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Determining fluctuations and cycles of corn price in Iran
corn GARCH harmonic pattern Iran agricultural mercantile exchange price fluctuations
2014/2/24
Corn is the third important agricultural product. It is an important input in the poultry production and the basic elements of edible oil, starch, glucose, and raw material in industrial production of...
Price and location equilibria in a circular market: a pure vs a mixed duopsony with a co-operative
circular spatial competition market power mixed oligopsony
2014/2/24
The objective of the present paper is to analyze the location-price competition in circular markets where the power lies with the buyers. To this end, it considers two alternative market structures. N...
Asymmetric price transmission in the Slovak liquid milk market
cointegration elasticity error correction milk price asymmetry
2014/2/24
The divergence in liquid milk price trends has raised concern about the efficiency of the milk market price transmission in Slovakia. The paper provides empirical evidence on the price transmission am...
Is China’s domestic agricultural market influenced by price fluctuations of the world agricultural commodities in the short-run?
agriculture copula dynamic correlation market integration short-term impact
2014/2/24
After entry into the WTO, China’s domestic agricultural market is more and more closely integrated into the world market. Recently, a significant price fluctuation of agricultural commodities in the g...
The “Price Puzzle” under Changing Monetary Policy Regimes
Federal Funds Rate Monetary Policy Shocks Price Puzzle Vector Autoregressions (VARs) United States
2013/2/23
This paper examines the “price puzzle”, the rise in the price level following a contractionary monetary policy shock, using monthly US data from 1960 to 2006. Deviating from the standard practice is i...
Price manipulation in a market impact model with dark pool
Price manipulation transaction-triggered price manipulation positive expected liquidation costs dark pool market impact model
2012/6/5
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into suc...
Electricity price modeling and asset valuation: a multi-fuel structural approach
Electricity price modeling asset valuation multi-fuel structural approach Pricing of Securities
2012/6/4
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the pri...
Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
rational expectations nancial bubbles speculation anchoring laboratory experiments behavioral model super-exponential growth
2012/6/2
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory ...
Analysis of the International Oil Price Fluctuations and Its Influencing Factors
International Oil Price Supply and Demand Dollar Exchange Rate
2013/2/20
Oil is one of the important strategic energy to guarantee the development of modern industry and economy, and is also an important resource, which is scrambled by each interest group in the world. Oil...
Three years ago we found a statistically reliable link between ConocoPhillips' (NYSE: COP) stock price and the difference between the core and headline CPI in the United States. In this article, the o...
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...
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...