available Many of the existing autoregressive moving average (ARMA forecast models are based on one main factor. In this paper, we proposed a new two-factor first-order ARMA forecast model based on fuzzy fluctuation logical relationships of both a main factor and a secondary factor of a historical training time series. Firstly, we generated a fluctuation time series (FTS for two factors by calculating the difference of each data point with its previous day, then finding the absolute means of the two FTSs. We then constructed a fuzzy fluctuation time series (FFTS according to the defined linguistic sets. The next step was establishing fuzzy fluctuation logical relation groups (FFLRGs for a two-factor first-order autoregressive (AR(1 model and forecasting the training data with the AR(1 model. Then we built FFLRGs for a two-factor first-order autoregressive moving average (ARMA(1,m model. Lastly, we forecasted test data with the ARMA(1,m model. To illustrate the performance of our model, we used real Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX and Dow Jones datasets as a secondary factor to forecast TAIEX. The experiment results indicate that the proposed two-factor fluctuation ARMA method outperformed the one-factor method based on real historic data. The secondary factor may have some effects on the main factor and thereby impact the forecasting results. Using fuzzified fluctuations rather than fuzzified real data could avoid the influence of extreme values in historic data, which performs negatively while forecasting. To verify the accuracy and effectiveness of the model, we also employed our method to forecast the Shanghai Stock Exchange Composite Index (SHSECI from 2001 to 2015 and the international gold price from 2000 to 2010.
无
2010-01-01
Textile Index Monitor is a new column that delivers a textile-specific price index profile in weeks that are bygone when this monthly magazine comes to your hand. China Textile City is the name of the world-largest yarn&fabric marketplace in the famous town of Keqiao in Zhejiang,China.Several years ago,Ministry of Commerce(MOC)set up a national price index centre for textiles-specific category,China Textile City takes the leading role in publishing its analytical report of textile price index on weekly,monthly,quarterly and yearly basis,making it possible for Keqiao or its textile city to be the weathercock for textiles market trend in China and in the world as well.From this issue,a new column is given to cover the gist&feeds of the latest developments&gradients in this market barometer.
The Influence of Signed Order Volume on Stock Prices
Gerig, Austin; Farmer, Doyne; Lillo, Fabrizio; Mike, Szabolcs
2007-03-01
Using data from the London Stock Exchange we investigate the influence of signed transaction order volume on current and future price changes. (Buy orders are given a positive sign, sell orders a negative sign). Empirical studies have shown that transaction order signs display long memory. Because buying tends to move the price up and selling tends to move the price down, this creates a puzzle regarding efficiency -- if transaction order signs are highly predictable, why aren't prices predictable? We show that efficiency is maintained by correlated fluctuations in the response of prices to orders. We also study whether or not this is an important effect causing clustered volatility in price changes, i.e. the tendency of the magnitude of price changes to be temporally correlated.
The price of correlation risk: evidence from equity options
Driessen, J.; Maenhout, P.J.; Vilkov, G.
2009-01-01
We study whether exposure to marketwide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We find evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy
Jäkel, Ina Charlotte; Sørensen, Allan
-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...
Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert
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...
The price level and monetary policy
Charles P. Kindleberger
2002-03-01
Full Text Available Most central banks are required to or choose to stabilize a price index, largely by manipulating short term interest rates. A serious problem is which index to choose among the national income deflator, wholesale prices, the cost of living, with or eliminating highly volatile commodities such as food and energy, to produce a core index, plus others such as housing, including or without imputed rent of owner-occupied houses, or assets, whether equities or houses. No obvious and widely agreed index exists. Even if there were a clear choice, there remains a question whether a central bank should carefully consider action in order to achieve other goals: full employment, adjustment of the balance of payments, of the exchange rate, prevention of bubbles in asset prices, or recovery from financial crises. If so, the question of central bank weapons remains: monetary expansion or contraction, credit controls, for overall or for particular purposes, and moral suasion.
Michael Alles; Srikant Datar
1998-01-01
Most research into cost systems has focused on their motivational implications. This paper takes a different approach, by developing a model where two oligopolistic firms strategically select their cost-based transfer prices. Duopoly models frequently assume that firms game on their choice of prices. Product prices, however, are ultimately based on the firms' transfer prices that communicate manufacturing costs to marketing departments. It is for this reason that transfer prices will have a s...
Krueger, Malte
2009-01-01
The pricing of payments has received increasing attention of regulators. In many cases, regulators are concerned that consumers do not face cost based prices. They argue that without cost based prices consumers will make inefficient choices. In this paper, it is argued that both, economics of scale and the particular laws governing pricing in two-sided markets provide a case against cost based pricing.
王一兵
2005-01-01
This paper makes use of the principles and methods of semi-parametric analysis to construct a semiparametric model for house price indices by including the characteristics of house sale data. Further discussions axe given to the estimation methods of the semi-parametric model, Hausman hypothesis test and the use of bootstrapping to calculate the standardempirical analysis show that the semi-parametrichouse price indices.errors of the estimated parameters. Results of analysis is better than the OLS analysis in estimating house price indices.
Price-elastic demand in deregulated electricity markets
Siddiqui, Afzal S.
2003-05-01
The degree to which any deregulated market functions efficiently often depends on the ability of market agents to respond quickly to fluctuating conditions. Many restructured electricity markets, however, experience high prices caused by supply shortages and little demand-side response. We examine the implications for market operations when a risk-averse retailer's end-use consumers are allowed to perceive real-time variations in the electricity spot price. Using a market-equilibrium model, we find that price elasticity both increases the retailers revenue risk exposure and decreases the spot price. Since the latter induces the retailer to reduce forward electricity purchases, while the former has the opposite effect, the overall impact of price responsive demand on the relative magnitudes of its risk exposure and end-user price elasticity. Nevertheless, price elasticity decreases cumulative electricity consumption. By extending the analysis to allow for early settlement of demand, we find that forward stage end-user price responsiveness decreases the electricity forward price relative to the case with price-elastic demand only in real time. Moreover, we find that only if forward stage end-user demand is price elastic will the equilibrium electricity forward price be reduced.
Quantifying risks with exact analytical solutions of derivative pricing distribution
Zhang, Kun; Liu, Jing; Wang, Erkang; Wang, Jin
2017-04-01
Derivative (i.e. option) pricing is essential for modern financial instrumentations. Despite of the previous efforts, the exact analytical forms of the derivative pricing distributions are still challenging to obtain. In this study, we established a quantitative framework using path integrals to obtain the exact analytical solutions of the statistical distribution for bond and bond option pricing for the Vasicek model. We discuss the importance of statistical fluctuations away from the expected option pricing characterized by the distribution tail and their associations to value at risk (VaR). The framework established here is general and can be applied to other financial derivatives for quantifying the underlying statistical distributions.
Relationships between oil price shocks and stock market: An empirical analysis from China
Cong, Ronggang; Wei, Yi-Ming; Jiao, Jian-Ling
2008-01-01
This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing...... index and some oil companies. Some “important” oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain...
刘金全; 徐宁; 刘达禹
2016-01-01
以美联储加息预期和近期的人民币汇率波动为背景，以人民币兑美元实际汇率为桥梁，采用TVP －VAR 模型探究了“美联储利率调整→人民币汇率变动→资产价格波动”这一传导路径的有效性。结果发现：美联储宣布加息后，中国汇股两市会逐渐形成“人民币贬值→资产价格重置→我国股票抛售→资产价格下跌→外国资本流出→人民币再次贬值”的阶段性特征，但这一影响不具有长期效应。为此，中国政府应该在短期内高度重视美联储加息，通过加强外汇储备管理和金融市场监管来平抑短期内的汇股两市波动；而在长期内，政府仍应有计划有节奏的推动人民币国际化与钉住单一美元脱钩，提升人民币政策的独立性，从而在根本上稳定汇率波动并促进金融市场健康发展。%Based on the expectation of Fed interest rate raising and fluctuations of the RMB exchange rate,regarding the RMB real exchange rate as a bridge,we use the TVP -VAR model to explore the effectiveness of conduction path of "the federal reserve interest rates adjustment→the RMB exchange rate change→asset prices volatility".The results showed that after the Fed announced increasing interest rates,our Stock market and currency markets will gradually form the spiral pattern:Devaluation→asset prices reset→sell China′s stock→asset prices fall→foreign capital outflow→the RMB depreciated again.But this effect does not have a long -term effect.Therefore,the Chinese government should pay more attention to the Federal Reserve raising interest rates in the short term,through the strengthening management of foreign exchange reserves and regulation of financial markets to stabilize short -term foreign exchange and stock mar-ket volatility.In the long term,government should promote the RMB getting unhooked with US dollars in a planned way,enhancing the independence of the RMB policy
李晓兵
2013-01-01
文章采用我国1994—2010年时间序列数据，在VAR模型的基础上，对CPI与粮食价格指数之间的动态关系进行了实证分析。研究结果表明：我国CPI与粮食价格指数存在双向互动关系，CPI推动了粮食价格指数的增长，同时粮食价格指数也推动了CPI的增长。根据上述实证分析，提出了控制粮食价格上涨的主要对策和建议：建立完善的耕地保护机制，保障基本的种粮面积；加大保障粮食生产投入，提高农民种粮积极性；控制农资产品价格，建立完善的农村金融体系；加强对粮食市场的宏观调控和综合管理。% This paper studies the dynamic relationship between CPI and food price index, based on the VAR model, using the 1994-2010 time series date. Research results show that: there is interactive relationship between China's CPI and food price index, CPI promot-ed the grain price index growth, at the same time, grain price index also promoted the growth of CPI. According to the above empirical analysis, The paper puts forward to control food prices the main countermeasures and suggestions: establishing the cultivated land protec-tion mechanism, the guarantee of basic grain area; to increase the security of food production input, to improve the farmers' enthusiasm;dynamic relationship, to control the prices of agricultural products, to establish and improve the rural financial system; to strengthen macro-control of the grain market and comprehensive management.
ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING
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...
Accounting Aspects of Pricing and Transfer Pricing
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...
Price strategy and pricing strategy: terms and content identification
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.
Scale invariance and universality of economic fluctuations
Stanley, H. E.; Amaral, L. A. N.; Gopikrishnan, P.; Plerou, V.
2000-08-01
In recent years, physicists have begun to apply concepts and methods of statistical physics to study economic problems, and the neologism “econophysics” is increasingly used to refer to this work. Much recent work is focused on understanding the statistical properties of time series. One reason for this interest is that economic systems are examples of complex interacting systems for which a huge amount of data exist, and it is possible that economic time series viewed from a different perspective might yield new results. This manuscript is a brief summary of a talk that was designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena - scale invariance and universality - can be useful in guiding research on economics. We shall see that while scale invariance has been tested for many years, universality is relatively less frequently discussed. This article reviews the results of two recent studies - (i) The probability distribution of stock price fluctuations: Stock price fluctuations occur in all magnitudes, in analogy to earthquakes - from tiny fluctuations to drastic events, such as market crashes. The distribution of price fluctuations decays with a power-law tail well outside the Lévy stable regime and describes fluctuations that differ in size by as much as eight orders of magnitude. (ii) Quantifying business firm fluctuations: We analyze the Computstat database comprising all publicly traded United States manufacturing companies within the years 1974-1993. We find that the distributions of growth rates is different for different bins of firm size, with a width that varies inversely with a power of firm size. Similar variation is found for other complex organizations, including country size, university research budget size, and size of species of bird populations.
