Relevant Price Research Articles

Path Generation for Affine Flow Thinning

Flow thinning (FT) is a traffic routing and protection strategy for communication networks whose links experience fluctuations in available capacity (as, e.g., in wireless networks). To cope with this phenomenon, end-to-end traffic demands are assigned dedicated tunnels (e.g., MPLS tunnels) whose nominal capacity is subject to thinning in order to account for variable capacity of the links, fluctuating below their nominal values. Consequently, the instantaneous traffic sent between the demand's end nodes must accommodate to the current total capacity available on its dedicated tunnels. In the paper we present a path generation-based approach to network dimensioning for a practical version of FT applying affine flow thinning – a fairly complicated issue not yet considered. We derive a relevant pricing problem and present a numerical study illustrating efficiency of the optimization algorithm.

METHODOLOGICAL PRINCIPLES OF DEFINITION OF EFFICIENCY OF INFRASTRUCTURE PROJECTS ON THE BASIS OF COST-NORMATIVE VALUE

The methodical approaches to cost management in the organization of work on the reconstruction and overhaul of railway buildings and structures on the basis of the cost-standard method with the use of the method of estimating the cost of the life cycle as an economic analysis of the total expenses for the performance of repair and construction works are developed and proposed. For the implementation of local estimated estimates of the cost of reconstruction and overhaul of railway structures on the basis of normative and technical documentation and initial data (on the design of the building or structure, the machine complex and the length of time provided for the works ("window" or "closed transfer")), according to collections of estimated standards, the selection of appropriate prices for the complexes of works in the technological sequence, the corresponding version of work execution is carried out. In order to account for additional costs to individual prices, correction factors are used in accordance with the conditions of their application and are stipulated in the general provisions of the relevant price lists. The estimated cost of work on the railways of railways and structures is determined by the basic-index method. Data on the resources obtained from the estimated calculations for the considered options, make it possible to compare resource indicators in both quantitative and cost terms and determine the maximum values for the main elements of expenditure that can be used in additional conditions, at the option of an economically feasible option of repair- construction works. Proceeding from the above developed methodology for calculating the normative estimated cost of work on RCR railway buildings and structures on the basis of a normative method using the author's developed methodological recommendations for the formation of cost-regulatory documents and current indexes of change in the estimated cost of articles and elements of expenditure.

Does \u2018local\u2019 matter in restaurant choice? Results of a discrete choice experiment targeting German and Italian consumers

Consumer preferences about locally grown foods have been studied principally as they concern meals consumed in the home, while knowledge about consumptions outside the home is still fragmented. Studying the relationship between local foods and out of the home consumptions instead proves particularly interesting, considering the growth of eating out habits. In this scenario, our paper intends to verify whether using products of local origin in restaurants can represent an element capable of influencing consumer preferences positively. The analysis was developed by means of a choice experiment between alternatives that differ in certification of origin, process certification, price and the main characteristics of the restaurant. The survey was conducted on a representative sample of Italian (500) and German (500) consumers. Applying Latent Class Modelling has enabled us to segment the market and profile the segments. Profiling was performed considering the socio-demographic characteristics, the choice motivations not expressly inserted in the choice experiment and the Schwartz value system. The results show not only a marked heterogeneity of preferences but also a consistent consumer segment willing to pay a relevant premium price for meals made from a prevalence of products certified as being of local origin. This segment, labelled ‘locavores’, appears across both countries, despite differing gastronomic traditions. Locavores are mainly young people who prioritise self-enhancement, stimulation and conservation in the sense of respect for traditions and being members of their communities. The ‘Discussions and conclusions’ section handles the principal implications from the viewpoint of the decisions of restaurant owners, as well as from that of farmers.

Forecasting initial margin requirements: A model evaluation

The introduction of mandatory margining for non-cleared derivatives portfolios has major implications for the pricing and risk measurement of over-the-counter (OTC) derivatives. In particular, a model for estimating future initial margin requirements is necessary to enable the calculation of relevant pricing adjustments, net counterparty credit exposures and credit capital requirements. Existing literature on the topic suggests a model that makes use of regression techniques, but little detail is available on the predictive quality of these models within a Monte Carlo simulation framework. We review these regression-based initial margin models in detail and compare their output against the actual margin requirements measured by the International Swaps and Derivatives Association standard initial margin model (ISDA SIMM) methodology. We observe that the models generally perform well for single trades but show some degradation for larger diversified portfolios. We investigate potential extensions and improvements to the model, along with examining some additional ‘conservatism’ features that may have application in the context of credit exposure measurement. The initial margin modelling approaches discussed here are similarly applicable to centrally cleared or exchange-traded portfolios.

