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The Effects of Prediction Market Design and Price Elasticity on Trading Performance of Users: An Experimental Analysis
Prediction market market design market making price elasticity idea evaluation
2012/4/28
We employ a 2x3 factorial experiment to study two central factors in the design of prediction markets (PMs) for idea evaluation: the overall design of the PM, and the elasticity of market prices set b...
Price and Quantity Trajectories: Second-order Dynamics
disequilibrium economics Walrasian adjustment Marshallian adjustment SMD theorem Helmholtz-Hodge decomposition theorem
2012/4/28
In two previous papers the author developed a second-order price adjustment (t\^atonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate thre...
Optimal execution and price manipulations in time-varying limit order books
Market impact model optimal order execution limit order book market makers price manipulation
2012/4/28
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
Drift dependence of optimal order execution strategies under transient price impact
Drift dependence of optimal order execution strategies transient price impact Trading and Market Microstructure
2012/4/28
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with expo...
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
Price Jump Prediction in Limit Order Book
Price Jump Prediction Limit Order Book Trading and Market Microstructure
2012/4/28
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity bala...
Price Indexes, Inequality, and the Measurement of WorldPoverty
WorldPoverty Price Indexes Inequality
2014/3/25
I discuss the measurement of world poverty and inequality, with particular
attention to the role of purchasing power parity (PPP) price indexes from the
International Comparison Project. Global ineq...
National and international statistical systems are strangely reticent on differences
in price levels within countries. Nations as diverse as India and the United States
publish inflation rates for...
Producer price disparities in the EU agriculture: divergence or convergence?
convergence EU agriculture producer prices integration agricultural markets
2014/2/24
The issue of price disparities in the EU commodity markets has given rise to a fair amount of empirical and theoretical research. Price convergence studies were generally on the aggregate level, and i...
Scarcity, resource price uncertainty, and economic growth
resource scarcity economic growth technological change output growth
2011/10/5
Over the course of the past decade, significant steps have been taken to empirically link indicators of resource scarcity to changes in economic growth. This paper extends this previous literature in ...
The Failure of Price Competition in the Turkish Credit Card Market
banking credit cards price competition system GMM
2011/8/23
The failure of competition and the consequent high and sticky interest rates in credit card markets have recently been the subject of considerable debate and research. This paper presents the first re...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
Stock Price Processes with Infinite Source Poisson Agents
fractional Brownian motion arbitrage stock price model stable L´ evy motion long-range dependence self-similarity
2011/7/5
We construct a general stochastic process and prove weak convergence results. It
is scaled in space and through the parameters of its distribution. We show that
our simplified scaling is equivalent ...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...