Natural gas pricing: concepts and international overview
Gorodicht, Daniel Monnerat [Gas Energy, Rio de Janeiro, RJ (Brazil); Veloso, Luciano de Gusmao; Fidelis, Marco Antonio Barbosa; Mathias, Melissa Cristina Pinto Pires [Agencia Nacional do Petroleo, Gas Natural e Biocombustiveis (ANP), Rio de Janeiro, RJ (Brazil)
2012-07-01
The core of this article is a critical analysis of different forms of pricing of natural gas existing in the world today. This paper is to describe the various scenarios of natural gas price formation models. Along the paper, the context is emphasized by considering their cases of applications and their results. Today, basically, there are three main groups of models for natural gas pricing: i) competition gas-on-gas, i.e., a liberalized natural gas market, II) gas indexed to oil prices or its products and III) bilateral monopolies and regulated prices. All the three groups of models have relevant application worldwide. Moreover, those are under dynamic influence of economic, technological and sociopolitical factors which bring complexity to the many existing scenarios. However, at first this paper builds a critical analysis of the international current situation of natural gas today and its economic relevance. (author)
Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System
Wuyang Cheng
2014-01-01
Full Text Available We develop a random financial time series model of stock market by one of statistical physics systems, the stochastic contact interacting system. Contact process is a continuous time Markov process; one interpretation of this model is as a model for the spread of an infection, where the epidemic spreading mimics the interplay of local infections and recovery of individuals. From this financial model, we study the statistical behaviors of return time series, and the corresponding behaviors of returns for Shanghai Stock Exchange Composite Index (SSECI and Hang Seng Index (HSI are also comparatively studied. Further, we investigate the Zipf distribution and multifractal phenomenon of returns and price changes. Zipf analysis and MF-DFA analysis are applied to investigate the natures of fluctuations for the stock market.
Empirical research on spatial and time series properties of agricultural commodity prices
Liu, Xing,
2012-01-01
The integration of European agriculture into the world economy has also accelerated price interaction between member states and the rest of the world during last decades. Consequently, the fluctuation in world market prices was more quickly transmitted to European member states, including Finland. Increasing price uncertainty and price volatility in agricultural products became more evident. The openness of regional agriculture such as EU and Finnish to the world is irreversible, and the int...
Comparative Analysis of the Purchase Price of Raw Milk in the World
DONG, XIAOXIA
2014-01-01
This paper selects 20 countries from the major dairy producing continents such as Oceania, the Americas, Europe and Asia, for the comparative analysis of the purchase price of raw milk in the world. Based on the summarization of general features of the world raw milk prices, this paper elaborates the fluctuations in the purchase price of raw milk in Oceania, the Americas, Europe and Asia, respectively, and carries out the comparative study of the gap between the domestic purchase price of raw...
Predicting Fluctuations in Cryptocurrency Transactions Based on User Comments and Replies.
Kim, Young Bin; Kim, Jun Gi; Kim, Wook; Im, Jae Ho; Kim, Tae Hyeong; Kang, Shin Jin; Kim, Chang Hun
2016-01-01
This paper proposes a method to predict fluctuations in the prices of cryptocurrencies, which are increasingly used for online transactions worldwide. Little research has been conducted on predicting fluctuations in the price and number of transactions of a variety of cryptocurrencies. Moreover, the few methods proposed to predict fluctuation in currency prices are inefficient because they fail to take into account the differences in attributes between real currencies and cryptocurrencies. This paper analyzes user comments in online cryptocurrency communities to predict fluctuations in the prices of cryptocurrencies and the number of transactions. By focusing on three cryptocurrencies, each with a large market size and user base, this paper attempts to predict such fluctuations by using a simple and efficient method.
Inflation impact of food prices: Case of Serbia
Šoškić Dejan
2015-01-01
Full Text Available Food prices traditionally have an impact on inflation around the world. Movements in these prices are coming more from the supply side, then from the demand side. If treated as a supply shock, monetary policy should not react. However, food prices are part of headline inflation that is an official target for most central banks. Serbia conducts Inflation targeting and faces serious challenges with food price volatility. Food price volatility in Serbia hampers inflation forecasting, and may have a negative influence on inflationary expectations and public confidence in (i.e. credibility of the Central bank, all of crucial importance for success of Inflation targeting. There are several important possible improvements that may decrease volatility of food prices but also limit negative impact of food price volatility on Consumer Price Index (CPI as a measure of inflation. These improvements are very important for success of Inflation targeting in Serbia.
云天铨
2001-01-01
Similar to the method of continuum mecha nics, the variation of the price of index futures is viewed to be continuous and regu lar. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution s h ows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a re lation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes, w inner of 1997 Nobel' prize on economy. In that formula, the probability of pr ice of basic assets (they stand for index futures here) is assummed to be a logarit hmic normal distribution. This agreement shows that the same result may be obtai ned by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the d ifferential equation.%类似连续介质力学方法，将期指价格变化看成是 连续、有规律可寻的根据期指特点，建立期指价格变化的基本方程这是一个微分方程，其解显示时间与价格呈对数圆形关系若将时间理解为相应价格 的概率，则这一关系与基于统计理论分析的、著名的诺贝尔经济学奖(1997)获得者的期权定价Black-Scholes公式中主要假设——基础资产(在此为期指)价格呈对数正态分布——完全一致明了依据完全不同的两种分析方法，也会得到相同的结果只是 Black-Scholes是用假设给出，而作者则从微分方程的解推出
Stacey, Brian
2015-01-01
Price discrimination enjoys a long history in the airline industry. Borenstein (1989) discusses price discrimination through frequent flyer programs from 1985 as related to the Piedmont-US Air merger, price discrimination strategies have grown in size and scope since then. From Saturday stay over requirements to varying costs based on time of purchase, the airline industry is uniquely situated to enjoy the fruits of price discrimination.
The Variation Law of the Market Price of Pork in Beijing City
GE Xue-song; HUANG Ti-ran; WANG Xiao-dong; ZHAO You-sen
2012-01-01
In order to research the fluctuation law of price of pork in Beijing City and determine its fluctuation cycle,we use level indicator analysis,speed indicator analysis,the coefficient of variation,the seasonal adjustment model and the HP filter method,to analyze the data on the market price of pork in 8 wholesale markets in Beijing City during the period 2002-2011.The results show that the annual price of pork in wholesale markets in Beijing City shows a gradual upward trend;during the period 2002-2011,the price of pork in Beijing City experienced three full fluctuation cycle,and each fluctuation cycle was roughly 38 months;the price of pork within the year shows a trend of " one trough,one crest",and the interval of high prices is mainly concentrated in June-december;the amount of pork for sale within the year is basically inversely correlated with the price.Therefore,we should strengthen the monitoring of pig production information and market information,to ensure the sufficient supply of pork,and stabilize the market price of pork.In addition,according to the variation law of the market price of pork,improving the purchasing,storage and allocation work mechanism of the reserve meat is also necessary to stabilizing the market price of pork.
Price control and macromarketing
Kancir Rade
2003-01-01
Full Text Available Price control at macro level is part of integral macro marketing strategic control system, or more precisely, part of social marketing mix control. Price impact is direct, if it is regarded in the context of needs satisfaction, and indirect, within the context of resource allocation. These two patterns of price impact define control mechanism structuring. Price control in sense of its direct impact at process of need satisfaction should comprise qualitative and quantitative level of needs satisfaction at a given price level and its structure, informational dimension of price and different disputable forms of corporate pricing policies. Control of price allocation function is based at objectives of macro marketing system management in the area of resource allocation and the role of price as allocator in contemporary market economies. Control process is founded, on one hand, at theoretical models of correlation between price and demand in different market structures, and on the other hand, at complex limits that price as allocator has, and which make whole control process even more complex because of reduction of the degree of determinism in functioning of contemporary economic systems. Control of price allocation function must be continuous and dynamic process if it is to provide for convergence with environmental changes and if it is to provide for placing control systems at micro marketing levels in the function of socially valid objectives.
Regulation of Pharmaceutical Prices
Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas
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...
Valuation Struggles over Pricing
Pallesen, Trine
2016-01-01
public goods into play, all the while prompting a translation of these values into a single price. Following the struggles over the pricing of wind power in the early 2000s, the study illustrates that rather than a pollution of the market sphere by that of politics, a politics of pricing can be observed...
Dutch house price fundamentals
Haffner, M.E.A.; de Vries, P.
2009-01-01
This paper discusses house price developments in the Netherlands, specifically focussing on the question whether current house prices in the Dutch owner-occupied market are likely to decrease. We analyse three aspects of the question based on a literature review: (1) whether there is a house price b
Dutch house price fundamentals
Haffner, M.E.A.; de Vries, P.
2009-01-01
This paper discusses house price developments in the Netherlands, specifically focussing on the question whether current house prices in the Dutch owner-occupied market are likely to decrease. We analyse three aspects of the question based on a literature review: (1) whether there is a house price
无
2004-01-01
The price raise in natural resources is inevitable. At present, building ceramic industry is facing the pressure brought by price raise in raw material. Marketing directors still hesitate whether the price of ceramic tiles should be raised. The crisis brought by social environment made the employees care-laden.
Relationship between Gold and Oil Prices and Stock Market Returns
Muhammad Mansoor Baig
2013-10-01
Full Text Available This study objective to examine the relationship between gold prices, oil prices and KSE100 return. This study important for the investor whose want to invest in real assets and financial assets. This study helps investor to achieve the portfolio diversification. This study uses the monthly data of gold prices, KSE100, and oil prices for the period of 2000 to 2010 (monthly. This study applied Descriptive statistics, Augmented Dickey Fuller test Phillip Perron test, Johansen and Jelseluis Co-integration test, Variance Decomposition test to find relationship. This study concludes that Gold prices growth, Oil prices growth and KSE100 return have no significant relationship in the long run. This study provides information to the investors who want to get the benefit of diversification by investing in Gold, Oil and stock market. In the current era Gold prices and oil prices are fluctuating day by day and investors think that stock returns may or may not affected by these fluctuations. This study is unique because it focuses on current issues and takes the current data in this research to help the investment institutions or portfolio managers.
Internet resource pricing models
Xu, Ke; He, Huan
2013-01-01
This brief guides the reader through three basic Internet resource pricing models using an Internet cost analysis. Addressing the evolution of service types, it presents several corresponding mechanisms which can ensure pricing implementation and resource allocation. The authors discuss utility optimization of network pricing methods in economics and underline two classes of pricing methods including system optimization and entities' strategic optimization. The brief closes with two examples of the newly proposed pricing strategy helping to solve the profit distribution problem brought by P2P
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. .
Dutch house price fundamentals
Haffner, M.E.A.; De Vries, P.
2009-01-01
This paper discusses house price developments in the Netherlands, specifically focussing on the question whether current house prices in the Dutch owner-occupied market are likely to decrease. We analyse three aspects of the question based on a literature review: (1) whether there is a house price bubble ready to burst; (2) whether house prices will decline in response to the credit crisis that started in 2007; and (3) whether it is likely that house prices will decrease as a result of reform...
