a standard data base for the analysis of japanese security markets this article presents and characterizes historical japanese financial data in aggregate series and in summary statistics this data base which is calculated from newly compiled raw data on individual security returns is consistent with the center for research in security prices ibbotson sinquefield methodology for the united states thus it allows direct comparison with u s financial markets copyright 1991 by university of chicago press

market structure and the intraday pattern of bid ask spreads for nasdaq securities this article examines the intraday pattern of bid ask spreads among nasdaq stocks we find that spreads are relatively stable throughout the day but narrow significantly near the close this contrasts with the u shaped pattern for nyse stocks reported by brock and kleidon and mcinish and wood we attribute these divergent patterns to structural differences between specialist and dealer markets the wider spreads for nyse stocks near periods of market closure may reflect the market power of specialists the decline in spreads near the close for nasdaq stocks is consistent with inventory control by individual dealers copyright 1995 by university of chicago press

clustering and competition in asset markets economists financial commentators regulatory agencies and the legal community have recently criticized the nasdaq stock market inc because there is greater clustering of stock quotations on even eighths on nasdaq than on the new york stock exchange or the american stock exchange a phenomenon which critics attribute to collusion or some other defect in nasdaq market structure however as this article demonstrates clustering occurs in varying degrees in many other incontestably competitive financial markets including the nyse the amex the london stock exchange the london gold market and the international foreign exchange market this article provides a competitive theory of clustering that emphasizes the effect of uncertainty the size of transactions volatility and the informational and transactional roles of quotations on the degree of clustering in addition the article examines how market structure can affect the degree of clustering and considers the relation between clustering spread

operations research for green logistics an overview of aspects issues contributions and challenges the worldwide economic growth of the last century has given rise to a vast consumption of goods while globalization has led to large streams of goods all over the world the production transportation storage and consumption of all these goods however have created large environmental problems today global warming created by large scale emissions of greenhouse gasses is a top environmental concern governments action groups and companies are asking for measures to counter this threat operations research has a long tradition in improving operations and especially in reducing costs in this paper we present a review that highlights the contribution of operations research to green logistics which involves the integration of environmental aspects in logistics we give a sketch of the present and possible developments focussing on design planning and control in a supply chain for transportation inventory of products and facility decisions while doing this we also indicate several areas where environmental aspects could be included in or models for logistics

do investors prefer even eighth prices evidence from nyse limit orders abstract using a large sample of limit orders on nyse stocks we find that investors submit more limit orders with even eighth prices than odd eight prices however even though there are a greater number of even eighth limit orders the proportion of executing limit orders submitted with even prices is greater than those submitted with odd prices for a large portion of our sample we find that clustering on even prices is a positive function of stock price and various proxies for the dispersion in investors reservation prices the preference for even prices affects stock quotes investors are more likely to submit a quote improving limit order if the limit price is even and quoted depth is higher for even quotes than for odd quotes

price clustering in australian water markets the finding of clustering in financial prices on particular digits is common across a broad range of financial markets this article explores whether price clustering is also present in the case of the weekly market for seasonal water in rural victoria australia we find a similar degree of clustering in the seasonal water market this suggests that the trading activities of the market produce characteristics that are similar to more sophisticated and deeper financial markets

target zones and exchange rate dynamics this paper develops a simple model of exchange rate behavior under a target zone regime it shows that the expectation that monetary policy will be adjusted to limit exchange rate variation affects exchange rate behavior even when the exchange rate lies inside the zone and is thus not being defended actively somewhat surprisingly the analysis of target zones turns out to have a strong formal similarity to problems in option pricing and investment under uncertainty

a heuristic for single warehouse multiretailer supply chains with all unit transportation cost discounts abstract in supply chain management research transportation costs if explicitly considered at all are frequently assumed to be linear these costs often have a more complex form such as an all unit discount structure this piecewise cost function adds significant complexity when included in supply chain management problems and is therefore often ignored due to solution time or tractability concerns we present and evaluate a new heuristic procedure which provides good solutions to problems involving all unit discount cost functions while significantly reducing solution times the general nature of this procedure does not require assumptions about the supply chain structure or policies and is therefore applicable in a wide range of settings

