Search results for "Database transaction"
showing 10 items of 37 documents
An ACE Wholesale Electricity Market Framework with Bilateral Trading
2011
In this paper, an agent-based simulation model for a hybrid power market structure is presented. A bilateral transaction mechanism is combined with a uniform-pricing auction settlement in order to isolate the impact of medium-term bilateral contracts on market power and spot prices in a competitive wholesale market setting. First we describe the negotiation method for bilateral trading of energy and then introduce a new approach for bidding in the DA market based on the load duration curve. We find that, despite the conventional concerns, the foreclosure effect produced by the bilateral agreement between a generation and a retail business will not necessarily lead to higher prices, and will…
Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs
2005
In a market with transaction costs the option hedging is costly. The idea presented by Leland (1985) was to include the expected transaction costs in the cost of a replicating portfolio. The resulting Leland's pricing and hedging method is an adjusted Black-Scholes method where one uses a modified volatility in the Black-Scholes formulas for the option price and delta. The Leland's method has been criticized on different grounds. Despite the critique, the risk-return tradeoff of the Leland's strategy is often better than that of the Black-Scholes strategy even in the case when a hedger starts with the same initial value of a replicating portfolio. This implies that the Leland's modification…
Fixed Costs Per Shipment
2011
Exporting firms do not only decide how much of their products they ship abroad but also at which frequency. Doing so, they face a trade-off between saving on fixed costs per shipments (by shipping large amounts infrequently) and saving on storage costs (by delivering just in time with small and frequent shipments). The firm's optimal choice defines a mapping from size and frequency of shipments to fixed costs per shipment. We use a unique dataset of Swiss cross-border trade on the transaction level to analyze the size and shape of the underlying fixed costs. The data suggest that for the average Swiss exporter the fixed costs per shipment are economically important: 0.82 percent of the valu…
How does the online service level influence consumers’ purchase intentions before a transaction? A formative approach
2016
AbstractThe present paper tries to study the impact of online services level in contexts where transactions have not been done yet, through the adoption of a formative approach. In this scene, the present research considers two main dimensions of online services (pre-purchase services and transaction-related services) in a context of clothing purchasing process. Before defining the research and determining the sector to be analyzed, 7 focus groups were conducted. From the obtained conclusions, this study was carried on in the textile sector. A survey with 370 effective respondents was carried out. To measure the different concepts in the model, several scales were used based on literature p…
There's more to volatility than volume
2006
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of…
Master curve for price-impact function
2003
The price reaction to a single transaction depends on transaction volume, the identity of the stock, and possibly many other factors. Here we show that, by taking into account the differences in liquidity for stocks of different size classes of market capitalization, we can rescale both the average price shift and the transaction volume to obtain a uniform price-impact curve for all size classes of firm for four different years (1995–98). This single-curve collapse of the price-impact function suggests that fluctuations from the supply-and-demand equilibrium for many financial assets, differing in economic sectors of activity and market capitalization, are governed by the same statistical r…
Price Impact Function of a Single Transaction
2004
Although supply and demand are perhaps the most fundamental concepts in economics, finding any general form for their behavior has proved to be elusive. Here we discuss our recent findings [1] on the price impact function empirically detected in the New York Stock Exchange (NYSE). Our study builds on earlier studies of how trading affects prices [2, 3, 4, 5, 6, 7, 8, 9, 10, 11]. In particular, we look at the short term response to a single trade. This is done by using huge amounts of data and by measuring the market activity in units of transactions rather than seconds, so that we can more naturally aggregate data for many different stocks. This allows us to find regularities in the respons…
Testing of Execution of Concurrent Processes
2020
Authors propose an algorithm for analysis of business processes to detect potentially incorrect results of concurrent processes execution. Our novel approach is to conclude necessary database isolation level from business process description. If traditional languages with loops and arithmetic operations (two-way counters) are used for business process descriptions, the problem of detecting incorrect execution of concurrent processes cannot be algorithmically solved. This paper introduces a simplified business processes description language CPL-1, a transaction mechanism and an algorithm that supports detection of incorrect results during the concurrent execution of business processes. Busin…
Complex dynamics of our economic life on different scales: insights from search engine query data.
2010
Search engine query data deliver insight into the behaviour of individuals who are the smallest possible scale of our economic life. Individuals are submitting several hundred million search engine queries around the world each day. We study weekly search volume data for various search terms from 2004 to 2010 that are offered by the search engine Google for scientific use, providing information about our economic life on an aggregated collective level. We ask the question whether there is a link between search volume data and financial market fluctuations on a weekly time scale. Both collective ‘swarm intelligence’ of Internet users and the group of financial market participants can be rega…
Current Software-as-a-Service Business Models: Evidence from Finland
2012
This paper characterizes the business models of Software-as-a-Service (SaaS) firms based on their value proposition, customer segments, revenue streams, and customer relationship, and analyzes interconnections of these business model elements. The target set of 163 Finnish SaaS and ASP firms was first compared to other software firms and then clustered into four clusters based on indicator data of their business model elements. The comparison reveals that the SaaS and ASP firms have smaller customer and transaction sizes than software firms in general. The resulting classification reveals two different configurations, a pure-play SaaS model and an enterprise SaaS model, and the typical fact…