Search results for " Price"
showing 10 items of 290 documents
A branch & bound algorithm for cutting and packing irregularly shaped pieces
2013
Abstract Cutting and packing problems involving irregular shapes, usually known as Nesting Problems, are common in industries ranging from clothing and footwear to furniture and shipbuilding. Research publications on these problems are relatively scarce compared with other cutting and packing problems with rectangular shapes, and are focused mostly on heuristic approaches. In this paper we make a systematic study of the problem and develop an exact Branch & Bound Algorithm. The initial existing mixed integer formulations are reviewed, tested and used as a starting point to develop a new and more efficient formulation. We also study several branching strategies, lower bounds and procedures f…
Scale economies and input price elasticities in microfinance institutions
2013
Author's version of an article in the journal: Journal of Banking & Finance. Also available from the publisher at: http://dx.doi.org/10.1016/j.jbankfin.2012.08.004 We evaluate the efficiency of microfinance institutions (MFIs) using a structural approach which also captures these institutions' outreach and sustainability objectives. We estimate economies of scale and input price elasticities for lending-only and deposit-mobilizing MFIs using a large sample of high-quality panel data. The results confirm conjectures that improvements in efficiency can come from the growth or consolidations of MFIs, as we find substantial increasing returns to scale for all but profitability-focused deposit-m…
Cross-listing, price discovery and the informativeness of the trading process
2003
This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: trade-related and trade-unrelated informative shocks. This approach determines how much of each market?s relative contribution to the price discovery process during the overlapping period is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE in the price discovery process of the Spanish cross-listed stocks during the daily two-hour ove…
Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility
2019
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. This paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special attention is paid to the potential asymmetries in the causal effects between oil and forex markets. The wavelet-based Granger causality method proposed by Olayeni (2016) is applied to quantify the causal relations in the time and frequency domains simultaneously. Moreover, the realized semivariance approach of Barndoff-Nielsen et a…
Multiproduct trading with a common agent under complete information: Existence and characterization of Nash equilibrium
2014
This paper focuses on oligopolistic markets in which indivisible goods are sold by multiproduct firms to a continuum of homogeneous buyers, with measure normalized to one, who have preferences over bundles of products. Our analysis contributes to the literature on private, delegated agency games with complete information, extending the insights by Chiesa and Denicolò (2009) to multiproduct markets with indivisibilities and where the agent's preferences need not be monotone. By analyzing a kind of extended contract schedules -mixed bundling prices- that discriminate on exclusivity, the paper shows that efficient equilibria always exist in such settings. There may also exist inefficient equil…
A critical empirical study of three electricity spot price models
2012
We conduct an empirical analysis of three recently proposed and widely used models for electricity spot price process. The first model, called the jump-diffusion model, was proposed by Cartea and Figueroa (2005), and is a one-factor mean-reversion jump-diffusion model, adjusted to incorporate the most important characteristics of electricity prices. The second model, called the threshold model, was proposed by Roncoroni (2002) and further developed by Geman and Roncoroni (2006), and is an exponential Ornstein–Uhlenbeck process driven by a Brownian motion and a state-dependent compound Poisson process. It is designed to capture both statistical and pathwise properties of electricity spot pri…
European Natural Gas Seasonal Effects on Futures Hedging
2015
Abstract This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price). This fact remains true for short …
Primary commodity prices: co-movements, common factors and fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.
A wavelet analysis of the ripple effect in UK regional housing markets
2021
Abstract The paper aims at gaining insights on the spatio-temporal mechanism of house price spillovers, also known as ripple effect, among 12 UK regional housing markets, over the period 1973–2018. From a policy perspective, it is essential to discriminate if the effects of a shock decay more slowly along the geographical dimension as compared to the decay along the time dimension. We enter the debate in a novel manner by using some wavelet analysis tools (wavelet coherence and phase differences amongst others) which reveal the spectral characteristics of a series and show how different periodic components of housing returns evolve over time. Results are interesting. Spillovers from London …
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028
2004
We consider per-capita carbon dioxide emission trends in 16 early industrialized countries over the period 1870-2028. Using a multiple-break time series method we find more evidence for very early downturns in per-capita trends than for late downturns during the oil price shocks of the 1970s. Only for two countries do downturns in trends imply downward sloping stable trends. We also consider trends in emission composition and find little evidence for in-sample peaks for emissions from liquid and gaseous fuel uses. These results lead us to reject the oil price shocks as events causing permanent breaks in the structure and level of emissions, a conclusion often made in analyses using shorter …