who trades water allocations evidence of the characteristics of early adopters in the goulburn murray irrigation district australia 1998 1999 this article applies a model of innovation to analyze the characteristics of irrigators within the goulburn murray irrigation district in australia and examines the efficiency of the early water market in the late 1990s using multinominal and binary logit analyses we identify the factors associated with irrigators who sold or bought water allocations during 1998 1999 and irrigators who at that time had never participated in any kind of water trading contrary to expectations we find that early adopters of water trading were older farmers with low farm productivity but that in line with theory they had higher levels of education had spent less time farming had larger irrigated area farm operating surplus and farm assets owned farms that were more intensively farmed and were more progressive in their planning there was only weak evidence to suggest that water moved from lower value uses to higher value uses suggesting the water allocation market had limited efficiency in its initial years

stock price clustering and discreteness stock prices cluster on round fractions clustering increases with price level and volatility and decreases with capitalization and transaction frequency clustering is pervasive price clustering will occur if traders use discrete price sets to simplify their negotiations exchange regulations require that most stocks be traded on eighths clustering on larger fractions will occur if traders choose to use discrete price sets based on quarters halves or whole numbers an econometric model of clustering is derived and estimated projections from the results suggest that traders would frequently use odd sixteenths when trading low price stocks if exchange regulations permitted trading on sixteenths article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

price barriers and the dynamics of asset prices in equilibrium a price barrier is a price level at which a large number of investors either buy or sell securities we analyze the dynamics of asset prices in an economy in which price barriers exist our analysis suggests that asset prices and volatility can exhibit jumps when the price barrier is reached interestingly the market s anticipation of future trades can influence prices in the opposite direction from what one might expect for example when multiple barriers exist stock prices can be inflated rather than depressed in the proximity of an anticipated stock sale

conditional heteroscedasticity in time series of stock returns evidence and forecasts this article presents new evidence about the time series behavior of stock prices daily return series exhibit significant levels of second order dependence and they cannot be modeled as linear white noise processes a reasonable return generating process is empirically shown to be a first order autoregressive process with conditionally heteroskedastic innovations in particular generalized autoregressive conditional heteroskedastic garch 1 1 processes fit to data very satisfactorily various out of sample forecasts of monthly return variances are generated and compared statistically forecasts based on the garch model are found to be superior copyright 1989 by the university of chicago

a stochastic aggregate production planning model in a green supply chain considering flexible lead times nonlinear purchase and shortage cost functions in this paper we develop a stochastic programming approach to solve a multi period multi product multi site aggregate production planning problem in a green supply chain for a medium term planning horizon under the assumption of demand uncertainty the proposed model has the following features i the majority of supply chain cost parameters are considered ii quantity discounts to encourage the producer to order more from the suppliers in one period instead of splitting the order into periodical small quantities are considered iii the interrelationship between lead time and transportation cost is considered as well as that between lead time and greenhouse gas emission level iv demand uncertainty is assumed to follow a pre specified distribution function v shortages are penalized by a general multiple breakpoint function to persuade producers to reduce backorders as much as possible vi some indicators of a green supply chain such as greenhouse gas emissions and waste management are also incorporated into the model the proposed model is first a nonlinear mixed integer programming which is converted into a linear one by applying some theoretical and numerical techniques due to the convexity of the model the local solution obtained from linear programming solvers is also the global solution finally a numerical example is presented to demonstrate the validity of the proposed model

price clustering on the shanghai stock exchange abstractwe investigate price clustering of intraday trades and negotiated block trades on the shanghai stock exchange sse from 2003 to 2009 prices of traded assets tend to cluster on certain final digits such as 0 and 5 in chinese culture 8 is associated with good luck and 4 with death so these numbers may be attractive or avoided we find that price clustering on the final digit of 0 is significantly higher during the morning call auction and early in the trading day we find no evidence of price clustering for the digit 8 but there is a significant dearth of prices ending in the inauspicious number 4 price clustering is significantly higher for negotiated block trades for which about 28 end with 0 multivariate analysis shows that price clustering is lower for more liquid firms but higher for firms with higher return volatility a higher price level or when the market is volatile our evidence supports the costly negotiation hypothesis our results also support the attraction hypothesis in t

superstition and real estate prices transaction level evidence from the us housing market we investigate the impact of superstition on prices paid by chinese american home buyers chinese consider 8 lucky and 4 unlucky lacking explicit buyer ethnicity identifiers we develop a binomial

