this research studies the application of hybrid algorithms for predicting the prices of crude oil. brent crude oil price data and hybrid intelligent algorithm (time delay neural network, probabilistic neural network, and fuzzy logic) were used to build intelligent decision support systems for predicting crude oil prices. the proposed model was able to predict future crude oil prices from august...

This paper investigates the presence of bull and bear market states in stock price dynamics. A new definition of bull and bear market states based on sequences of stopping times tracing local peaks and troughs in stock prices is proposed. Duration dependence in stock prices is investigated through posterior mode estimates of the hazard function in bull and bear markets. We find that the longer ...

Title of dissertation: IS IT MORE PROFITABLE TO POST PRICES? – MARKET STRUCTURE WITH ENDOGENOUS SEARCH COSTS Binglin Gong Doctor of Philosophy, 2006 Dissertation directed by: Professor John Rust Department of Economics This dissertation contains three chapters. It analyzes a market where firms can choose whether or not to publicly post their prices. Price posting rewards a firm by reducing sear...

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

this study considers the price transmission mechanism between farm and retail levels of beef market in east azerbaijan with weekly prices over 1377:1 to 1390:52 periods. to this end, using advantages of multivariate models, hansen- seo (2002)'s two- regime threshold vector error correction model (tvecm) was estimated by the maximum likelihood approach for evaluate the price transmission me...

the study investigates consumers’ preference for cowpea reflected in the nigerian markets through price discounts and premiums that consumers pay for different cowpea characteristics. the price data used for this study were obtained through a market survey. a common data collection protocol was employed. every month, between october 2009 to december 2010, five cowpea samples per seller were bou...

Most classical models for derivatives prices focus on prescribing the time evolution of the underlying stochastic factors. The prices of derivatives are then computed, for example, via the risk-neutral expectations. As markets developed and many derivative contracts became liquidly traded, it appeared necessary, in order to avoid creating arbitrage opportunities and to fully exploit the informa...

We use simulations to study how the diversification of electricity generation portfolios influences wholesale prices. We find that the relationship between technological diversification and market prices is mediated by the supply to demand ratio. In each demand case there is a threshold where pivotal dynamics change. Pivotal dynamics preand post-threshold are the cause of non-linearities in the...

In resource accounting, shadow prices of natural resources and environmental effects should be used as the social marginal value of goods. Since it is difficult to measure shadow prices in practice, market prices are often used as proxies for shadow prices. A prerequisite for the use of these proxies is that there is an established relationship between size of the natural resource stock of inte...