Search results for " pricing"

Demand Response Pricing Strategies for Islanded Microgrids

2013

In this paper, Time of Use and Critical Peak Pricing policies are designed and their effects on optimized operation is evaluated. For this purpose, an optimal operation algorithm is employed and the relevant production costs are derived. As far as the Time of Use policy is concerned, such costs are observed to be different in two time intervals of the day, due to the loads changing effect and the production of renewable energy. Whereas in the Critical Peak Pricing Policy, a peak time interval is identified to set up different pricing rates. The optimization algorithm used to carry out the work described above minimizes the microgrid's energy losses, the production costs and the Green House …

Factors influencing prices in the mobile apps’ store distribution model: An empirical study

2012

METODO DI STIMA DEL PREZZO DI ESERCIZIO DI UN TITOLO DERIVATO E DISPOSITIVO DI ELABORAZIONE ELETTRONICA CHE REALIZZA TALE METODO

2007

Another Look on Choosing Factors: The International Evidence

2019

Extending Fama and French’s (2018) U.S. study on choosing factors to international equity markets, we test nested and non-nested asset pricing models for North America, Europe, Asia excluding Japan, and Japan. For non-nested models, we propose a new simulation methodology using a blocks bootstrap approach that takes into account factor dependencies. The resultant out-of-sample Sharpe ratios across all models and countries are lower than Fama and French’s pairs bootstrap approach. While we confirm that the six-factor model with market, size, and small size spread factors for value, profit, investment, and momentum produces the highest maximum squared Sharpe ratio in most economies, an except…

Electoral opportunism and water pricing with incomplete transfer of control rights

2020

One of the forms of intervention in public services that lie beyond market forces is price control. While such regulation is justified by the need to achieve social goals, empirical evidence has sh...

Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns

2018

This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in average firm size. The spread between highest and lowest growth in average firm size is economically large and cannot be explained by exposures to standard risk factors or the asset growth effect (Cooper, Gulen, and Schill, 2008). Principal component analysis reveals that this growth in average firm size effect is linked to the first principal component. Moreover, stochastic discount factor model anal…

Jump-diffusion models of German stock returns

1991

This paper discusses the statistical properties of jump-diffusion processes and reports on parameter estimates for the DAX stock index and 48 German stocks with traded options. It is found that a Poisson-type jump-diffusion process can explain the high levels of kurtosis and skewness of observed return distributions of German stocks. Furthermore, we demonstrate that the return dynamics of the DAX include a statistically significant jump component except for a few sample subperiods. This finding is seen to be inconsistent with asset pricing models assuming that the jump component of the stock's return is unsystematic and diversifiable in the market portfolio.

The Risk Premium and the Esscher Transform in Power Markets

2012

In power markets one frequently encounters a risk premium being positive in the short end of the forward curve, and negative in the long end. Economically it has been argued that the positive premium is reflecting retailers aversion for spike risk, wheras in the long end of the forward curve the hedging pressure kicks in as in other commodity markets. Mathematically, forward prices are expressed as risk-neutral expectations of the spot at delivery. We apply the Esscher transform on power spot models based on mean-reverting processes driven by independent increment (time-inhomogeneous Levy) processes. It is shown that the Esscher transform is yielding a change of mean-reversion level. Moreov…

On first exit times and their means for Brownian bridges

2017

For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(-h,h), \,\, h>0,$ behaves as $O(h^2)$ when $h \downarrow 0.$ Similar behavior is seen to hold also for the 3-dimensional Bessel bridge. For Brownian bridge and 3-dimensional Bessel bridge this mean of the first exit time has a puzzling representation in terms of the Kolmogorov distribution. The result regarding the Brownian bridge is applied to prove in detail an estimate needed by Walsh to determine the convergence of the binomial tree scheme for European options.

Entry with two correlated signals : the case of industrial espionage and its positive competitive effects

2021

Recent advances in information and communication technologies have increased the incentives for firms to acquire information about rivals. These advances may have major implications for market entry because they make it easier for potential entrants to gather valuable information about, for example, an incumbent’s cost structure. However, little theoretical research has actually analyzed this question. This paper advances the literature by extending a one-sided asymmetric information version of Milgrom and Roberts’ (1982) limit pricing model. Here, the entrant is allowed access to an intelligence system (IS) of a certain precision that generates a noisy signal on the incumbent’s cost struct…