resilience and electricity systems a comparative analysis electricity systems have generally evolved based on the natural resources available locally few metrics exist to compare the security of electricity supply of different countries despite the increasing likelihood of potential shocks to the power system like energy price increases and carbon price regulation this paper seeks to calculate a robust measure of national power system resilience by analysing each step in the process of transformation from raw energy to consumed electricity countries with sizeable deposits of mineral resources are used for comparison because of the need for electricity intensive metals processing we find that shifts in electricity intensive industry can be predicted based on countries power system resilience

price clustering of chinese ipos the impact of regulation cultural factors and negotiation abstractduring june 2009 may 2012 the china securities regulatory commission csrc suspended window guidance that limits issue prices using this regime change as a natural experiment we test th

should we care psychological barriers in stock markets for three out of five major stockmarkets it is found that those levels which are a multiple of a hundred are approached and transgressed relatively infrequently we explicitly test for the effect of sample bias and conduct a forecasting experiment

a stochastic model for risk management in global supply chain networks abstract with the increasing emphasis on supply chain vulnerabilities effective mathematical tools for analyzing and understanding appropriate supply chain risk management are now attracting much attention this paper presents a stochastic model of the multi stage global supply chain network problem incorporating a set of related risks namely supply demand exchange and disruption we provide a new solution methodology using the moreau yosida regularization and design an algorithm for treating the multi stage global supply chain network problem with profit maximization and risk minimization objectives

a bi objective stochastic programming model for a centralized green supply chain with deteriorating products in recent years consumers and legislation have been pushing companies to design their activities in such a way as to reduce negative environmental impacts more and more it is therefore important to examine the optimization of total supply chain costs and environmental impacts together however because of the recycling of deteriorated items the environmental impacts of deteriorating items are more significant than those of non deteriorating ones the objective of this paper is to develop a stochastic mathematical model and to propose a new replenishment policy in a centralized supply chain for deteriorating items in this model we consider inventory and transportation costs as well as the environmental impacts under uncertain demand several transportation vehicles producing various greenhouse gas ghg levels are considered the best transportation vehicles and inventory policy are determined by finding a balance between financial and environmental criteria in this way we develop a linear mathematical model and present a numerical example from the real world to demonstrate its applicability and effectiveness we then perform a sensitivity analysis and provide some managerial insights finally more promising directions are suggested for future research

u k and u s trading of british cross listed stocks an intraday analysis of market integration this article analyzes intraday patterns for u k and u s trading of british cross listed stocks for each market the intraday patterns for these stocks closely resemble those of otherwise similar non cross listed stocks there is a 2 hour period each day when cross listed stocks are traded both in new york and in london this overlap is characterized by concentrated trading as private information originating in new york gets incorporated into prices in both markets cross border competition for order flow tends to reduce already declining spreads in london by contrast new york specialists maintain high spreads during the overlap overall the evidence indicates that order flow for cross listed securities is segmented article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

price barriers in the dow jones industrial average this study tests the popular claim that the djia s movements around key reference points affect investor sentiment and thus price behavior it is found that the djia s rise and fall is indeed restrained by support and resistance levels at multiples of 100 e g 2800 2900 3000 etc but that having broken through a 100 level the djia then moves by more than otherwise warranted a monte carlo study and comparisons with other indices confirm the significance of these findings this suggests that some agents may trade on the basis of the djia but does not necessarily suggest that the market is inefficient

the linkage between speculative attack and target zone models of exchange rates in this paper we generalize the target zone exchange rate as model formalized by krugman 1988b to include finite sized interventions in defense of the zone the main contributions of these pages consist of linking the recent developments in the theory of target zones to the mirror image theory of speculative attacks on asset price fixing regimes and in using aspects of that linkage to give an intuitive interpretation to the smooth pasting condition usually invoked as a terminal condition this abstract was borrowed from another version of this item

