Search results for "Econometric"
showing 10 items of 3780 documents
Unbeatable Value Low-Price Guarantee: Collusive Mechanism or Advertising Strategy?
2006
This paper investigates the effects of a low-price guarantee (price-beating guarantee) on the patterns of price setting of three supermarkets using micro-level price data. Following recent theoretical developments, the paper analyzes the ability of low-price guarantees to sustain anticompetitive prices. My empirical analysis suggests instead that this low-price guarantee may serve as an advertising device to signal low prices. The supermarket offering the low-price guarantee, aware of its price advantage in a subset of products, uses it to signal low prices to induce consumers to switch supermarkets.
Mean Field Linear Quadratic Games with Set Up Costs
2013
This paper studies linear quadratic games with set up costs monotonic on the number of active players, namely, players whose action is non-null. Such games arise naturally in joint replenishment inventory systems. Building upon a preliminary analysis of the properties of the best response strategies and Nash equilibria for the given game, the main contribution is the study of the same game under large population. We also analyze the influence of an additional disturbance in the spirit of the literature on H∞ control. Numerical illustrations are provided. © 2012 Springer Science+Business Media New York.
Introspection and equilibrium selection in 2 � 2 matrix games
1994
Game theory lacks an explanation of how players' beliefs are formed and why they are in equilibrium. This is the reason why it has failed to make significant advances with the problem of equilibrium selection even for quite siniple games, as 2x2 games with two strict Nash equilibria. Our paper models the introspection process by which the selected equilibrium is achieved in this class of games. Players begin their analysis with imprecise priors, obtained under weak restrictions formulated as Axioms. For a large class of reasoning dynamics we obtain as the solution the risk dominant Nash equilibrium.
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
2013
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market
2011
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
The photovoltaic growth in the European Union requires stronger RES support
2016
Since the adoption of the EU Directive, 2001/77/EC, the production of electricity from renewable energy sources has progressed. Apart from the indicative target proposed by the Directive, actually no other tools of policy monitoring exist. To fill this gap, we propose a dynamic method able to capture this multidimensional phenomenon, providing an assessment tool to measure the technical efficiency performances of EU countries in the photovoltaic sector (1996–2010). Results show how technical efficiencies of countries are, from one hand, due to problems belonging to the economic and political contexts in which they operate, on the other hand driven by specific political support schemes adopt…
How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
2014
We study the high frequency scaling of the distributions of returns for stocks traded at NASDAQ market as a function of the tick-to-price ratio. The tick-to-price ratio is a measure of an effective tick size. We find dramatic differences between distributions for assets with large and small tick-to-price ratio. The presence of returns clustering is evident for large tick size assets. The statistical differences between large and small tick size assets appear to reduce at higher time scales of observation. A possible way to explain returns dynamics for large tick size assets is the coupling of returns with bid-ask spread dynamics. A simple Markov- switching model is able to reproduce the pro…
Time Trends in the Joint Distributions of Income and Age
2001
We propose a method of analyzing time changes of joint income-age densities. Change is decomposed into time invariant components which act on the densities as deformations with time varying strength. The functional form of these components is estimated non parametrically from cross sectional data. The method is applied to analyze British household data on income and age for the years 1968–95. It is learned that for the young and middle aged there is a trend towards increasing inequality, while during the early eighties there seems to occur a reversal in the evolution of the income distribution for the old.
Macroeconomic Fluctuations as a Source of Luck in CEO Compensation
2010
Macroeconomic fluctuations such as interest rate and exchange rate can be considered sources of good or bad “luck” for corporate performance. Incentive effects of performance-based compensation for management may be weakened or biased by macroeconomic influences depending on the ability of management to adjust for operations. We decompose the impacts on CEO compensation to distinguish between macroeconomic (anticipated and unanticipated) and “intrinsic” sources. Total CEO compensation is measured by including options awarded or options exercised. Both measures depend strongly on variations in macro factors but the time patterns differ. The macroeconomic factors increased total awarded compe…
Advances in Spatial Econometrics: Methodology, Tools and Applications
2005
Luc Anselin, Raymond Florax, Sergio Rey, Springer, 2004; Recension publié dans : Journal of Regional Science, 45, 4, p. 866-870