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Two-sided estimates for stock price distribution densities in jump-diffusion models
Stochastic volatility models Jump-diffusion models Stock
2010/10/20
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Simila...
Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
interacting many-investor dynamics Price Formation Non-extensive Statistics
2010/4/28
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known...
Determinants of agricultural chemical price in China’s export-oriented vegetable production area
agricultural chemical China export-oriented vegetable production hedonic price spatial
2014/4/2
Agricultural chemicals may have an adverse impact on environment and food safety. The demand prices of such chemicals reveal farmers’ willingness to pay and their preferences. This article examines th...
The relations between the rent and price of agricultural land in the EU countries
price of land land rent capitalization rate payback period
2014/4/1
The price of agricultural land and its value are of importance when forming the production potential of agricultural enterprises. The price of land marked an irregular development in the period 2006–2...
Price indexes, inequality, and the measurement of world poverty
Price indexes inequality measurement of world poverty
2014/3/17
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 inequa...
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
Should Goldman Sachs and Morgan Stanley try to get half price on the TARP warrants?
bailout options TARP valuation warrants
2010/10/18
The cancellation provisions in the Troubled Asset Relief Program (TARP) warrant
agreements loom large for the investment banks Goldman Sachs and Morgan Stanley in the
summer of 2009. These banks cou...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
stock market index (DAX) oil price time series
2010/10/18
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
New Financial Research Program: General Option-Price Wave Modeling
General option-price wave modeling new financial research program
2010/10/18
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to...
Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?
Security Transaction Volume-Price Behavior Wave
2010/10/18
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We ...
A Security Price Volatile Trading Conditioning Model
Security Price Trading Conditioning Model
2010/10/18
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probabili...
On the semimartingale property of discounted asset-price processes
semimartingale property discounted asset-price processes
2010/12/17
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, ...
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
MIT commercial property price index posts record drop--Gauge declines 18 percent in second quarter, but signs of bottom appear
commercial property price index bottom
2009/8/10
Transaction prices of commercial property sold by major institutional investors fell by 18 percent in the second quarter of 2009, according to an index developed and published by the MIT Center for Re...
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
Liquidity Crisis Granularity of the Order Book Price Fluctuations
2010/10/29
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...