Forecasting Monthly Prices of Japanese Logs
Tetsuya Michinaka
2016-04-01
Full Text Available Forecasts of prices can help industries in their risk management. This is especially true for Japanese logs, which experience sharp fluctuations in price. In this research, the authors used an exponential smoothing method (ETS and autoregressive integrated moving average (ARIMA models to forecast the monthly prices of domestic logs of three of the most important species in Japan: sugi (Japanese cedar, Cryptomeria japonica D. Don, hinoki (Japanese cypress, Chamaecyparis obtusa (Sieb. et Zucc. Endl., and karamatsu (Japanese larch, Larix kaempferi (Lamb. Carr.. For the 12-month forecasting periods, forecasting intervals of 80% and 95% were given. By measuring the accuracy of forecasts of 12- and 6-month forecasting periods, it was found that ARIMA gave better results than did the ETS in the majority of cases. However, the combined method of averaging ETS and ARIMA forecasts gave the best results for hinoki in several cases.
熊熊; 王芳; 张维; 孙雅婧
2009-01-01
This paper studies the long-term and short-term price discovery function of FTSE/Xinhua China A50 Index Futures and CSI 300 index, the Index of Shanghai Stock Exchange through co-integration test, error correction model and the impulse response function. Empirical results show that FTSE/Xinhua China A50 Index Futures is price discovery vehicle for A-share market to some extent. Furthermore, this paper uses Granger test and BEKK model to explore the volatility spillovers effects of FTSE/Xinhua A50 Index Futures. Empirical results show that the FTSE Xinhua China A50 Index Futures is not a source of instability in A-share market.%采用协整检验、误差修正模型和脉冲响应的方法研究了新华富时A50指数期货与沪深300指数、上证综指的长期价格发现与短期价格发现功能,结果表明,新华富时A50指数期货具有一定的价格发现功能.在此基础上,运用Granger因果检验与BEKK模型研究了新华富时A50指数期货对沪深300指数、上证综指的波动溢出效应,结果表明,新华富时A50指数期货不是我国股票市场不稳定的因素.
What can account for fluctuations in the terms of trade?
Marianne Baxter; Michael A. Kouparitsas
2000-01-01
Fluctuations in the terms of trade the price of a country’s exports relative to the price of its imports are a source of perennial concern to policymakers in developing countries and industrialized nations alike. Terms of trade growth is extremely volatile and can lead to sudden changes in a country’s economic health. This paper seeks to understand the sources of fluctuations in the terms of trade. We decompose a country’s terms of trade volatility into a component stemming from differences i...
Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis
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.
Predicting Bitcoin price fluctuation with Twitter sentiment analysis
Stenqvist, Evita; Lönnö, Jacob
2017-01-01
Programmatically deriving sentiment has been the topic of many a thesis: it’s application in analyzing 140 character sentences, to that of 400-word Hemingway sentences; the methods ranging from naive rule based checks, to deeply layered neural networks. Unsurprisingly, sentiment analysis has been used to gain useful insight across industries, most notably in digital marketing and financial analysis. An advancement seemingly more excitable to the mainstream, Bitcoin, has risen in number of Goo...
Adaptation of warrant price with Black Scholes model and historical volatility
Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan
2015-05-01
This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.
Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market
Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek
2013-01-01
The study examines the influence of a selective set of macroeconomic forces on stock market prices in Bangladesh. The Dhaka Stock Exchange All-Share Price Index (DSI) is used to represent the prices in the stock market while deposit interest rates, exchange rates, consumer price index (CPI), crude oil prices and broad money supply (M2) are selected to represent the macroeconomic variables affecting the stock prices. Using monthly data from 1992m1-2011m6, several time-series techniques were us...
Calculating proper transfer prices
Dorkey, F.C. (Meliora Research Associates, Rochester, NY (United States)); Jarrell, G.A. (Univ. of Rochester, NY (United States))
1991-01-01
This article deals with developing a proper transfer pricing method. Decentralization is as American as baseball. While managers laud the widespread benefits of both decentralization and baseball, they often greet the term transfer price policy with a yawn. Since transfer prices are as critical to the success of decentralized firms as good pitchers are to baseball teams, this is quite a mistake on the part of our managers. A transfer price is the price charged to one division for a product or service that another division produced or provided. In many, perhaps most, decentralized organizations, the transfer pricing policies actually used are grossly inefficient and sacrifice the potential advantages of decentralization. Experience shows that far too many companies have transfer pricing policies that cost them significantly in foregone growth and profits.
Price learning during grocery shopping
Jensen, Birger Boutrup
of what consumers learn about prices during grocery shopping. Three measures of price knowledge corresponding to different levels of price information processing were applied. Results indicate that price learning does take place and that episodic price knowledge after store exit is far more widespread...... than expected. Consequently, a new view of how consumer price knowledge evolves during grocery shopping is presented....
何亚男; 汪寿阳
2011-01-01
In order to investigate the influence of global economic activity on world crude oil prices, this paper constructs a vector error correction model which is based on the cointegration theory, and analyzes the interactions among the real prices of world crude oil, global crude oil production, OECD petroleum inventory and global economic activity. Specifically, Kilian economic index is used as a measure of the global real economic aptivity that drives demand for crude oil. The results show that: There exists a long-rnn equilibrium relationship between the real prices of world crude oil, OECD petroleum inventory and Kilian economic index. Kilian economic index has a long-run significant effect on the real prices of crude oil and the long-run elasticity is about 2.05％. Following a global business cycle upswing and OECD inventory decrease, which means that the absolute value of the negative error from the long-run equilibrium relation is increasing, the real price of crude oil will increase. The short-run Granger causality running from the change in the global economic activity, OECD inventory and global crude oil production.%为了研究世界经济如何影响国际原油价格,以协整理论为基础,通过建立误差修正模型分析了国际原油实际价格与世界经济、世界原油产量以及OECD石油库存的关系.特别地,利用Kilian经济指数来反映全球经济状况.研究结果表明:国际原油实际价格,OECD石油库存和Kilian经济指数存在着长期协整关系.在长期,Kilian经济指数对原油实际价格有显著影响,弹性大约为2.05%.随着全球经济扩张以及OECD石油库存下滑,即相对于长期均衡的负向离差加大,原油实际价格上升,反之油价下降.短期内世界经济,OECD石油库存和世界原油产量变动是原油实际价格变动的Granger原因.
郭名媛; 蒲赢健
2016-01-01
Exchange rate plays an important role in petroleum transaction.The relations between petroleum prices and exchange rates have gradually become a research focus in the recent years.An empirical results are concluded by adopting CARRX model to conduct related research on volatility spillover between crude oil prices and exchange rates,and assuming residual erro of model respectively obeying standard exponen-tial distribution,standard Weibull distribution and standardized and generalized Gamma distribution,which indicate that,first,there are volatility spillover relations between crude oil prices and exchange rates.Sec-ond,the effect of volatility spillover of exchange rates on crude oil prices is stronger than the effect of vola-tility spillover of crude oil prices on exchange rates.%汇率在石油交易中扮演着重要的角色,二者的关系在近年来逐渐成为研究热点.采用CARRX模型对原油价格和汇率之间的波动溢出进行相关研究,并假设模型残差项分别服从标准指数分布、标准Weibull分布和标准化的广义Gamma分布.实证结果表明:首先,原油价格与汇率之间存在波动溢出关系;其次,汇率对原油价格的波动溢出作用要强于原油价格对汇率的波动溢出.
Fluctuating Asymmetry of Human Populations: A Review
John H. Graham
2016-12-01
Full Text Available Fluctuating asymmetry, the random deviation from perfect symmetry, is a widely used population-level index of developmental instability, developmental noise, and robustness. It reflects a population’s state of adaptation and genomic coadaptation. Here, we review the literature on fluctuating asymmetry of human populations. The most widely used bilateral traits include skeletal, dental, and facial dimensions; dermatoglyphic patterns and ridge counts; and facial shape. Each trait has its advantages and disadvantages, but results are most robust when multiple traits are combined into a composite index of fluctuating asymmetry (CFA. Both environmental (diet, climate, toxins and genetic (aneuploidy, heterozygosity, inbreeding stressors have been linked to population-level variation in fluctuating asymmetry. In general, these stressors increase average fluctuating asymmetry. Nevertheless, there have been many conflicting results, in part because (1 fluctuating asymmetry is a weak signal in a sea of noise; and (2 studies of human fluctuating asymmetry have not always followed best practices. The most serious concerns are insensitive asymmetry indices (correlation coefficient and coefficient of indetermination, inappropriate size scaling, unrecognized mixture distributions, inappropriate corrections for directional asymmetry, failure to use composite indices, and inattention to measurement error. Consequently, it is often difficult (or impossible to compare results across traits, and across studies.
Won Joong Kim
2011-01-01
Full Text Available Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate; and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block exogeneity of U.S. macroeconomic variables with respect to the international nonfuel commodity prices, the paper discusses how exogenous oil/macroeconomic shocks affect the international commodity prices. It finally explores which oil/macroeconomic shocks are important in explaining the variations in international commodity prices. The results show that the sources of major fluctuations in the international commodities differ greatly by commodity. Soft and hard commodity prices such as those of ‘seafood’, ‘industrial metals’, and ‘gold’ seem to be strongly affected by the financial factor. Moreover, for some commodities, price fluctuations are more affected by the financial factor than by the real factor, supporting the view of “financialization” of commodities. Those commodities include ‘vegetable oils and protein meals’, ‘meat’, ‘seafood’, and ‘industrial metals’. The financial factor is also an important source of fluctuations in the oil prices. Oil price shocks have effects on the volatilities of interest rates, money supply, and general price level instantly, as well as on the exchange rate instead of the general price two years after the shock. Over the whole forecasting horizon, the degree of exchange rate pass-through is low on the general price level but is positive and high on oil and nonfuel international commodity prices
Transition from monopoly pricing to competitive pricing
Perera, L. [Eastern Energy Ltd., Melbourne, VIC (Australia)
1995-12-31
The Victorian Government has embarked on a program to restructure the State electricity supply industry, that will be the precursor to reform throughout the whole of Australia. The Government is depending on competition to drive efficiency improvements to both generation and distribution businesses. Retail pricing will be the key determinant to a future assessment of the success or failure of these reforms. The paper examines electricity pricing before and after the restructuring from the viewpoint of a practitioner at the cutting edge of the reform process. Economic rationale is put forward why the Value Proposition will replace the Cost Recovery basis previously used in electricity pricing. It is concluded that limitations of interstate links will temper intestate competition unless innovative solution can be found. The current method of setting market prices based on a `Pool System` is only efficient if the generators bid their marginal price on a regular basis. In essence the pool replaces the `merit order` previously used to load generators and is basically a scheduling mechanism. Serious consideration needs to be given to the question whether this mechanism should be also setting the price of electricity. (author). 5 tabs.
Pricing of Traffic Light Options and other Hybrid Products
Kokholm, Thomas
2009-01-01
This paper considers derivatives with payoffs that depend on a stock index and underlying LIBOR rates. A traffic light option pricing formula is derived under lognormality assumptions on the underlying processes. The traffic light option is aimed at the Danish life and pension sector to help comp...... the pricing of a hybrid derivative known as the EUR Sage Note. The approach can be used to price many existing structured products....
