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On Optimal Dynamic Pricing of Perishable Assets with Menu Costs - Monotone Price Changes

Berk, Emre; Gurler, Ulku - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345717

A Partial Equilibrium Model of Option Markets

Leisen, Dietmar P.J.; Judd, Kenneth L. - Society for Computational Economics - SCE - 2001

This paper uses an asymptotically valid expansion to derive explicitly agent's individual demand schedules and then the … complete the market. The paper studies the interaction between demand/prices, analyzes the (necessary) conditions for trade and … discusses the importance of heterogeneity. It also looks into the case in which there is only a spanning demand, but no risk …

Persistent link: https://www.econbiz.de/10005345628

Modeling the strategic trading of electricity assets

Oliveira, Fernando S.; Bunn, Derek W. - Society for Computational Economics - SCE - 2006

We analyze how strategic asset trading can be used to gain competitive advantage. In the case of electricity markets, companies seek to improve the value of their generating portfolios by acquiring, or selling, power plants. Accordingly, we derive the basic determinants of plant value,...

Persistent link: https://www.econbiz.de/10005342882

Computing the Distributions of Economic Models via Simulation

Stachurski, John - Society for Computational Economics - SCE - 2006

This paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the $L_1$ error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for...

Persistent link: https://www.econbiz.de/10005342929

Long Swings in the US-Dollar: a Stochastic Control Approach.

Rita L. Dâ€™Ecclesia; Castellano, Rosella - Society for Computational Economics - SCE - 2005

Since 1973 currency market has been dominated by US-Dollar cycles, the so called long swings. The long swinging behaviour of the dollar has been confirmed also by its strong depreciation against the Euro, registered in the last three years. Periods of steady appreciation followed by period of...

Persistent link: https://www.econbiz.de/10005343053

Dynamic analysis of an institutional conflict within the music industry

Pavlov, Oleg V. - Society for Computational Economics - SCE - 2005

Peer-to-peer technology has made massive music piracy possible, which, in turn, has arguably had a significant economic impact on the recording industry. Record labels have responded to online piracy with litigation and are also considering self-help measures. It is currently not obvious whether...

Persistent link: https://www.econbiz.de/10005343056

An Evolutionary Analysis of Investment in Electricity Markets

Costa, Manuel L.; Oliveira, Fernando S. - Society for Computational Economics - SCE - 2005

electricity markets are very complex as the interactions between demand and supply are subject to several technicalities arising … generation technologies used at different levels of demand, which implies that at different times of the day different generation … costs are supported to meet demand: due to ramp-rate constraints, capacity available, and fixed and start-up costs. In this …

Persistent link: https://www.econbiz.de/10005345053

The Search for Criticality

Stahnke, Richard - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345399

Patterns of Trade between Countries with Differing Age Compositions of Populations: An Overlapping Generations General Equilibrium Analysis

Sayan, Serdar - Society for Computational Economics - SCE - 2001

simulation scenarios, using an overlapping-generations general equilibrium model. The differing age compositions of populations … experiencing population aging, the paper discusses the implications of simulation results for trade between such young …

Persistent link: https://www.econbiz.de/10005345614

Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market

Society for Computational Economics - SCE - 2001

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process p_t that is observed only at a subset of times t_1, ...,t_n that depend on the outcome of...

Persistent link: https://www.econbiz.de/10005345625