Uncertainty at the Zero Lower Bound

When the policy rate is at the zero lower bound (ZLB), an increase in uncertainty regarding the future path of exogenous shocks alters the conditional expectations of relevant prices facing households and firms. Accordingly, an increase in uncertainty alters consumption, inflation, and output to a greater extent when the policy rate is constrained than otherwise. Using an empirically rich sticky-price model calibrated to match key features of the US economy, I find that uncertainty can exacerbate the decline of output by about 10 percent in a deep recession that pushes the policy rate to the ZLB. (JEL E23, E31, E32, E43, E52, E58)

Investor Attention and Sentiment: Risk or Anomaly?

Are stocks' varying sensitivies to changing investor attention and sentiment priced? Employing internet search-based proxies for both, I find novel results that are consistent with theory. Stocks that co-vary negatively with increased investor attention to the stock market outperform in the following months in a behavior consistent with a risk premium. The pricing of co-variation with investor sentiment depends on aggregate mispricing (Baker-Wurgler index), behaving like a risk premium when mispricing is low and like an anomaly when mispricing is high. Sensitivity to both sentiment and attention is strongly related to idiosyncratic volatility and limits to arbitrage: High absolute attention/sentiment loadings are associated with higher volatility, smaller size and other limits to arbitrage. However, the priced attention and sentiment components are clearly distinct from the idiosyncratic risk puzzle and stay significant when controlling for relevant pricing factors and company characteristics. Investor attention is both very robust and highly powerful in pricing a broad variety of test assets. On the other hand, investor sentiment's effect on performance is strongly related to return reversal/momentum and does not add much information on its own.

Value Tools in Managed Care Decision Making: Current Hurdles and Future Opportunities.

Organizations such as the National Comprehensive Cancer Network, American Society of Clinical Oncology, Institute for Clinical and Economic Review, and Memorial Sloan Kettering have created distinct tools to help different stakeholders assess the value of oncology treatments. However, the oncology value tools were not necessarily created for payers, and it is unclear whether payers are using these tools as part of their drug management process. To understand what value tools payers are using in oncology management and what benefits and shortcomings the tools may have from the payer perspective. A survey targeting drug coverage decision makers at health plans was conducted in August 2016. Respondents attesting to using 2 or more value tools in drug management were eligible for an additional in-depth interview to understand the respondents' perceived benefits and shortcomings of current value tools. Respondents also were asked to describe desired attributes of a hypothetical payer-centric value tool. A total of 28 respondents representing approximately 160 million commercially insured medical lives completed the survey. Twenty respondents (71%) reported using at least 1 value tool in their drug management process. Twelve respondents (43%) used at least 2 tools, and 4 respondents (14%) used at least 3 tools. A total of 6 respondents were selected for in-depth interviews. Interviewees praised value tools for advancing the discussion on drug value and incorporating clinical evidence. However, interviewees felt available value tools varied on providing firm recommendations and relevant price benchmarks. Respondents most commonly recommended the following attributes of a proposed payer-centric value framework: taking a firm position on product value; product comparisons in lieu of comparative clinical trials; web-based tool access; and tool updates at least quarterly. Interview respondents also expressed some support for allowing manipulation of inputs and inclusion of quality-of-life and patient-reported outcome data. Although nearly half of payers surveyed use 2 or more value tools in the drug management process, payers identified a number of areas where the tools could be revised to increase their utility to payers. No outside funding or assistance of any kind was used for this research or in manuscript preparation. Schafer and Galante are employed by Precision for Value, a payer ad marketing agency that works exclusively with life science companies. Shafrin is employed by Precision Health Economics, a consulting company to insurance and life science industries. Shafer, along with Galante and Shafrin, contributed to study design, data collection, and manuscript preparation. The authors contributed equally to data analysis and interpretation and manuscript revision.

A Customized Evolutionary Algorithm for Multiobjective Management of Residential Energy Resources

Dynamic tariffs are expected to become a relevant pricing scheme in the context of smart grids. In this framework, active management of residential loads can play an important role to optimize the usage of end-use energy resources while minimizing energy cost. This paper presents an evolutionary algorithm to optimize the integrated usage of multiple residential energy resources (local generation, shiftable loads, thermostatically controlled loads, and storage systems) considering a large set of management strategies. Customized solution encoding and operators are developed for different groups of loads. The multiobjective model considers as objective functions the minimization of the energy cost and the minimization of end-user's dissatisfaction associated with management strategies. Results have shown that significant savings can be achieved mainly through demand response actions implemented over thermostatically controlled loads. Savings are also dependent on the end-user's preferences and degree of willingness to accept automated control.