Option pricing during post-crash relaxation times
Dibeh, Ghassan; Harmanani, Haidar M.
2007-07-01
This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.
Heier, Martin; Skoglund, Sindre
2014-01-01
The main purpose of our thesis is to examine the long - run relationship be tween WTI and Bren t . Historically, the prices fluctuated around a constant differential, where WTI traded above Brent due to its slightly higher quality. Recently, the differential has been reversed as B rent has traded at a premium to WTI since 2010. We analyze the unusual behavior in the price relationship with the use of an Engle - Granger two -...
Price strategy and pricing strategy: terms and content identification
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.
Reduction in CPI Commodity Substitution Bias by Using the Modified Lloyd–Moulton Index
Jacek Białek
2016-06-01
Full Text Available The Consumer Price Index (CPI is used as a basic measure of inflation. In practice, the Laspeyres price index is used to measure the CPI, although this formula does not take into account changes in the structure of consumption. The difference between the Laspeyres index and the superlative index should approximate the value of the commodity substitution bias. The Lloyd–Moulton price index does not make use of currentperiod expenditure data and, as it is commonly known, it allows to approximate superlative indices, in particular the Fisher price index (Von der Lippe, 2007. This is a very important property for the inflation measurement and the Consumer Price Index bias calculations. In this paper we verify the utility of the Lloyd–Moulton price index as the Fisher price index approximation. We propose a simple modification of that index and verify this modification for the real data set.
Currency speculation and dollar fluctuations
S. SCHULMEISTER
2013-12-01
Full Text Available In this study the reasons behind the wide fluctuations of the dollar exchange rate following the breakdown of the Bretton Woods system, for the most part unexplained by the prevailing exchange rate theories, are explored. The author investigates the exchange rate between the two most traded currencies, the dollar and the deutschemark, from 1973 to 1988. In the first part, the pattern of the daily exchange rate movements is examined to show that a sequence of upward and downward trends interrupted by non-directional movements is typical of exchange rate dynamics in the short run. This pattern is systemically exploited through currency speculation, particularly through the use of “technical analysis”. In the second part, the author focuses on the medium-term, arguing that fluctuations can be explained as the result of interacting disequilibria in the goods and asset markets. Although currency speculation has been systemically profitable for most currencies, it should be considered to be destabilising since the sequence of price runs caused large and persistent deviations of exchange rates from their equilibrium values (purchasing power parity.
Currency speculation and dollar fluctuations
Stephan Schulmeister
1988-12-01
Full Text Available In this study the reasons behind the wide fluctuations of the dollar exchange rate following the breakdown of the Bretton Woods system, for the most part unexplained by the prevailing exchange rate theories, are explored. To do so, the author investigates the exchange rate between the two most traded currencies, the dollar and the deutschemark, from 1973 to 1988. In the first part, the pattern of the daily exchange rate movements is examined to show that a sequence of upward and downward trends interrupted by non-directional movements is typical of exchange rate dynamics in the short run. Moreover, this pattern is systemically exploited through currency speculation, particularly through the use of “technical analysis”. In the second part, the author focuses on the medium-term, arguing that fluctuations can be explained as the result of interacting disequilibria in the goods and asset markets. Although currency speculation has been systemically profitable for most currencies, it should be considered to be destabilizing since the sequence of price runs caused large and persistent deviations of exchange rates from their equilibrium values (purchasing power parity.
The Price of Commodity Risk in Stock and Futures Markets
M. Boons (Martijn); F.A. de Roon (Frans); M. Szymanowska (Marta)
2014-01-01
textabstractWe find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments, whereas before they gained commodity exposure
Decomposing the Cyclical Movements in the Real Price of Equipment
Kwang Hwan Kim
2009-06-01
Full Text Available This paper raises warning flags about the current use of the real price of equipment as the driving process for investment-specific technology in the Real-Business-Cycle (RBC model. Using a structural VAR approach, this paper finds that a significant fraction of the real price of equipment is accounted for by other shocks besides investment-specific technology shocks (I-shocks. This finding indicates that the current RBC models which use the real price of equipment as the driving process of investment-specific technology might overstate the contribution of I-shocks to economic fluctuations.
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.
Rolf Turner
2014-07-01
Full Text Available We describe an R package for determining the optimal price of an asset which is perishable in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which speci?es the probability that a customer will purchase an asset o?ered at a given price at a given time. The package deals with the case of customers arriving in groups, with a probability distribution for the group size being speci?ed. The methodology and software allow for both discrete and continuous pricing. The class of possible models for price sensitivity functions is very wide, and includes piecewise linear models. A mechanism for constructing piecewise linear price sensitivity functions is provided.
Impact of stock market structure on intertrade time and price dynamics
Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis
2014-01-01
... of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations...
Study on Spillover Effect of Energy Price Volatility in China and Abroad%国内外能源价格波动溢出效应研究
王世进
2013-01-01
As China's energy consumption is increasingly depending on the international market, price fluctuations in international energy have a significant impact on China' s economic development and the security and sustainable development of China's energy industry. There has been little research on the mutual influence between international energy prices and Chinese domestic energy prices. Based on the Granger causality tests, VAR and DCC-GARCH models, we analyze the influence of international energy price vibration on Chinese energy prices using relevant data and fuels and power purchasing price index. We found a long-running equilibrium relationship and volatility spillover effect between international energy prices and Chinese energy prices, and one-way price leading relationship exists between both in the short term. With the rapid development of China's energy industry and innovation and market development of energy derivatives, demand for energy price hedging instruments in domestic energy industry will become more urgent. Borrowing from international models, China will be able to firmly grasp the energy pricing right to maintain the secure development of its energy industry and speed up the rapid integration of China's energy pricing mechanism with the international energy market. This approach will better reflect the demands of China's energy market and effectively guarantee the healthy and orderly development of China's energy industry and stable economic development. We conclude by suggesting energy legislation, energy cooperation with consumption countries, and the promotion of an energy derivatives futures market in order to maintain the healthy development of the energy industry.%本文利用相关数据及燃料、动力类购进价格指数,运用Granger因果检验,VAR和DCC-GARCH模型,分析了国际能源价格波动对我国能源价格平衡的影响.通过研究,表明国际能源价格与我国能源价格间存在长期的稳定协整关系和双
Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Saudi Arabia
Lakshmi Kalyanaraman; Basmah Al Tuwajri
2014-01-01
This paper examines if there exists a long run relationship among five macroeconomic variables, consumer price index, industrial output, money supply, exchange rate, oil prices along with the global stock prices proxy Standard and Poor 500 index and Saudi all share stock index. Time series analysis is applied using monthly data from January 1994 to June 2013. Application of Johansen cointegration test finds the existence of a long run relationship among the chosen variables. All macroeconomic...
Customizing Prices in Online Markets
Reinartz, Werner
2002-01-01
Dynamic pricing is the dynamic adjustment of prices to consumers depending on the value these customers attribute to a good. Underlying the concept of dynamic pricing is what marketers call price customization. Price customization is the charging of different prices to end consumers based on a discriminatory variable. Internet technology will serve as a great enabling tool for making dynamic pricing accessible to many industries.
侯威; 钱忠华; 杨萍; 封国林
2012-01-01
By combining detrended fluctuation analysis （DFA） method with surrogate data method, and using the heuristic segmentation algorithm as well as ChiSquare statistics, the stochastically resorting detrended fluctuation analysis（ S- DFA） method was developed to define the threshold of extreme events. By using S - DFA method, we obtained the thresholds of extreme precipitation events from 1961 to 2006 in China and analyzed its spatial - temporal distribution characteristics. We also validated the effectiveness of S - DFA method through extreme events detection by using precipitation series. The composite index of extreme precipitation events was given in this paper, which integrated the information about frequency and strength of extreme precipitation events, considering the characteristic of regional climate system. Based on the composite index, we divided into three zones according to different precipitation rank of extreme precipitation events from 1961 to 2006 in China. The composite index of extreme precipitation maintained smooth fluctuation with no obvious increasing or decreasing trend on the whole during 1961 -2006 in Chine.%将去趋势波动分析法（Detrended Fluctuation Analysis,DFA）和替代数据法相结合,同时引入启发式分割算法和卡方检验,提出了一种确定极端气候事件阈值的新方法,称为随机重排去趋势波动分析（Stochastic resort detrended Fluctuation Analysis,S-DFA）方法。同百分位阈值方法相比,S-DFA方法明确指出了极端事件和非极端事件之间的临界值。利用随机重排去趋势波动分析（S-DFA）方法计算并分析了中国极端降水事件阈值的空间分布特征,并对S-DFA方法在实际资料中的应用进行了检验。基于极端降水事件综合指标将中国1961～2006年间极端降水事件分为3个不同等级的地区,进一步发现我国1961～2006年间极端降水的综合指标整体没有表现出明显的上升或下降趋势,保持平稳的波动变化。
Basic Studies on Chaotic Characteristics of Electric Power Market Price
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.
Stochastic isocurvature baryon fluctuations, baryon diffusion, and primordial nucleosynthesis
Kurki-Suonio, H; Mathews, G J; Kurki-Suonio, Hannu; Jedamzik, Karsten; Mathews, Grant J
1996-01-01
We examine effects on primordial nucleosynthesis from a truly random spatial distribution in the baryon-to-photon ratio (\\eta). We generate stochastic fluctuation spectra characterized by different spectral indices and root-mean-square fluctuation amplitudes. For the first time we explicitly calculate the effects of baryon diffusion on the nucleosynthesis yields of such stochastic fluctuations. We also consider the collapse instability of large-mass-scale inhomogeneities. Our results are generally applicable to any primordial mechanism producing fluctuations in \\eta which can be characterized by a spectral index. In particular, these results apply to primordial isocurvature baryon fluctuation (PIB) models. The amplitudes of scale-invariant baryon fluctuations are found to be severely constrained by primordial nucleosynthesis. However, when the \\eta distribution is characterized by decreasing fluctuation amplitudes with increasing length scale, surprisingly large fluctuation amplitudes on the baryon diffusion ...
Stackelberg Network Pricing Games
Briest, Patrick; Krysta, Piotr
2008-01-01
We study a multi-player one-round game termed Stackelberg Network Pricing Game, in which a leader can set prices for a subset of $m$ priceable edges in a graph. The other edges have a fixed cost. Based on the leader's decision one or more followers optimize a polynomial-time solvable combinatorial minimization problem and choose a minimum cost solution satisfying their requirements based on the fixed costs and the leader's prices. The leader receives as revenue the total amount of prices paid by the followers for priceable edges in their solutions, and the problem is to find revenue maximizing prices. Our model extends several known pricing problems, including single-minded and unit-demand pricing, as well as Stackelberg pricing for certain follower problems like shortest path or minimum spanning tree. Our first main result is a tight analysis of a single-price algorithm for the single follower game, which provides a $(1+\\epsilon) \\log m$-approximation for any $\\epsilon >0$. This can be extended to provide a ...
