搜索结果: 31-45 共查到“应用经济学 Prices”相关记录51条 . 查询时间(0.062 秒)
The focus of this study is to identify the determinants of share prices in the Indian market.
Modeling and forecasting volatility in global food commodity prices
volatility forecast fat-tail distribution food commodities
2014/2/27
To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results base...
On the Existence of Bertrand-Nash Equilibrium Prices Under Logit Demand
Bertrand-Nash Equilibrium Prices Logit Demand
2011/1/4
This article presents a proof of the existence of Bertrand-Nash equilibrium prices with multi-product firms and under the Logit model of demand that does not rely on restrictive assumptions on product...
Joint Modelling of Gas and Electricity spot prices
Electricity markets spot price modelling ergodic diffusion
2010/11/2
The recent liberalization of the electricity and gas markets has resulted in the growth of
energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity
spot prices...
Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices
spectral analysis noise reduction Rademacher distribution
2010/10/21
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior...
Approximations and asymptotics of upper hedging prices in multinomial models
Black-Scholes-Barenblatt equation contingent claim Cox-Ross-Rubinstein
2010/10/21
We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show t...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
THE IMPLICATIONS OF THE WTO NEGOTIATIONS ON THE CANADIAN CHICKEN MARKET: TWO REPRESENTATIONS OF CHICKEN AND STOCHASTIC WORLD PRICES
THE IMPLICATIONS THE WTO NEGOTIATIONS THE CANADIAN CHICKEN MARKET: TWO REPRESENTATIONS CHICKEN AND STOCHASTIC WORLD PRICES
2014/4/11
Current Doha Development Agenda (DDA) World Trade Organisation negotiations include proposals that would affect the trade barriers that protect Canada’s chicken producers from foreign competition. Th...
Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...
Gone Fishin': Seasonality in Trading Activity and Asset Prices
Gone Fishin' Seasonality in Trading Activity Asset Prices
2014/3/18
We use seasonality in stock trading activity associated with summer vacation as a source of exogenous variation to study the relationship between trading volume and expected return. Using data from 51...
Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
Crude Oil Future Price ANN Prediction Models
2010/11/1
This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal
of attention was paid on ...
We propose the development of a prediction market for forecasting prices for “toxic assets” to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows mark...
RAW MATERIAL PRICES, WAGES, AND PROFITABILITY IN CHINA’S INDUSTRY—HOW WAS PROFITABILITY MAINTAINED WHEN INPUT PRICES AND WAGES INCREASED SO FAST?
China profitability commodity price raw material wage
2009/1/16
China’s industrial sector has faced large increases in raw material prices, and wages have also risen significantly. This paper aims at analyzing and quantifying the impact of the cost pressures on th...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
Stochastic Volatility Models Including Open, Close, High and Low Prices
Stochastic Volatility Models Prices
2010/10/29
Mounting empirical evidence suggests that the observed extreme prices within a trading
period can provide valuable information about the volatility of the process within that period. In this paper we...