stock market structure and volatility the procedure for opening stocks on the nyse appears to affect price volatility an analytical framework for assessing the magnitude of the structurally induced volatility is presented the ratio of variance of open to open returns to closeto close returns is shown to be consistently greater than one for nyse common stocks during the period 1982 through 1986 tbe greater volatility at the open is not attributable to the way in which public information is released since both the opento open return and the close to close return span the same period of time instead the greater volatility appears to be attributable to private information revealed in trading and to temporaryprice deviations induced by specialist and other traders the implied cost of immediacy at the open is significantly higher than at the close other empirical evidence in this article documents the volume of trading at the open the time delays between the exchange opening and the first transaction in a stock the difference in daytime volatility versus overnight volatility and the extent to which volatility is related to trading volume

an empirical analysis of price endings with scanner data several consumer behavior theories have been offered to explain the preponderance of prices that end in the digit 9 this study attempts to incorporate these proposed behaviors into the implicit utility function of consumer choice models resulting in both a more accurate tool for managerial decision making and additional insights into how consumers actually behave toward price endings an attempt is made to compensate for both level effects those effects in which consumers may underestimate the value of a price and image effects those effects in which consumers may infer meaning from the right hand digits the models are estimated using scanner panel data for two frequently purchased products tuna and yogurt the results support the importance of accounting for the digits in consumer choice models providing evidence for both image effects and level effects

sticky prices new evidence from retail catalogs this paper presents new results on the size frequency and synchronization of price changes for twelve selected retail goods over the past 35 years three basic facts about the data are uncovered first nominal prices are typically fixed for more than one year although the time between changes is very irregular second prices change more often during periods of high overall inflation third when prices do change the sizes of the changes are widely dispersed both large and small changes occur for the same item and the sizes of these changes do not closely depend on overall inflation

a multi objective robust optimization model for multi product multi site aggregate production planning in a supply chain under uncertainty abstract manufacturers need to satisfy consumer demands in order to compete in the real world this requires the efficient operation of a supply chain planning in this research we consider a supply chain including multiple suppliers multiple manufacturers and multiple customers addressing a multi site multi period multi product aggregate production planning app problem under uncertainty first a new robust multi objective mixed integer nonlinear programming model is proposed to deal with app considering two conflicting objectives simultaneously as well as the uncertain nature of the supply chain cost parameters of the supply chain and demand fluctuations are subject to uncertainty then the problem transformed into a multi objective linear one the first objective function aims to minimize total losses of supply chain including production cost hiring firing and training cost raw material and end product inventory holding cost transportation and shortage cost the second objective function considers customer satisfaction through minimizing sum of the maximum amount of shortages among the customers zones in all periods working levels workers productivity overtime subcontracting storage capacity and lead time are also considered finally the proposed model is solved as a single objective mixed integer programming model applying the lp metrics method the practicability of the proposed model is demonstrated through its application in solving an app problem in an industrial case study the results indicate that the proposed model can provide a promising approach to fulfill an efficient production planning in a supply chain

coordinated supply chain management abstract historically the three fundamental stages of the supply chain procurement production and distribution have been managed independently buffered by large inventories increasing competitive pressures and market globalization are forcing firms to develop supply chains that can quickly respond to customer needs to remain competitive these firms must reduce operating costs while continuously improving customer service with recent advances in communications and information technology as well as a rapidly growing array of logistics options firms have an opportunity to reduce operating costs by coordinating the planning of these stages in this paper we review the literature addressing coordinated planning between two or more stages of the supply chain placing particular emphasis on models that would lend themselves to a total supply chain model finally we suggest directions for future research

performance evaluation and a flow allocation decision model for a sustainable supply chain of an apparel industry abstract there is a growing concern that business enterprises and their supply chains focus primarily on economic activities and ignore their impact on the environment and society this paper aims to help decision makers managers and practitioners to achieve economic growth societal development and environmental protection by developing sustainable supply chain performance measures and proposes a partner selection and flow allocation decision making model survey data from 278 business organizations from the indian apparel industry supply chain network were used and an integrated method of structural equation modeling fuzzy analytical hierarchy process and fuzzy multi objective linear programming was applied to the proposed model the results of the structural equation modeling analysis indicate that the survey respondents considered sustainable production performance to be of prime importance which thus indicates its significance in developing a sustainable supply chain for the apparel industry to illustrate the use of the proposed model for partner selection and flow allocation decision making real time data from an apparel manufacturer are presented optimal results were obtained for two strategies sustainability and cost saving to show a cost benefit trade off when developing a sustainable supply chain using comparative performance a decision maker can choose an appropriate strategy based on cost benefit analysis of the presented trade offs

