This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order a...This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order arrivals are independent Poisson random processes. The dynamic process of price formation is described by a birth-death process of the double M/M/1 server queue corresponding to the best bid/ask. The initial depths of the best bid and ask are defined as different constants depending on the last price change. Thus, the price changes in the model follow a first-order Markov process. As the initial depth of the best bid/ask is originally larger than that of the opposite side when the last price is down/up, the model may explain the negative autocorrelations of the price of the best bid/ask. The estimated parameters are based on the real tick-by-tick data of the Nikkei 225 futures listed in Osaka Stock Exchanges. The authors find the model accurately predicts the returns of Osaka Stock Exchange average.展开更多
After operating for four years,the fallow project in the groundwater funnel area of the North China Plain has produced an initial water-saving effect.However,groundwater funnel remediation is a long-term process,and g...After operating for four years,the fallow project in the groundwater funnel area of the North China Plain has produced an initial water-saving effect.However,groundwater funnel remediation is a long-term process,and grain price changes over time may affect farmers’willingness to participate in fallow.Based on the estimation by the Cobb-Douglas production function,the relationship between farmers’satisfaction with fallow compensation and planting income is analyzed based on survey data collected from farming households in Hebei,a typical province located in the groundwater funnel area.Using this data,the impact of wheat price changes on farmers’willingness to participate in fallow is simulated.The results indicate wheat price changes affect farmers’expected planting income and consequently their willingness to fallow;88%of farmers would be unwilling to participate in fallow with a 0.1 yuan per 500 g increase in the wheat price,whereas 71.4%of farmers would be willing to participate in fallow with a 0.2 yuan per 500 g decrease in the price.Finally,some policy implications are proposed,such as the recommendation that the fallow compensation should be adjusted according to the wheat price multiplied by the average wheat yield of the three years before fallow in the North China Plain.展开更多
This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The margin...This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.展开更多
In a declining market for goods,we optimize the net profit in business when inventory management allows change in the selling prices n times over time horizon.We are computing optimal number of changes in prices,respe...In a declining market for goods,we optimize the net profit in business when inventory management allows change in the selling prices n times over time horizon.We are computing optimal number of changes in prices,respective optimal prices,and optimal profit in each of the cycle for a deteriorating product.This paper theoretically proves that for any business setup there exists an optimal number of price settings for obtaining maximum profit.Theoretical results are supported by numerical examples for different setups(data set)and it is found that for every setup the dynamic pricing policy out-performs the static pricing policy.In our model,the deterioration factor has been taken into consideration.The deteriorated units are determined by the recurrence method.Also we studied the effect of different parameters on optimal policy with simulation.For managerial purposes,we have provided some“suggested intervals”for choosing parameters depending upon initial demand,which help to predict the best prices and arrival of customers(demand).展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.71173060,71031003the Fundamental Research Funds for the Central Universities under Grant No.HIT.HSS.201120partially supported by JSPS KAKENHI under Grant No.22560059
文摘This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order arrivals are independent Poisson random processes. The dynamic process of price formation is described by a birth-death process of the double M/M/1 server queue corresponding to the best bid/ask. The initial depths of the best bid and ask are defined as different constants depending on the last price change. Thus, the price changes in the model follow a first-order Markov process. As the initial depth of the best bid/ask is originally larger than that of the opposite side when the last price is down/up, the model may explain the negative autocorrelations of the price of the best bid/ask. The estimated parameters are based on the real tick-by-tick data of the Nikkei 225 futures listed in Osaka Stock Exchanges. The authors find the model accurately predicts the returns of Osaka Stock Exchange average.
基金The National Natural Science Foundation of China(41961035,41971243)The Academic and Technical Leaders Funding Program for Major Disciplines in Jiangxi Province(20172BCB22011)+1 种基金Natural Science Foundation in Jiangxi Province(20202BAB213014)The Technology Foundation of Jiangxi Education Department of China(GJJ180285)。
文摘After operating for four years,the fallow project in the groundwater funnel area of the North China Plain has produced an initial water-saving effect.However,groundwater funnel remediation is a long-term process,and grain price changes over time may affect farmers’willingness to participate in fallow.Based on the estimation by the Cobb-Douglas production function,the relationship between farmers’satisfaction with fallow compensation and planting income is analyzed based on survey data collected from farming households in Hebei,a typical province located in the groundwater funnel area.Using this data,the impact of wheat price changes on farmers’willingness to participate in fallow is simulated.The results indicate wheat price changes affect farmers’expected planting income and consequently their willingness to fallow;88%of farmers would be unwilling to participate in fallow with a 0.1 yuan per 500 g increase in the wheat price,whereas 71.4%of farmers would be willing to participate in fallow with a 0.2 yuan per 500 g decrease in the price.Finally,some policy implications are proposed,such as the recommendation that the fallow compensation should be adjusted according to the wheat price multiplied by the average wheat yield of the three years before fallow in the North China Plain.
文摘This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.
文摘In a declining market for goods,we optimize the net profit in business when inventory management allows change in the selling prices n times over time horizon.We are computing optimal number of changes in prices,respective optimal prices,and optimal profit in each of the cycle for a deteriorating product.This paper theoretically proves that for any business setup there exists an optimal number of price settings for obtaining maximum profit.Theoretical results are supported by numerical examples for different setups(data set)and it is found that for every setup the dynamic pricing policy out-performs the static pricing policy.In our model,the deterioration factor has been taken into consideration.The deteriorated units are determined by the recurrence method.Also we studied the effect of different parameters on optimal policy with simulation.For managerial purposes,we have provided some“suggested intervals”for choosing parameters depending upon initial demand,which help to predict the best prices and arrival of customers(demand).
