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The impressive scale of online auctions sales and the economic eco-system of private and commercial providers, made eBay & Co. interesting for science. As part of this work determinants will be identified which affect the outcome of online auctions to a large extent. We observed that for identical (new) products often different prices were charged and that the price volatility is bound to the...
With the increasing level of volatility in the crude oil market, the transient data feature becomes more prevalent in the market and is no longer ignorable during the risk measurement process. Since using a set of bases available there are multiple representations for these transient data features, the sparsity measure based Morphological Component Analysis (MCF) model is proposed in this paper to...
To model market dynamics is a challenge that has attracted the interest of practitioners and researchers alike. This problem has been addressed from the perspective of Game Theory, in models that explicitly include profit-maximization schemes for the companies, and also from the point of view of Data Mining, with models that consider multivariate functions to model customer demands and related phenomena...
Based on the present analytical method of Econometrics, this article conducts an empirical research on the co-movement of stock price of gold mine enterprises and the international gold price. By analyzing the daily datum from January 2th 2004 to October 20th 2009, the article concludes that there is a relative high correlation between the stock price of gold mine enterprises and the international...
With the development of Internet, more and more firms adopt dynamic pricing as a valid method to maximize their profit, especially, when the demand is uncertainty. But on the other hand, the consumers become cleverer than before. Customers behave strategically and weigh their payoff of immediate purchase against the expected payoff of delaying their purchases. In this paper, we use a dynamic pricing...
Banks and investment funds are increasingly basing their competitiveness on the quality of their quantitative technology, including programming techniques, analytical methods, and applications such as financial forecasting, option pricing, and risk management, which are all essential elements of the field of computational finance.
First, this article looked back upon the channels that the stock market affects the real estate's disbursement and made a brief literature summary on the effect that the stock market brings about to the real estate's disbursement. Next, the article put up a linear model on the basis of Modigliani life cycle model, which shows the stock market's effect on the real estate's disbursement, and carried...
This paper studies the recovery rates of the defaulted bond in a regime-switching model based on Mason's theory. Regard returns during default as a perpetual American call option which has a low face value and exercised according to the business condition by the creditor. We obtain the recovery rates of the defaulted bond by discussing the optimal stopping time of the American call option, which is...
In practice, in order to improve its revenue, hotel cooperates with travel agency, website, government, corporation, etc., and provides them with low room rate. This paper does research on the pricing problem of hotel for long-term cooperative travel agency. Through building pricing model, this paper proves that cooperation is beneficial to hotel and travel agency, derives the optimal pricing strategy...
This paper establishes a three-stage reverse supply chain model which includes one manufacturer, one retailer and one agent who helps the manufacturer to recall waste materials. Besides, this paper assumes that the numbers of this reverse supply chain are all based on the Stackelberg game model. Under the condition of stochastic market demands, this paper analyzes the optimal pricing and order strategies...
The managerial incentive under network externality is studied by using game theory. The result shows that, the optimal managerial incentive is influenced by network externality. The larger network externality is, the smaller optimal managerial incentives will become. Moreover, network externality always increase equilibrium quantity and profit, but may decrease, increase or not change the equilibrium...
We study China stock market using the Consumption-based Capital Asset Pricing Model (CCAPM) of Lucas [Econometrica 46 (1978) 1429]. A cointegration test reveals no long-term relationship between equity prices and dividends in China. The applicability of the CCAPM seems weak in China. The highly volatile dividend growth rates nonetheless cannot rationalize the large equity premia (the equity premium...
Modeling of real world financial time series such as stock returns are very difficult, because of their inherent characteristics. ARIMA and GARCH models are frequently used in such cases. It is proven of late that, the traditional models may not produce the best results. Lot of recent literature says the successes of hybrid models. The modeling and forecasting ability of ARFIMA-FIGARCH model is investigated...
There are two main quotation mode in current bidding, which are without base price and compound base price. Bidders should bid accurately and reasonably to win a bid. Based on game theory and the characteristics in bidding, this paper constructed bidding price game model of without base price and bidding price game model of compound base price to provide evidence for bidding decision. Relevant factors...
To draw a model that can describe shipping freight rate fluctuation precisely has never been so important since the ship investment evaluated under the framework of real options. We set a general double exponential jump-diffusion model, which generates a leptokurtic distribution. Compared with geometric Brownian motion model, the general double exponential jump diffusion model is more appropriately...
Traditionally, single cropping culture is widely adopted owing to uniformly growing requirements and habits. Unfortunately, the culture causes a surplus of crops, which leads to a depression of crop prices. Intercropping is an approach to reduce the risk of crop prices. This paper proposes an optimization model for intercropping planning in order to maximize total income while minimize the risk. Several...
A new model is presented to reveal investor heterogeneous beliefs impact on corporate financial decision, using marginal analysis method in the framework of the sequence of events. Our model theoretically interprets the phenomenon that firms issue equity in high stock price. This paper also tests theoretical predictions sampling China A-shares listed firms. The result of Chinese financial market provides...
Though the price of M&A has already been studied based on classical NPV model, which is not adaptable for real uncertain situation. This paper presents a new approach of measuring the target enterprise value of M&A, consisting of two parts, one is measured by NPV model and another is measured by real options model, which can be integrated to calculate the target enterprise by introducing synergy...
This study addresses problems of service design in movie theaters and proposes a new auction mechanism that addresses seat reservations. In movie theater services, the movie price is generally fixed; moreover, it does not depend on the quality of contents or the theater seat. Therefore, such a service mechanism by the fixed pricing cannot reflect the value of movie contents. In this study, introducing...
Online auctions with a buyout price, as an innovation mode of Internet auction, are applied widely because of breaking the limitation of fixed time ending. In this paper, we introduce a dynamic temporary buyout model featuring risk-neutral bidders with uniform valuations and Poisson arrivals. Based on recent theoretical research results, we will show the seller's optimal strategy on setting buyout...
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