We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete dependent variables that possess a natural ordering. Such an approach takes into account the fact that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly spaced time intervals. Unlike existing continuous-time...

This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. This model provides a way to describe the effect of regime switching on price dynamics via the selfexciting threshold principle. Its main advantage is to incorporate the regime switching effect withou...

We consider a sequential search model with two types of consumers: (‘high cost’s) consumers who incur a positive search cost at each visit and informed consumers who visit all the firms at no cost. The objective is to compare Nash market predictions with a market with adaptive sellers using reinforcement learning. Simulation Results show that Reinforcement Learning never converges to Nash equil...

the aim of this study was to determine the optimal cutting cycle in an uneven-aged beech forest in the north of iran. first of all, a logistic growth model was determined for an uneven aged forest. then, the stumpage price was predicted via an autoregressive model. the average stumpage price of beech was derived from actual timber, round wood, fire and pulpwood prices at road side minus the var...

This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price process, without making any stochastic assumptions. It is shown that almost all sample paths of the price process possess quadratic variation, where “almost ...

This paper presents an artificial neural network, ANN, based approach for estimating short-term wholesale electricity prices using past price and demand data. The objective is to utilize the piecewise continuous nature of electricity prices on the time domain by clustering the input data into time ranges where the variation trends are maintained. Due to the imprecise nature of cluster boundarie...

Is the stock market boom a result of the baby boom? This paper develops an overlapping generations model in which a baby boom is modeled as a high realization of a random birth rate, and the price of capital is determined endogenously by a convex cost of adjustment. A baby boom increases national saving and investment and thus causes an increase in the price of capital. The price of capital is ...

We analyze optimal production and pricing strategies in the single period (newsvendor) dual sourcing problem that entails local and offshore suppliers. The local supplier is used reactively as an emergency source following the realization of random demand. A multiplicative demand model is employed. We show that dual sourcing flexibility may decrease optimal price when emergency supply cost is s...

We investigate how price ceilings and floors affect outomces in continuous time, double auction markets with discrete goods and multiple qualities. Since competitive equilibria need not exist in markets with price contols, we investigated the nature of non-price competition and how markets might evolve in its presence. We develop a quality competition model based on matching theory. Equilibria ...

1.1 INTRODUCTION Empirical research of online auctions has been growing steadily in the last several years. Online auctions are different from offline auctions in several important ways: They are usually much longer, bidders and sellers are anonymous, and the barriers of entry are much lower for both bidders and sellers. These differences lead to auction dynamics that can be very different from...