Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generaliz...

We study a special form of securities market circuit breaker, i.e., European volatility interruptions. Instead of halt trading like traditional circuit breaker, these short-living call auctions allow for continual price discovery after price limit hits. Based upon approximately 1,800 Xetra volatility interruption events from 01/2009 to 01/2012, we empirically assess whether such auctions contri...

Static and discrete time pricing operators for two price economies are reviewed and then generalized to the continuous time setting of an underlying Hunt process. The continuous time operators define nonlinear partial integrodifferential equations that are solved numerically for the three valuations of bid, ask and expectation. The operators employ concave distortions by inducing a probability ...

We define the logit dynamic for games with continuous strategy spaces and establish its fundamental properties , i.e. the existence, uniqueness and continuity of solutions. We apply the dynamic to the analysis of the Burdett and Judd (1983) model of price dispersion. Our objective is to assess the stability of the logit equilibrium corresponding to the unique Nash equilibrium of this model. Alt...

the main purpose of this study was to determine the factors affecting the export of flowers in iran. after data collection using by the index of revealed comparative advantage (rca), the condition of business of flowers in iran was compared with a number of countries exporting the product. according to the results of study, the small elasticity of the exportation price in the function of export...

Retail prices are volatile and decrease over time in many markets for differentiated durable goods. Consumers in these markets have an incentive to delay their purchase and wait for lower prices. This paper uses a novel data set from a price alert service for TVs sold on Amazon.com to estimate substitution patterns across products and over time. Users of a price alert service submit a price thr...