Relating price strategies and price-setting practices
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 h
Analysts : no need to panic over prices / Steven Paulikas
Paulikas, Steven
2004-01-01
Pärast EL-iga liitumist on Balti riikides hinnad tõusnud keskmiselt 5,7%, pankade hinnangul on oodata ka inflatsiooni kiirenemist. Lisa: Thank you, accession: Consumer Price Index, percent increase, year-on-year
Analysts : no need to panic over prices / Steven Paulikas
Paulikas, Steven
2004-01-01
Pärast EL-iga liitumist on Balti riikides hinnad tõusnud keskmiselt 5,7%, pankade hinnangul on oodata ka inflatsiooni kiirenemist. Lisa: Thank you, accession: Consumer Price Index, percent increase, year-on-year
Noteworthy: oil markets: Saudis abandon WTI price as benchmark
Jackson Thies
2010-01-01
Saudi Arabia's state-owned oil company no longer uses West Texas Intermediate (WTI) crude oil as its pricing benchmark. Saudi Aramco, the third largest U.S. oil supplier, switched to the Argus Sour Crude Index (ASCI) in January.
Noteworthy: oil markets: Saudis abandon WTI price as benchmark
Jackson Thies
2010-01-01
Saudi Arabia's state-owned oil company no longer uses West Texas Intermediate (WTI) crude oil as its pricing benchmark. Saudi Aramco, the third largest U.S. oil supplier, switched to the Argus Sour Crude Index (ASCI) in January.
ASPECTS OF REGIONAL COMPETITIVENESS THROUGH DYNAMIC PRICES OF PETROLEUM PRODUCTS
Daniela\tENACHESCU
2015-06-01
Full Text Available This paper presents aspects regarding the dynamics of prices of petroleum products: gasoline and diesel in Romania in the period 2003(2007-2014. Both focus on relationship-price raw material and finished product by the impact of market prices. Given that the price of fuel is a key factor in economic development but also in the living of population, this paper has proposed to analyze some aspects of the dynamics of prices of petroleum products in correlation with commodity prices in a competitive market in 2003 -2014. In the analized period, price of oil barrel has a dynamics substantially influenced by the global political turbulences but also by lower oil demand due to consumption reduction, especially lately. Increases and decreases were abrupt and unpredictable in the early years of the first decade of the XXI century. Political crises in the Middle East, the economic crisis started in 2007 and especially the crisis in Ukraine and policies adopted by the EU and the US have led to extremely large fluctuations in oil prices from one period to another . This dynamic will only cover the price of petroleum products namely gazoline and diesel for vehicles.
Comparative Analysis of the Purchase Price of Raw Milk in the World
Xiaoxia; DONG
2014-01-01
This paper selects 20 countries from the major dairy producing continents such as Oceania,the Americas,Europe and Asia,for the comparative analysis of the purchase price of raw milk in the world. Based on the summarization of general features of the world raw milk prices,this paper elaborates the fluctuations in the purchase price of raw milk in Oceania,the Americas,Europe and Asia,respectively,and carries out the comparative study of the gap between the domestic purchase price of raw milk and the world purchase price of raw milk.
Modeling Long-term Behavior of Stock Market Prices Using Differential Equations
Yang, Xiaoxiang; Zhao, Conan; Mazilu, Irina
2015-03-01
Due to incomplete information available in the market and uncertainties associated with the price determination process, the stock prices fluctuate randomly during a short period of time. In the long run, however, certain economic factors, such as the interest rate, the inflation rate, and the company's revenue growth rate, will cause a gradual shift in the stock price. Thus, in this paper, a differential equation model has been constructed in order to study the effects of these factors on the stock prices. The model obtained accurately describes the general trends in the AAPL and XOM stock price changes over the last ten years.
黄虹; 张恩焕; 孙红梅; 刘江会
2016-01-01
我国金融市场需要制度创新。启动融资融券后，股指波动之大前所未有，人们在质疑两融的作用。本文试图探索投资者情绪、市场情绪、融资融券和股指波动之间的影响路径，以免错杀制度创新本身。运用VAR模型研究发现，投资者情绪与股指波动之间相互影响，投资者情绪单向影响融资融券交易，而融资融券单向影响股指波动。再利用TARCH模型着重分析两融是否为投资者情绪影响股指波动的放大器，结果表明，两融并不会加大投资者情绪对股指波动的影响。所以，监管层需要正确估计新常态下制度变革的影响力，才能有效运用和发展金融风险管理工具，防止发生区域性金融风险。%China capital market need fundamental system innovation. Sincemargin trading began, the stock index has become unprecedented volatility,and many people question itsfunction. To avoid institutional innovation being wrongfully accusedof culprit,this paper tries to research the influence path among investor sentiment,market sentiment ( margin trading) and the fluctuation of stock index. Empirical proofs of VAR model show that there are significant interactions between investor emotion and returns of stock index, while investor emotion unilaterally influences short selling and margin trading,andthe latter also unilaterally influences the returns of stock index. Meanwhile, throughTARCH model, this paper emphatically analyzes whether margin trading is the amplifier of investor sentimentinfluencethe fluctuation of stock index or not. Finally,this study shows that margin trading does not increase the influenceof investor sentiment on the fluctuation of stock index. Therefore,only regulatorsadapt to the impact of system reformin the New Normal,can the capitalmarket utilizefinancial instrumentseffectivelyand guard against regional financial risks.
王洪波; 王国忠; 傅送保; 董奇; 吴桂波; 郑厚超
2016-01-01
简述了不同指标对聚酯产品质量的影响，分析了合成气经草酸酯加氢法乙二醇各项质量指标波动的原因，提出了控制合成气法乙二醇质量的关键点。%The effects of various quality indices for ethylene glycol on PET production were presented, and the reasons for the quality index fluctuation of ethylene glycol made from syngas via oxalate esters hydrogenation were analyzed. The crucial points to control ethylene glycol quality were pointed out.
Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price
2015-01-01
When natural gas prices are subject to periodic decoupling from oil prices, for instance due to peak-load pricing, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas-specific...
Metal prices in the United States through 2010
,
2013-01-01
prices, which has been helpful in the preparation of this publication. Prices in this report have been graphed in 1992 constant dollars to show the effects of inflation as measured by the U.S. Bureau of Labor Statistics Consumer Price Index for All Urban Consumers, a widely used measure of overall inflation in the United States. These prices are not tabulated, but a table of the deflators used is given in an appendix. Constant dollar prices can be used to show how prices that producers receive would have less purchasing power.
Calibration of a stock's beta using options prices
El Aoud, Sofiene; Abergel, Frédéric
2014-01-01
International audience; We present in our work a continuous time Capital Asset Pricing Model where the volatilities of the market index and the stock are both stochastic. Using a singular perturbation technique, we provide approximations for the prices of european options on both the stock and the index. These approximations are functions of the model parameters. We show then that existing estimators of the parameter beta, proposed in the recent literature, are biased in our setting because t...
Price learning during grocery shopping
Jensen, Birger Boutrup
Many attempts have been made to measure consumers' price knowledge for groceries. However, the results have varied considerably and conflict with results of reference price research. This is the first study to examine price knowledge before, during, and after store visit, thus enabling a study...... of what consumers learn about prices during grocery shopping. Three measures of price knowledge corresponding to different levels of price information processing were applied. Results indicate that price learning does take place and that episodic price knowledge after store exit is far more widespread...... than expected. Consequently, a new view of how consumer price knowledge evolves during grocery shopping is presented....
HAKAN SARITAŞ
2013-06-01
Full Text Available Proponents of the efficient market hypothesis believe that active portfolio management is largely wasted effort and unlikely to justify the expenses incurred. Therefore, they advocate a passive investment strategy that makes no attempt to outsmart the market. One common strategy for passive management is indexing where a fund is designed to replicate the performance of a broad-based index of stocks and bonds. Traditionally, indexing was used by institutional investors, but today, the use of index funds proliferated among individual investors. Over the years, both international and domestic index funds have disproportionately outperformed the market more than the actively managed funds have.
Krause, Sebastian M; Börries, Stefan; Bornholdt, Stefan
2015-07-01
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of a system of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive notion is to dampen electric power fluctuations from fluctuating sources (as, e.g., wind or solar) via a market mechanism, namely by variable power prices that adapt demand to supply. The standard model of an average economic agent predicts that fluctuations are reduced by such an adaptive pricing mechanism. However, the underlying assumption that the actions of all agents average out on the time axis is not always true in a market of many agents. We numerically study an econophysics agent model of an adaptive power market that does not assume averaging a priori. We find that when agents are exposed to source noise via correlated price fluctuations (as adaptive pricing schemes suggest), the market may amplify those fluctuations. In particular, small price changes may translate to large load fluctuations through catastrophic consumer synchronization. As a result, an adaptive power market may cause the opposite effect than intended: Power demand fluctuations are not dampened but amplified instead.
Price Discrimination in Academic Journals.
Joyce, Patrick; Merz, Thomas E.
1985-01-01
Analysis of price discrimination (charging different prices to different customers for same product) for 89 academic journals in 6 disciplines reveals: incidence of price discrimination rose between 1974 and 1984, increase in mean institutional (library) subscription price exceeded increase in mean individual subscription price. Journal list…
Qian, Xi-Yuan; Gu, Gao-Feng; Zhou, Wei-Xing
2011-11-01
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at different timescales. We propose to determine the local trends through empirical mode decomposition (EMD) and perform the detrending operation by removing the EMD-based local trends, which gives an EMD-based DFA method. Similarly, we also propose a modified multifractal DFA algorithm, called an EMD-based MFDFA. The performance of the EMD-based DFA and MFDFA methods is assessed with extensive numerical experiments based on fractional Brownian motion and multiplicative cascading process. We find that the EMD-based DFA method performs better than the classic DFA method in the determination of the Hurst index when the time series is strongly anticorrelated and the EMD-based MFDFA method outperforms the traditional MFDFA method when the moment order q of the detrended fluctuations is positive. We apply the EMD-based MFDFA to the 1 min data of Shanghai Stock Exchange Composite index, and the presence of multifractality is confirmed. We also analyze the daily Austrian electricity prices and confirm its anti-persistence.
Do Exchange Rates Really Help Forecasting Commodity Prices?
Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet
Chen et al. (2010) report that for ‘commodity currencies’, the exchange rate predicts the country’s commodity index but not vice versa. The commodity currency hypothesis is consistent with the Engle and West (2005) exchange rate model if the fundamental is chosen to be the country’s key export...... prices and if the latter are exogenous to the exchange rate dynamics. In our view, however, commodity prices are essentially financial asset prices that are set in a forward-looking way, exactly like exchange rates. If both the exchange rate and the commodity prices are based on discounted future...
Price regulation and generic competition in the pharmaceutical market
Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje
2009-01-01
In March 2003 the Norwegian government implemented yardstick based price regulation schemes on a selection of drugs experiencing generic competition. The retail price cap, termed “index price”, on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the 6 ...
The Pricing of Traffic Light Options and other Correlation Derivatives
Kokholm, Thomas
for the price of the correlation derivative known as the traffic light option under lognormality assumptions for the underlying processes. A pricing approach for more general payoffs is presented, and an illustration is performed with Monte Carlo simulation by the pricing of a specific hybrid derivative...... with payoff depending on the performance of a stock index and the spread between two LIBOR rates. Further, it is briefly described how the traffic light option can be used for hedging interest rate risk and stock price risk....
Fluctuation relations for spintronics.