Third special issue on knowledge discovery and business intelligence

Third special issue on knowledge discovery and business intelligence

Brexit: Short-term stock price effects and the impact of firm-level internationalization

We perform an event study analysis to determine short-term abnormal stock returns following the Brexit referendum. Moreover, we examine whether firm-level internationalization helps explaining abnormal returns. We find that stocks of firms with higher proportions of domestic sales realized more negative abnormal returns than stocks of firms with more sales abroad, i.e., a higher degree of international diversification. While firm-level internationalization largely explains abnormal returns on the trading day after the referendum, it has no relevant pricing effect in the following days. The quick adjustment of stock prices to reflect firm-level internationalization indicates a high degree of market efficiency.

Metals: resources or financial assets? A multivariate cross-sectional analysis

Metals are very important resources for industrial production, but recently they have attracted more and more attention from investors. While certainly industrial producers, consumers, and financial investors do have some influence on metal price development, the role of relevant price factors is not yet quite clear. Therefore, in this paper, we examine the explanatory power of various fundamental factors and characteristics known from financial markets, specifically on the expected returns in a unique data sample of 30 metals. We apply—to our knowledge for the first time in this context—the widely accepted method of characteristic-sorted portfolios, extended by the very recent method of two-way portfolio sorts as an alternative to classical multivariate regressions. This mostly nonparametric approach, combined with portfolio aggregation, provides very robust results. Our major finding is that the financial characteristics value and momentum have a very high predictive power for monthly returns of metal portfolios. Metal-specific fundamental factors like stocks, secondary production, apparent consumption, country concentration, mine production, or reserves perform depending on the interpretation moderately well or rather poorly, regarding some economically interpretable transformations and when using multivariate two-way sorts. Hence, from the perspective of expected returns, metals are predominantly assets, while fundamental metal-specific factors still play a non-negligible role. Thus, to a much lesser extent, metals can still be regarded as resources. Overall, the combination of financial characteristics and metal-specific fundamental factors yields the best results. With these robust results, we hope to contribute to a better understanding of metal prices and their underlying factors.

SPA 브랜드의 글로벌 가격 전략: 국민소득 및 빅맥지수와의 비교

Due to the dramatic increase in consumers' price sensitivity and growing importance for global retailers to create relevant price strategies, this study investigates the global pricing strategy of the main SPA brands such as ZARA, H&M and UNIQLO. Based on price information shown on official website, the study developed SPA brand index by using exchange rates in terms of US dollars and ratio of differences between the local price and the US price. These figures were compared with GDP per person data in order to analyze each brand's price level against the income level. The study also compared SPA brand index with Big Mac index to identify the difference in price levels between the fast fashion market and the fast food market. ZARA and H&M were mostly targeting Middle East and Asia as a high-price market when considering index only. After taking the income level into account, however, Asia came out be the highest price market and Middle East was similar to the US market. On the other hand, UNIQLO targeted Asia as the lowest price market and the US and EU as the highest in terms of index only. But, Asia came out to be the highest price zone after considering the income level while the price of the US and EU was reasonable. Comparison with Big Mac Index indicated that most of Asia had a higher price level of the fashion market than the food market, whereas most European countries had a similar or high-price level of food market.

Information revelation and customer decision-making process of repeat-bidding name-your-own-price auction

Information revelation has become increasingly popular among name-your-own-price (NYOP) providers as a strategy to influence buyers' behavior and facilitate the transaction success rate in industrial practice. However, the mechanism underlying how disclosed information affects a bidder's decision-making process, as well as the consequent bidding results, remains unknown. In this study, we adopted an adapted dynamic choice model to simulate the bidders' decision process, which led to our proposal of a novel mechanism to explain how specific price information affects bidders' willingness to pay, expectation on threshold price and haggling willingness. The relationship model was then tested using real transaction data from the Shanghai Steel Transaction Center, one of the biggest steel spot transaction platforms in China that employs the NYOP pricing system. Our empirical results showed that a bidder's haggling behavior can be influenced by both personal transaction experience and revealed environmental information; therefore, sellers who intend to hinder haggling behavior can choose to reveal list price information that is more consistent with their bidders' internal reference price. Interestingly, we also found that haggling behavior may not always be harmful because it can enhance the bidders' net utility under certain conditions. Analysis of the combined effects on customer behavior—when more than one kind of relevant price information is disclosed—showed that additional market condition information (i.e., market price fluctuation) has a moderating effect on how current revealed list price information influences a bidder's decision. Thus, by very slightly increasing threshold price, sellers can facilitate haggling in order to increase customer utility in a volatile market. In summary, our study investigated an approach to understand a customer's behavior under different price information environments in the NYOP context. The results indicate that platform providers can implement various information revelation strategies to facilitate dynamic adjustment in the threshold price by sellers to maximize their profits.

