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Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
Non - Randomness Stock Market Price Model (Amended)
Market Price Model Non - Randomness Stock
2011/7/22
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Stochastic impulse control on optimal execution with price impact and transaction cost
Price impact impulse control dynamic programming vis-cosity solutions
2011/3/30
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of...
COMMODITY PRICE VOLATILITY: THE IMPACT OF COMMODITY INDEX TRADERS
COMMODITY PRICE VOLATILITY: THE IMPACT OF COMMODITY INDEX TRADERS
2014/4/11
The dramatic rise in crop prices that occurred in the fall of 2006 was the beginning of an unprecedented level of volatility in agricultural markets. Corn prices for most of this decade have fluctuate...
Shocks in financial markets, price expectation, and damped harmonic oscillators
modified damped harmonic price expectations reaction of financial markets
2011/3/30
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gath...
Volatility of agrarian markets aimed at the price development
world prices volatility supply demand agri-food commodities
2014/2/27
Significant price volatility has been observed at the world agri-food markets in these latter years. It has been caused by the triggers of the so-called market shocks that negatively influenced the st...
Extension theorems for linear operators on $L_\infty$ and application to price systems
linear operators equivalent martingale measures price systems
2011/3/23
In an $L_\infty$-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then ...
Non - Randomness Stock Market Price Model
Non - Randomness Stock Market Price Model everywhere discontinuous function
2011/3/23
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
trading activity electronic on-book dealership off-book
2011/3/23
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market m...
Exchange Rates and the Consumer Price Index in Nigeria: A Causality Approach
Consumer Price Index Official Exchange Rates
2011/6/1
This paper was motivated by the need to establish the impact of importation into Nigeria and its main objectives were to find out the significant relationships between the official and parallel exchan...
Studies of the limit order book around large price changes
limit order book large price changes
2010/10/29
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volat...
An Analytical Optimal Strategy of the Forest Asset Dynamic Management under Stochastic Timber Price and Growth: A Portfolio Approach
Forest Management Analytical Stochastic Price and Growth Portfolio Carbon Subsidies
2013/2/25
Considering the valuation of forest stands based on revenue from wood sales, concession policy (such as carbon sub- sidies) and associated costs, the paper focuses on the stochastic control model to s...
In April 2009, we introduced a model representing the evolution of motor fuel price (a subcategory of the consumer price index of transportation) relative to the overall CPI as a linear function of ti...
In this paper, we apply the theory of rational expectation bubbles to the Chinese house market. Rational expectation bubbles imply that negative returns on house prices are, theoretically, less likely...
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit o...