López, Rosa; Lim, Jong Soo; Sánchez, David
2012-06-15
Fluctuation relations are derived in systems where the spin degree of freedom and magnetic interactions play a crucial role. The form of the nonequilibrium fluctuation theorems relies on the assumption of a local balance condition. We demonstrate that in some cases the presence of magnetic interactions violates this condition. Nevertheless, fluctuation relations can be obtained from the microreversibility principle sustained only at equilibrium as a symmetry of the cumulant generating function for spin currents. We illustrate the spintronic fluctuation relations for a quantum dot coupled to partially polarized helical edge states.
Oil prices and the stock prices of alternative energy companies
Henriques, Irene; Sadorsky, Perry [Schulich School of Business, 4700 Keele Street, Toronto, Ontario (Canada)
2008-05-15
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)
徐昱东; 徐坡岭
2015-01-01
基于向量误差修正模型（VECM）实证分析中俄两国本币对美元汇率的变动对国内价格（CPI）的影响，研究发现：中俄两国本币对美元汇率变动对本国国内价格的传递效应存在若干共性和差异性。共性主要表现在两个方面，一是汇率传递的不完全性；二是汇率对国内价格传递程度的绝对值相差无几。差异性方面，一是俄罗斯的汇率传递效应具有明显的非对称性；二是，汇率之外的影响国内价格的因素里面中国受国际价格影响较大，俄罗斯受国内货币供给影响较大。研究结果对判定两国应对外部汇率冲击时的表现、内在机制及其变化趋势具有重要意义，有利于分析两国在2008年金融危机之后推进本币国际化战略过程中遇到的人民币和卢布的竞争与合作问题。%Based on vector error correction model (VECM)empirical analysis of the effect of changes in the Chinese and Russian currency against the dollar on domestic prices (CPI),the study finds:There are several similarities and differences between Chinese and Russian currency exchange rate movements against the dollar pass-through effect on its domestic prices.Similarities can be summarized as two aspects,one is incomplete transfer effect of exchange rate,the other is that the transfer rate on domestic prices remains almost the same degree of ab-solute value.Differences can also be generalized as two points:firstly,Russia's exchange rate pass-through effect has obvious asymmetry;secondly,Chinese domestic prices are influenced greatly by international prices,while Russian domestic prices are influenced severely by the domestic money supply.These results are beneficial to the judgment of external shocks of exchange rate and the internal mechanism and its trends for both countries,contrib-uting to the further research on RMB internationalization strategies and processed competition and cooperation with Russia especially
Gjedsted Nielsen, Mads
This paper is the first to consider a large scale natural experiment to estimate the effect of taxes on house prices. We find that a 1 percentage-point increase in income tax rates lead to a drop in house prices of at most 2.2%. This corresponds to a tax capitalization for the average household o...
Manufacturer's Suggested Retail Prices
Rosenkranz, S.
2003-01-01
Based on arguments of the `reference- dependent' theory of consumer choice we assume that a retailer's discount of a manufacturer's suggested retail price changes consumers' demand. We can show that the producer benefits from suggesting a retail price. If consumers are additionally sufficiently `los
Poverty and price transmission
Elleby, Christian
A key parameter determining the welfare impact from a world market shock is the transmission elasticity which measures the average domestic response to an international price change. Many studies have estimated price transmission elasticities for a large number of countries but the variation in t...
2010-01-01
@@ Cotton prices have received a lot of attention recently.Cotton Incorporated especically designed this Special Edition of Supply Chain Insights to frame the discussion concerning prices throughout the cotton supply chain in terms of the cyclical events that contributed to recent volatility and how a return to long-term averages over time can be expected.
Nazliben, Kamil
2015-01-01
The dissertation consists of three chapters that represent separate papers in the area of asset pricing. The ﬁrst chapter studies investors optimal asset allocation problem in which mean reversion in stock prices is captured by explicitly modeling transitory and permanent shocks. The second chapter
Jin, Xin
Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no
World market integration of Vietnamese rice markets during the 2008 food price crisis
Luckmann, J.; Ihle, R.; Kleinwechter, U.; Grethe, H.
2015-01-01
World market prices of rice have been subject to large fluctuations in recent years. In mid 2008, prices reached levels never seen before. Vietnam is a major exporter of rice and rice is also the main staple food of the country. Given the importance of rice for domestic food security, the Vietnamese
World market integration of Vietnamese rice markets during the 2008 food price crisis
Luckmann, J.; Ihle, R.; Kleinwechter, U.; Grethe, H.
2015-01-01
World market prices of rice have been subject to large fluctuations in recent years. In mid 2008, prices reached levels never seen before. Vietnam is a major exporter of rice and rice is also the main staple food of the country. Given the importance of rice for domestic food security, the Vietnamese
Pricing European Options in Realistic Markets
Schaden, M
2002-01-01
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density conditional on the total variance of the asset's returns when the option expires. If the asset's future price has finite expectation, the option's fair value satisfies a parabolic partial differential equation of the Black-Scholes type in which the variance of the asset's returns rather than a trading time is the evolution parameter. By immunizing the portfolio against large-scale price fluctuations of the asset, the valuation of options is extended to the realistic case\\cite{St99} of assets whose short-term returns have finite variance but very large, or even infinite, higher moments. A dynamic Delta-hedged portfolio that is statically insured against exceptionally large fluctuations includes at least two different options on the asset. The fair value of an option in this c...
Price Formation by Bargaining and Posted Prices
Kultti, K.K.
1997-01-01
We study markets with two types of agents. Sellers have an indivisible good for sale, and their reservation value is zero. Buyers are randomly matched with sellers, and they value the good at unity. Sellers may be matched with any positive number of buyers, and they may choose to determine the price
廖翼
2015-01-01
利用大豆生产价格指数和豆油零售价格指数的季度数据,基于VAR(2)模型采用Johansen协整检验、Granger因果检验、脉冲响应函数和方差分解对我国大豆产品产销价格传导机制进行研究.结果表明:我国大豆产品产销价格间存在长期稳定的协整关系.大豆生产价格对豆油零售价格的影响较小,而大豆生产价格却显著受到豆油零售价格的影响,即大豆产业链上逆产业链方向的价格传导更为显著.为此,政府应重点加强对豆油零售价格的监测,有效运用目标价格补贴政策等调控手段,减少大豆产业异常价格波动给居民生活及大豆生产企业经营带来的不利影响.%This paper takes the quarterly data of soybean producer price index and soya-bean oil retail price index as samples to analyze the production and marketing price transmitting mechanism of soybean products in China.The analysis is based on the VAR(2) model,which mainly uses means like Johansen co-integration test,Granger causality test,impulse response func-tion and variable decomposition.The results show that,there is a long-term and stable co-integration relationship between the producer price and retail price.The impact of soybean producer price on soya-bean oil retail price is less than the impact of soya-bean oil retail price on soybean producer price,which means,the effect of the reverse price transmission of the soybean industry chain is more obvious.Therefore,the government should strengthen the monitoring on soya-bean retail price and take price support policy and some other means to prevent the abnormal fluctuation of soybean industry which may bring the adverse effects on people's lives and enterprises' management.
ALTERNATE PRICING STRATEGIES IN CONSTRUCTION
Krishna Mochtar
2000-01-01
Full Text Available Recent research findings on pricing strategies both in general and in construction are reviewed and explored. First%2C pricing strategy in general%2C mostly in the manufacturing industry%2C is reviewed. It includes the concepts of pricing strategy%2C predatory pricing%2C price wars%2C and price policy development. Second%2C pricing strategy in construction is explored. It includes various pricing models for bid price determination%2C such as the Friedman-Gates models%2C expected utility models%2C risk-pricing model%2C and the crew-day%2C multiple regression%2C and fuzzy-set pricing models. In conclusion%2C pricing strategies in construction are still predominantly based on a cost-based approach. More recent models try to close the gap between the models and the real life conditions of a bidder%5C%27s decision-making process. It appears that there are more problems in cost-based pricing as opposed to market-based pricing. Consequently%2C it is highly recommended that%2C alternative pricing approach such as that are closer to the proposed market-based pricing model need to be explored and developed for use in the construction industry. Abstract in Bahasa Indonesia : Pricing+strategy%2C+cost-based+pricing%2C+market-based+pricing.
DOMESTIC AND FORIGN FACTORS FOR STOCK PRICES IN INDONESIA
Rahajeng Cahyaning Putri Cipto
2011-09-01
Full Text Available Indonesia has been developing various sectors of its economy, and so it needs a huge amount of capital. Therefore, it has been putting a lot of efforts to develop its capital market. This paper analyzes the impacts of domestic and foreign factors on Indonesia stock price. Some considered domestic factors are interest rates, production index, and foreign exchange rates. Various considered foreign factors are Singapore and US stock prices. The paper uses Vector Error Correction Mechanism model to analyze the data. The estimation results suggest that all variables significantly influence Indonesia stock price, with Singapore stock price as the dominant factors.Keywords: Stock price, interest rates, exchange rates, production indexJEL classification numbers: G12, G15
7 CFR 1030.50 - Class prices, component prices, and advanced pricing factors.
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....
Market Confidence Predicts Stock Price: Beyond Supply and Demand
Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing
2016-01-01
Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price. PMID:27391816
Market Confidence Predicts Stock Price: Beyond Supply and Demand.
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.
Market Confidence Predicts Stock Price: Beyond Supply and Demand.
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.
Comparing Prices for Food and Diet Research: The Metric Matters.
Jones, N R V; Monsivais, P
2016-07-02
An important issue in research into access to healthy food is how best to compare the price of foods. The appropriate metric for comparison has been debated at length, with proponents variously stating that food prices should be compared in terms of their energy content, their edible mass, or their typical portion size. In this article we assessed the impact of using different food price metrics on the observed difference in price between food groups and categories of healthiness, using United Kingdom consumer price index data for 148 foods and beverages in 2012. We found that the choice of metric had a marked effect on the findings and conclude that this must be decided in advance to suit the reason for comparing food prices.
Fluctuation behaviors of financial return volatility duration
Niu, Hongli; Wang, Jun; Lu, Yunfan
2016-04-01
It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.
Asset Pricing - A Brief Review
Li, Minqiang
2010-01-01
I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal capital asset pricing model (ICAPM), and some other important modern concepts and techniques. Finally, I discuss the most recent development during the last decade and the outlook in the field of asset pricing.
张维; 韦立坚; 熊熊; 李根; 马正欣
2011-01-01
股指期货价格操纵一般具有期现跨市场联合操纵的特点,仅按单一市场从波动性分析去判别价格操纵行为是不够充分的。本文引入流动性分析为判别提供了更充分的依据：首先运用GARCH模型分析被操纵资产在波动性的异常变化,判断价格序列偏离了＂自然特性＂,具有被操纵的嫌疑;然后利用日交易量、日持仓量和Amivest流动性比率等指标分析流动性的异常变化,发现与根据跨市场操纵过程推测的变化一致,从而构成价格操纵行为的事实依据。%This paper aims to expand the method that we usually discriminate price manipulation behavior in accordance with the analysis of market volatility in the single market in view of the fact that stock index futures price manipulation bears the characteristics of cross-market.This paper firstly uses GARCH model to analyze the abnormal changes concerning the volatility of the manipulated assets,then comes to the conclusion that the price series deviate from the＂natural characteristics＂ and are suspected of being manipulated.Following this,it analyses the abnormal change of volatility by use of the daily trading volume daily positions and Amivest liquidity ratios indicators and finds out that price manipulation behavior exerts a big impact upon the liquidity changes.And then,it comes to the final conclusion that the liquidity changes are consistent with the manipulation processes,so it forms the factual basis of the existence of the price manipulation behavior.