Efficient fuel conversion for power generation under distributed solar generation and carbon emission regulations

A new framework allows one to examine how likely a traditional power producer is to switch to more efficient fuel under various relevant price risk factors. The results show that the carbon emission price and natural gas price stand out as the two most important determinants for an economically justifiable fuel conversion strategy. The impact of coal and electricity prices is less significant.

Development Prospect of Aloe Vera Plant in Peatlands in West Kalimantan

<p>Peat soil is one of the decent growing medium for aloe vera plant. Seeing the potential of peat land in West Kalimantan is quite extensive, this plant is cultivated commercially and becomes one of the leading commodity in peatlands in West Kalimantan, especially in Pontianak City with an area of more than 25,000 ha. With complete and varied nutrient content, this plant progress opportunities, especially for diversification is enormous ranging from food products and beverages such as juices, cocktails, aloe vera gel in syrup, jams, jellies, tarts, sweets, tea, chips and as well as agro-tourism in West Kalimantan. Existing obstacles now are market share and unstable price, trouble controlling plant diseases and peat area is flooded during the rainy season. Prospects for the future development of these plants can be carried out through the cooperation of government and relevant stakeholders,stable markets and prices, the acceleration of product promotion through fairs and business gathering activities, as well as the dissemination and application of cultivation technology and post-harvest of aloe vera.</p>

Does asset liquidity matter? Evidence from real estate stock markets

Purpose– The purpose of this paper in this context is to examine the impact of asset liquidity on real estate equity returns, after taking well-documented systematic risk factors into account. Due to their unique characteristics, real estate equities constitute an inherently low degree of underlying asset liquidity.Design/methodology/approach– Following the Fama-French time-series regression approach, the authors extend the conventional asset pricing model by a real estate-specific asset liquidity factor (ALF), using a sample of 244 real estate equities.Findings– The results, based on monthly data for the period 1999-2012, reveal that asset liquidity is a relevant pricing factor which contributes to explaining return variations in real estate equity markets. Accordingly, investors expect a risk premium from listed real estate companies with a low degree of asset liquidity, which is especially the case for companies facing financial constraints and during economic downturns. Furthermore, an investment strategy exploiting differences in the underlying asset liquidity yields considerable average excess returns of upto 8.04 per cent p.a.Practical implications– Considering the findings presented in this paper, asset liquidity should receive special attention from investors, as well as from the management boards of listed real estate companies. While investors who ignore the magnitude of asset liquidity may systematically misprice real estate equities, management can influence the firm’s cost of capital by adjusting the underlying asset liquidity.Originality/value– This is the first study to examine the role of an ALF in a real estate asset pricing framework.

VIX and Volatility Derivatives: A Survey of Relevant Financial Instruments and Pricing Models.

Although it is relatively difficult to predict the exact returns associated with a stock, one can compute, with a certain degree of precision, the volatility associated with the stock’s return by utilizing appropriate mathematical models. In order to account for volatility, a new metric called the Volatility Index (VIX), based on S&P 100 shares, was posited by the Chicago Board Options Exchange (CBOE). This definition was tweaked eventually to make S&P 500 shares (SPX) the basis for calculating VIX by, averaging the prices of calls and puts on SPX shares, over a wide range of strike prices, considering a time frame of 30 days. Futures and options based on the VIX eventually emerged, and have gone on to acquire a very critical role in financial markets worldwide, especially after the Global Recession. In a similar vein, the India Volatility Index (VIX), reflective of the volatility of the Nifty index options over the next 30-day period, has gradually emerged as the go-to instrument for those who wish to gauge the Indian market volatility. Riding on high VIX levels due to the upcoming Indian General Elections, weekly futures contracts based on this index were introduced in February 2014 to phenomenal demands. However, the demand for these contracts has considerably fizzled out ever since, which in turn, has precluded the annulment of any plans whatsoever regarding the incorporation of new products into the suit of volatility-based derivatives pertaining to the Indian market. Given the novel premise of volatility derivatives, wherein the volatility of the underlying asset is used as the metric for arriving at trading strategies, several financial products, viz. futures, options and ETFs (exchange traded funds) have been developed based upon the same precepts. Volatility-based products are available on exchanges as well as currencies (primarily, FX), and are acquired primarily in the form of institutional volatility derivatives, with retail derivatives coming to the fore more recently. Several OTC derivatives are also available for trading volatility with these instruments being modelled as variance swaps on indexes and individual stocks. Thus, it is quite evident that a wide vista of risk-management/hedging strategies can be implemented using these derivatives. The article primarily intends to explore some of the volatility derivatives which are currently in vogue and the reasons for them being more frequently transacted vis-a-vis other volatility derivatives. Additionally, the article wishes to explore the different pricing methods that are commonly used to price such volatility derivatives. In conclusion, the article decodes the various quantitative and qualitative facets of the India VIX, so as to eventually engender a healthy dialogue pertaining to the efficacy of India VIX-based derivatives.

