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Price deflation has long been a bugaboo of economics; cordially hated, reviled
and feared by practically everyone. There is some justice in these sentiments when the
price deflation comes about as a...
The Price of Sin: The Effects of Social Norms on Markets
The Price of Sin The Effects Social Norms Markets
2014/3/18
We provide evidence for the effects of social norms on markets by studying “sin” stocks—publicly traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a soc...
New procedures for testing whether stock price processes are martingales
betting strategy efficient market hypothesis (EMH) game-theoretic probability sequential test
2010/11/1
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock p...
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 ...
The first of the Millennium Development Goals targets global poverty. The numbers that support this goal are estimated by the World Bank, and come from a worldwide count of people who live below a com...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information cost of capital
2009/5/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multip...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...
A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
Price Earnings Momentum
2014/3/18
We examine the role of investor attention in explaining the profitability of price
and earnings momentum strategies. Using trading volume and market state to
measure cross-sectional and time-serie...
Price Impact
Price Impact
2010/10/29
Price impact refers to the correlation between an incoming order (to buy or to sell) and the subsequent price change. That a buy trade should push the price up seems at first sight obvious and is easi...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter VII Of the Natural and Market Price of Commodities
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密 Market
2009/2/12
There is in every society or neighbourhood an ordinary or average rate both of wages and profit in every different employment of labour and stock. This rate is naturally regulated, as I shall show her...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter VI Of the Component Parts of the Price of Commodities
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密
2009/2/12
In that early and rude state of society which precedes both the accumulation of stock and the appropriation of land, the proportion between the quantities of labour necessary for acquiring different o...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter V Of the Real and Nominal Price of Commodities, or of their Price in Labour, and their Price in Money
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密 Money
2009/2/12
Every man is rich or poor according to the degree in which he can afford to enjoy the necessaries, conveniencies, and amusements of human life.*1 But after the division of labour has once thoroughly t...
Procuring Commodities: First Price Sealed Bid or English Auction?
EA constant absolute mark-up constant percentage mark-up strategic best response
2011/4/2
I use laboratory experiments to examine the relative performance of the English auction (EA) and the first price sealed bid auction (FPA) when procuring a commodity. The mean and variance of prices ar...
Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
newsvendor problem price of anarchy convex optimization inequalities geometric interpretation
2010/11/1
Price of anarchy, the performance ratio, which could characterize the loss of efficiency of the distributed supply chain management compared with the integrated supply chain management
is discussed b...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...