Random Matrix Approach to Fluctuations and Scaling in Complex Systems
Santhanam, M. S.
The study of fluctuations, self-similarity and scaling in physical and socioeconomic sciences in the last several years has brought in new insights and new ideas for modelling them. For instance, one of the important empirical results of the market dynamics is that the probability distribution of price returns r in a typical market displays a power-law, i.e, (P|r| > x) ˜ r -α , where α ˜ 3.0 [1]. In fact, this "inverse cube law" is known to hold good for volume of stocks traded in stock exchanges, though the exponent in this case is α ˜ 1.5 [1]. Similar power laws appear for the cumulative frequency distribution of earth quake magnitudes, often called the Gutenberg-Richter relation [2]. Infect, anything from size distribution of cities and wealth distributions, display power law. These apparently universal power laws pertain to the distribution of actual values taken by some quantity of interest, say, a stock market index and these distributions reveal scaling with certain parameters.
Multifractal characterization of gold market: A multifractal detrended fluctuation analysis
Mali, Provash; Mukhopadhyay, Amitabha
2014-11-01
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world’s highest gold consuming countries, namely China, India and Turkey for the period: 1993-July 2013. Various multifractal variables, such as the generalized Hurst exponent, the multifractal exponent and the singularity spectrum, are calculated and the results are fitted to the generalized binomial multifractal (GBM) series that consists of only two parameters. Special emphasis is given to identify the possible source(s) of multifractality in these series. Our analysis shows that the CPI series and all three market series are of multifractal nature. The origin of multifractality for the CPI time series and Indian market series is found due to a long-range time correlation, whereas it is mostly due to the fat-tailed probability distributions of the values for the Chinese and Turkey markets. The GBM model series more or less describes all the time series analyzed here.
Lee, Bruce Y; McGlone, Sarah M
2010-08-01
New vaccine pricing is a complicated process that could have substantial long-standing scientific, medical, and public health ramifications. Pricing can have a considerable impact on new vaccine adoption and, thereby, either culminate or thwart years of research and development and public health efforts. Typically, pricing strategy consists of the following ten components: 1. Conduct a target population analysis; 2. Map potential competitors and alternatives; 3. Construct a vaccine target product profile (TPP) and compare it to projected or actual TPPs of competing vaccines; 4. Quantify the incremental value of the new vaccine's characteristics; 5. Determine vaccine positioning in the marketplace; 6. Estimate the vaccine price-demand curve; 7. Calculate vaccine costs (including those of manufacturing, distribution, and research and development); 8. Account for various legal, regulatory, third party payer, and competitor factors; 9. Consider the overall product portfolio; 10. Set pricing objectives; 11. Select pricing and pricing structure. While the biomedical literature contains some studies that have addressed these components, there is still considerable room for more extensive evaluation of this important area.
Dynamic Hybrid Model for Short-Term Electricity Price Forecasting
Marin Cerjan
2014-05-01
Full Text Available Accurate forecasting tools are essential in the operation of electric power systems, especially in deregulated electricity markets. Electricity price forecasting is necessary for all market participants to optimize their portfolios. In this paper we propose a hybrid method approach for short-term hourly electricity price forecasting. The paper combines statistical techniques for pre-processing of data and a multi-layer (MLP neural network for forecasting electricity price and price spike detection. Based on statistical analysis, days are arranged into several categories. Similar days are examined by correlation significance of the historical data. Factors impacting the electricity price forecasting, including historical price factors, load factors and wind production factors are discussed. A price spike index (CWI is defined for spike detection and forecasting. Using proposed approach we created several forecasting models of diverse model complexity. The method is validated using the European Energy Exchange (EEX electricity price data records. Finally, results are discussed with respect to price volatility, with emphasis on the price forecasting accuracy.
Gasoline prices and their relationship to drunk-driving crashes.
Chi, Guangqing; Zhou, Xuan; McClure, Timothy E; Gilbert, Paul A; Cosby, Arthur G; Zhang, Li; Robertson, Angela A; Levinson, David
2011-01-01
This study investigates the relationship between changing gasoline prices and drunk-driving crashes. Specifically, we examine the effects of gasoline prices on drunk-driving crashes in Mississippi by several crash types and demographic groups at the monthly level from 2004 to 2008, a period experiencing great fluctuation in gasoline prices. An exploratory visualization by graphs shows that higher gasoline prices are generally associated with fewer drunk-driving crashes. Higher gasoline prices depress drunk-driving crashes among young and adult drivers, among male and female drivers, and among white and black drivers. Results from negative binomial regression models show that when gas prices are higher, there are fewer drunk-driving crashes, particularly among property-damage-only crashes. When alcohol consumption levels are higher, there are more drunk-driving crashes, particularly fatal and injury crashes. The effects of gasoline prices and alcohol consumption are stronger on drunk-driving crashes than on all crashes. The findings do not vary much across different demographic groups. Overall, gasoline prices have greater effects on less severe crashes and alcohol consumption has greater effects on more severe crashes.
Crude oil prices: Speculation versus fundamentals
Kolodziej, Marek Krzysztof
Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive
Chalasani, P.; Saias, I. [Los Alamos National Lab., NM (United States); Jha, S. [Carnegie Mellon Univ., Pittsburgh, PA (United States)
1996-04-08
As increasingly large volumes of sophisticated options (called derivative securities) are traded in world financial markets, determining a fair price for these options has become an important and difficult computational problem. Many valuation codes use the binomial pricing model, in which the stock price is driven by a random walk. In this model, the value of an n-period option on a stock is the expected time-discounted value of the future cash flow on an n-period stock price path. Path-dependent options are particularly difficult to value since the future cash flow depends on the entire stock price path rather than on just the final stock price. Currently such options are approximately priced by Monte carlo methods with error bounds that hold only with high probability and which are reduced by increasing the number of simulation runs. In this paper the authors show that pricing an arbitrary path-dependent option is {number_sign}-P hard. They show that certain types f path-dependent options can be valued exactly in polynomial time. Asian options are path-dependent options that are particularly hard to price, and for these they design deterministic polynomial-time approximate algorithms. They show that the value of a perpetual American put option (which can be computed in constant time) is in many cases a good approximation to the value of an otherwise identical n-period American put option. In contrast to Monte Carlo methods, the algorithms have guaranteed error bounds that are polynormally small (and in some cases exponentially small) in the maturity n. For the error analysis they derive large-deviation results for random walks that may be of independent interest.
Sodhi, ManMohan S; Sodhi, Navdeep S
2005-05-01
Many companies are now good at managing costs and wringing out manufacturing efficiencies. The TQM movement and the disciplines of Six Sigma have seen to that. But the discipline so often brought to the cost side of the business equation is found far less commonly on the revenue side. The authors describe how a global manufacturer of industrial equipment, which they call Acme Incorporated, recently applied Six Sigma to one major revenue related activity--the price-setting process. It seemed to Acme's executives that pricing closely resembled many manufacturing processes. So, with the help of a Six Sigma black belt from manufacturing, a manager from Acme's pricing division recruited a team to carry out the five Six Sigma steps: Define what constitutes a defect. At Acme, a defect was an item sold at an unauthorized price. Gather data and prepare it for analysis. That involved mapping out the existing pricing-agreement process. Analyze the data. The team identified the ways in which people failed to carry out or assert effective control at each stage. Recommend modifications to the existing process. The team sought to decrease the number of unapproved prices without creating an onerous approval apparatus. Create controls. This step enabled Acme to sustain and extend the improvements in its pricing procedures. As a result of the changes, Acme earned dollar 6 million in additional revenue on one product line alone in the six months following implementation--money that went straight to the bottom line. At the same time, the company removed much of the organizational friction that had long bedeviled its pricing process. Other companies can benefit from Acme's experience as they look for ways to exercise price control without alienating customers.
Poverty and price transmission
Elleby, Christian
A key parameter determining the welfare impact from a world market shock is the transmission elasticity which measures the average domestic response to an international price change. Many studies have estimated price transmission elasticities for a large number of countries but the variation in t...... growth but the relationship is less significant. The finding that food prices in middle-income countries increased the most during the food crises is a cause for concern in light of the fact that the majority of the world's poor today live in middle-income countries....
Pasaribu, Rowland Bismark Fernando
2010-01-01
The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The Arbitrage Pricing Theory (APT) has been proposed as the first multifactor succ...
华仁海
2004-01-01
This paper investigates the day of the week effect on China futures markets returns and conditionalvariance(volatility)using the GARCH model. Results obtained indicate that both futures price returns andvolatility of copper, aluminum, rubber in Shanghai Futures Exchange and soybean in ZhengzhouCommodity Exchange have no day of the week effect, but futures price returns and volatility of wheat inDalian Commodity Exchange have no day of the week effect.
Edgeworth Price Cycles, Cost-based Pricing and Sticky Pricing in Retail Gasoline Markets
Noel, Michael
2004-01-01
This paper examines dynamic pricing behavior in retail gasoline markets for 19 Canadian cities over 574 weeks. I find three distinct retail pricing patterns: 1. cost-based pricing, 2. sticky pricing, and 3. steep, asymmetric retail price cycles that, while seldom documented empirically, resemble those of Maskin & Tirole[1988]. Using a Markov switching regression, I estimate the prevalence of patterns and the structural characteristics of the cycles. Retail price cycles prevail in over 40% of ...
Soni, Jalpa; Ghosh, Sayantan; Pradhan, Asima; Sengupta, Tapas K; Panigrahi, Prasanta K; Ghosh, Nirmalya
2011-01-01
The refractive index fluctuations in the connective tissue layer (stroma) of human cervical tissues having different grades of precancers (dysplasia) was quantified using a wavelet-based multifractal detrended fluctuation analysis model. The results show clear signature of multi-scale self-similarity in the index fluctuations of the tissues. Importantly, the refractive index fluctuations were found to be more anti-correlated at higher grades of precancers. Moreover, the strength of multifractality was also observed to be considerably weaker in higher grades of precancers. These results were further complemented by Fourier domain analysis of the spectral fluctuations.
Do higher oil prices push the stock market into bear territory?
Chen, Shiu-Sheng [Department of Economics, National Taiwan University, No. 21, Hsu-Chow Road, Taipei (China)
2010-03-15
This paper investigates whether a higher oil price pushes the stock market into bear territory, by using time-varying transition-probability Markov-switching models. It examines different measures of oil price shocks. Empirical evidence from monthly returns on the Standard and Poor's S and P 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging. (author)
Irving Fisher and Price-Level Targeting in Austria: Was Silver the Answer?
Richard C. K. Burdekin; Kris James Mitchener; Marc D. Weidenmier
2011-01-01
The question of price level versus inflation targeting remains controversial. Disagreement concerns, not so much the desirability of price stability, but rather the means of achieving it. Irving Fisher argued for a commodity dollar standard where the purchasing power of money was fixed by indexing it to a basket of commodities. We show that movements in the price of silver closely track the movements in overall prices during the classical gold standard era. The one-to-one relationship between...