News announcement effects of compliance with section 404 of SOX: Evidence from non-accelerated filers

This study examines the effects of Section 404 of the Sarbanes–Oxley Act of 2002 (SOX) news announcements on a non-accelerated filer's levels of information asymmetry proxied by bid–ask spread. We find that, on average, the information asymmetry decreases (increases) after the announcements of compliance (deferral of compliance) with Section 404 of SOX. While a deferral announcement delays incurring the cost of compliance with Section 404, it signals lack of disclosure of relevant price sensitive information about the effectiveness of internal control systems, leading to higher levels of information asymmetry. Consistently, we find that, on average, prices increase (decrease) in response to the announcements signaling compliance (deferral of compliance) with Section 404 of SOX. Additionally, the results from cross-sectional analyses of abnormal returns indicate that changes in information asymmetry are priced by investors, whereas firm-specific estimates of cost of compliance with Section 404 do not appear to play a significant role in securities.

The gains and losses of collusion: An empirical research on the market behaviors of China’s power enterprises

Purpose: Collusion is a common behavior of oligarch enterprises aiming to get an advantage in market competition. The purpose of the thesis is to use the empirical research methods to explore positive or negative effects that the electricity generation manufacturers’ collusion has caused at the macro level of Market Economy and the micro level of enterprises’ behaviors. Design/methodology/approach: The designed research model in the thesis is an extension of Porter’s model (Porter, 1984). It applies a more advanced measurement method, FIML. In the example of price bidding project that started by electricity generation enterprises of China’s power industry, the thesis analyzes the relevant price data of subordinate power plants of China’s five power generation groups in pilots of price bidding Policy. Findings: It is found in the thesis that power generation enterprises are facing collusion issues in the market. To be exact, it is such a situation in which non-cooperative competition and collusion alternate. Under the competition, market is relatively steady, thus forming a lower network price. It is helpful to the development of the whole industry. However, once Cartel is formed, the price will rise and clash with power enterprises and transmission-distribution companies concerning the interests conflicts. At the same time, a higher power price will form in the market, making consumers suffer losses. All of these are bad for industry development. Not only the collusion of power enterprises affects power price but also the market power that caused by long-time Cartel will reduce the market entrant in electricity generation. Market resources are centralized in the hands of Cartel, causing a low effective competition in the market, which has passive effects on users. Implications: The empirical research also indicates that collusion undoubtedly benefits the power enterprises that involved. As a cooperation pattern, collusion can lead to the synergy between relevant companies. However, collusion harms the benefits of other market entities. During the process of enterprises creating common interests cooperatively, collusion may bring harm to the outside industry. Originality/value: According to the empirical research method, the thesis takes China’s power industry for example to carry out research and show the gains and losses of collusion from two levels, namely market economy level and management level.

The impact of soda taxes on consumer welfare: implications of storability and taste heterogeneity

The typical analysis on the effectiveness of soda taxes relies on price elasticity estimates from static demand models, which ignores consumers' inventory behaviors and their persistent tastes. This article provides estimates of the relevant price elasticities based on a dynamic demand model that better addresses potential intertemporal substitution and unobservable persistent heterogeneous tastes. It finds that static analyses overestimate the long‐run own‐price elasticity of regular soda by 60.8%, leading to overestimated consumption reduction of sugar‐sweetened soft drinks by up to 57.9% in some cases. Results indicate that soda taxes will raise revenue but are unlikely to substantially impact soda consumption.