陶启智; 李亮; 郭姝辛
2015-01-01
以沪深300股指期货自推出至今的1分钟数据作为研究样本，使用BEEK‐GARCH模型量化沪深300股指期货和现货市场的价格发现能力及波动溢出效应。研究发现，我国期货市场成立初期并未发挥其价格发现功能，这一现象随着市场成熟度增加而逐渐改善，期货市场在价格发现过程中占主要地位。通过GARCH 模型对收益率调整过程进行估计，发现市场之间存在双向波动溢出效应：短期内表现出均值回归；长期来看，误差修正项系数显著异于0，符合调整的负反馈性质，价格偏差会被纠正从而达到长期均衡。%With the 1 minute interval data up to the present time of the CSI 300 stock index futures as the samples ,this paper quantitatively studies the price discovery and volatility spillover of the CSI 300 stock index futures and spot markets ,using the BEEK‐GARCH model .The impulse response function and vari‐ance decomposition are used to imply the price discovery ,w hich show s that the future market plays a more important role .A vector error correction model is built to describe the dynamic adjustment of the futures and spot price of stock indexes .The result shows that there exists a two‐way granger causal relationship between the futures and the spots ,as well as a volatility spillover effect .The regression will return to the mean in the short run and satisfies the negative feedback of the correction that the existence of arbitrage will adjust the bias to the equilibrium in the long run .
The price of fixed income market volatility
Mele, Antonio
2015-01-01
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...
Price Recall, Bertrand Paradox and Price Dispersion With Elastic Demand
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 pric
Hadronic Correlations and Fluctuations
Koch, Volker
2008-10-09
We will provide a review of some of the physics which can be addressed by studying fluctuations and correlations in heavy ion collisions. We will discuss Lattice QCD results on fluctuations and correlations and will put them into context with observables which have been measured in heavy-ion collisions. Special attention will be given to the QCD critical point and the first order co-existence region, and we will discuss how the measurement of fluctuations and correlations can help in an experimental search for non-trivial structures in the QCD phase diagram.
Continuous information flow fluctuations
Rosinberg, Martin Luc; Horowitz, Jordan M.
2016-10-01
Information plays a pivotal role in the thermodynamics of nonequilibrium processes with feedback. However, much remains to be learned about the nature of information fluctuations in small-scale devices and their relation with fluctuations in other thermodynamics quantities, like heat and work. Here we derive a series of fluctuation theorems for information flow and partial entropy production in a Brownian particle model of feedback cooling and extend them to arbitrary driven diffusion processes. We then analyze the long-time behavior of the feedback-cooling model in detail. Our results provide insights into the structure and origin of large deviations of information and thermodynamic quantities in autonomous Maxwell's demons.
Benenti, Giuliano; Casati, Giulio; Guarneri, Italo; Terraneo, Marcello
2001-07-02
We numerically analyze quantum survival probability fluctuations in an open, classically chaotic system. In a quasiclassical regime and in the presence of classical mixed phase space, such fluctuations are believed to exhibit a fractal pattern, on the grounds of semiclassical arguments. In contrast, we work in a classical regime of complete chaoticity and in a deep quantum regime of strong localization. We provide evidence that fluctuations are still fractal, due to the slow, purely quantum algebraic decay in time produced by dynamical localization. Such findings considerably enlarge the scope of the existing theory.
Pérez-Espigares, Carlos; Redig, Frank; Giardinà, Cristian
2015-08-01
For non-equilibrium systems of interacting particles and for interacting diffusions in d-dimensions, a novel fluctuation relation is derived. The theorem establishes a quantitative relation between the probabilities of observing two current values in different spatial directions. The result is a consequence of spatial symmetries of the microscopic dynamics, generalizing in this way the Gallavotti-Cohen fluctuation theorem related to the time-reversal symmetry. This new perspective opens up the possibility of direct experimental measurements of fluctuation relations of vectorial observables.
[Study on early-warning of Chinese materia medica price base on ARMA model].
Chang, Feng; Mao, Yang-Dui
2014-05-01
This study sets up an early-warning system framework of Chinese materia medica price, using price index as early warning indicator to establish black early-warning model, with indicator of price index volatility and limit line of "price principal". The research divides warning degree into 5 parts named negative heavy warning, negative light warning, no warning, positive light warning and positive heavy warning, with 5 corresponding lights to describe the change level of the medicine price. Then make an early-warning empirical research based on Chengdu Chinese materia medica price index from December in 2010 to October in 2013. ARMA model is applied to forecast index and the result of early-warning is analyzed, and finally farmer households, companies, customers and the government are recommended respectively.
National Oceanic and Atmospheric Administration, Department of Commerce — Real-time price data collected by the Boston Market News Reporter. The NOAA Fisheries' "Fishery Market News" began operations in New York City on February 14, 1938....
National Oceanic and Atmospheric Administration, Department of Commerce — Standard prices are generated for cost recovery programs in the Individual Fishing Quota (IFQ) halibut and sablefish, BSAI Rationalized crab, and Central Gulf of...
Fischer, Richard B.
1986-01-01
Defines key terms and discusses things to consider when setting fees for a continuing education program. These include (1) the organization's philosophy and mission, (2) certain key variables, (3) pricing strategy options, and (4) the test of reasonableness. (CH)
Regulation of Pharmaceutical Prices
Kaiser, Ulrich; Méndez, Susan J.; Rønde, Thomas;
drugs, generics, and parallel imports with health care expenditures and producer revenues decreasing and co-payments increasing most for branded drugs. The reform also induced consumers to substitute from branded drugs – for which they have strong preferences – to generics and parallel imports......Reference prices constitute a main determinant of patient health care reimbursement in many countries. We study the effects of a change from an "external" (based on a basket of prices in other countries) to an "internal" (based on comparable domestic products) reference price system. We find...... that while our estimated consumer compensating variation is small, the reform led to substantial reductions in list and reference prices as well as co-payments, and to sizeable decreases in overall producer revenues, health care expenditures, and co-payments. These effects differ markedly between branded...
Regulation of Pharmaceutical Prices
Kaiser, Ulrich; Méndez, Susan J.; Rønde, Thomas;
2014-01-01
drugs, generics, and parallel imports with health care expenditures and producer revenues decreasing and co-payments increasing most for branded drugs. The reform also induced consumers to substitute from branded drugs – for which they have strong preferences – to generics and parallel imports......Reference prices constitute a main determinant of patient health care reimbursement in many countries. We study the effects of a change from an "external" (based on a basket of prices in other countries) to an "internal" (based on comparable domestic products) reference price system. We find...... that while our estimated consumer compensating variation is small, the reform led to substantial reductions in list and reference prices as well as co-payments, and to sizeable decreases in overall producer revenues, health care expenditures, and co-payments. These effects differ markedly between branded...
Technical analysis of stock prices using Elliot wave theory and Fibonacci number
Rattana Charussaengsuriya; Tawewan Tharnpipat
2012-01-01
The study of technical analysis of stock prices using Elliot Wave Theory and Fibonacci Number focused on percentage analyzing to test the stock prices according to the theory and the actual stock prices. The secondary data of the study gathered from the daily price index summary between 1st January 2009 to 31st December 2011 of SET index, Bank index and three Thai banks which are Bangkok bank(BBL), Siam Commercial bank (SCB) and Kasikorn bank (KBANK). The results of the study shown that there...
[Prudent use price controls in Chinese medicines market: based on statistical data analysis].
Yang, Guang; Wang, Nuo; Huang, Lu-Qi; Qiu, Hong-Yan; Guo, Lan-Ping
2014-01-01
A dispute about the decreasing-price problem of traditional Chinese medicine (TCM) has recently arisen. This article analyzes the statistical data of 1995-2011 in China, the results showed that the main responsibility of expensive health care has no direct relationship with the drug price. The price index of TCM rose significantly slower than the medicine prices, the production margins of TCM affected by the material prices has been diminishing since 1995, continuous price reduction will further depress profits of the TCM industry. Considering the pros and cons of raw materials vary greatly in price, decreasing medicine price behavior will force enterprises to use inferior materials in order to maintain corporate profits. The results have the guiding meaning to medicine price management.
Empirical Study on the Volatility of the Hang-Seng Index
CAI Shi-Min; ZHOU Pei-Ling; YANG Hui-Jie; YANG Chun-Xia; WANG Bing-Hong; ZHOU Tao
2006-01-01
@@ We study the statistical properties of volatility of price fluctuation for the Hang-Seng index in the Hong Kong stock market, they are measured by locally averaging over a time window T, the absolute value of price change over a short time interval △t. The data include minute-by-minute records of the Hang-Seng index from 3 January 1994 to 28 May 1997. We find that the cumulative distribution of the volatility is consistent with the asymptotic power-law behaviour, characterized by the power exponent μ = 2.12 ± 0.04, different from that found in the previous studies as μ≈ 3. The volatility distribution remains the same asymptotic power-law behaviour for the time scales from T = 10 min to T = 80 min. Furthermore, we investigate the volatility correlations by using the power spectrum analysis and detrended fluctuation analysis. Both the methods show a long-range power-law decay with the exponent α = 0.636 ± 0.002.
Empirical Study on the Volatility of the Hang-Seng Index
Cai, Shi-Min; Zhou, Pei-Ling; Yang, Hui-Jie; Yang, Chun-Xia; Wang, Bing-Hong; Zhou, Tao
2006-03-01
We study the statistical properties of volatility of price fluctuation for the Hang-Seng index in the Hong Kong stock market, they are measured by locally averaging over a time window T, the absolute value of price change over a short time interval Δt. The data include minute-by-minute records of the Hang-Seng index from 3 January 1994 to 28 May 1997. We find that the cumulative distribution of the volatility is consistent with the asymptotic power-law behaviour, characterized by the power exponent μ = 2.12+/-0.04, different from that found in the previous studies as μapprox3. The volatility distribution remains the same asymptotic power-law behaviour for the time scales from T = 10 min to T = 80 min. Furthermore, we investigate the volatility correlations by using the power spectrum analysis and detrended fluctuation analysis. Both the methods show a long-range power-law decay with the exponent α = 0.636+/-0.002.
VĂDUVA MARIA
2014-08-01
Full Text Available Studying the consumer’s behavior by the ordinal approach of utility with the help of indifference curves allows us to deduce the two “movement laws of demand” in this chapter: the demand for a “normal” good is decreasing function of its price and an increasing function of income. We will use the elasticity concept to measure the intensity of the relation that is established between the demand, on the one hand, and prices or income, on the other hand: elasticity – price, direct and crossed, and elasticity – income. We can classify the goods in many categories, depending on the values that this elasticity takes. The demand elasticity can be determined depending on price and income. It reflects the proportion in which the demand for different products changes with the modification of the consumers’ income, the other factors remaining constant. The elasticity compared to the income is a demonstration of legality from the consumer’s sphere, which determines a certain hierarchy of the needs of each population category in a certain level of income. The movement of prices orients both the options and decisions of producers, namely the most useful productions and the most efficient investments, as well as the consumers’ options and decisions on the most advantageous buying of goods and services that they need. The prices appear as a “signal system” coordinating and making coherence the economic agents’ decisions – producers, consumers and population.
Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India
Menggen Chen
2014-08-01
Full Text Available Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.