trading and liquidity on the tokyo stock exchange a bird s eye view the trading mechanism for equities on the tokyo stock exchange tse stands in sharp contrast to the primary mechanisms used to trade stocks in the united states in the united states exchange designated specialists have affirmative obligations to provide continuous liquidity to the market specialists offer simultaneous and tight quotes to both buy and sell and supply sufficient liquidity to limit the magnitude of price changes between consecutive transactions in contradistinction the tse has no exchange designated liquidity suppliers instead liquidity is provided through a public limit order book and liquidity is organized through restrictions on maximum price changes between trades that serve to slow down trading in this article we examine the efficacy of the tse s trading mechanisms at providing liquidity our analysis is based on a complete record of transactions and best bid and best offer quotes for most stocks in the first section of the tse over a period of 26 months we study the size of the bid ask spread and its cross sectional and intertemporal stability intertemporal patterns in returns volatility volume trade size and the frequency of trades and market depth based on the response of quotes to trades and the frequency of trading halts and warning quotes the trading mechanism for equities on the tokyo stock exchange tse stands in sharp contrast to the primary mechanisms used to trade stocks in the united states in the united states exchange designated specialists have affirmative obligations to provide continuous liquidity in the market and to maintain a private limit order book with the public s limit orders on the tse exchange designated intermediaries saitori log limit orders and match them to incoming market orders but provide no market making services in the united states specialists offer simultaneous and tight quotes to both buy and sell on the tse public limit orders constitute the available bids and offers in the united states specialists supply sufficient liquidity to limit the magnitude of price changes between consecutive transactions 1 on the tse the market mechanism places limits on the magnitude of consecutive price

target zones and realignments recent contributions emphasize that the presence of exchange rate target zones has important effects on the within band behavior of exchange rates when agents are forward looking the authors find that the implications of available models are inconsistent with european exchange rate data and they suggest that the frequent realignments occurring in the period they consider may be responsible for this they construct a model in which the likelihood of a realignment in the near future increases as the exchange rate approaches the limits of its fluctuation band and show that its implications are broadly consistent with the evidence copyright 1992 by american economic association

price clustering and natural resistance points in the dutch stock market a natural experiment abstract this paper focuses on the tendency of stock prices to cluster at round numbers like 10 20 30 etc and to a lesser extent 5 15 25 etc and the related effect of round number price barriers prices pass round numbers less frequently than other numbers two competing hypotheses are tested using data from the dutch stock market of the period 1990 2001 after 1 january 1999 stock prices were listed in euros while guilders were still the currency of daily life until 2002 the aspiration level hypothesis predicts that round number effects in guilders will only slowly disappear the odd price hypothesis predicts an abrupt change in round number effects after 1 january 1999 generally the results are consistent with the odd price hypothesis

clustering in crude oil prices and the target pricing zone hypothesis abstract this paper studies the target pricing zone tpz hypothesis for crude oil by examining price clustering in the dollar digit it is hypothesized that price clustering occurs within an established tpz if opec is able to defend the upper and lower bounds through output changes the results show that prices strongly cluster around the dollar digit value of 9 within the tpz sub periods but not outside the sub periods furthermore the degree of clustering declines when production capacity utilization is high and when production significantly exceeds quotas consistent with opec s inability to defend the zone nine centered clustering also results in lower contemporaneous and next day volatility these results support the target pricing zone hypothesis of crude oil

do investors prefer round stock prices evidence from israeli ipo auctions abstract we find round number clustering in orders submitted by investors in israeli ipo auctions explanations offered for price clustering such as dealer collusion or implicit agreement to simplify negotiations cannot explain price clustering in this market therefore this is direct evidence that investors prefer round numbers

an optimization approach for supply chain management models with quantity discount policy abstract owing to the difficulty of treating nonlinear functions many supply chain management scm models assume that the average prices of materials production transportation and inventory are constant this assumption however is not practical vendors usually offer quantity discounts to encourage the buyers to order more and the producer intends to discount the unit production cost if the amount of production is large this study solves a nonlinear scm model capable of treating various quantity discount functions simultaneously including linear single breakpoint step and multiple breakpoint functions by utilizing the presented linearization techniques such a nonlinear model is approximated to a linear mixed 0 1 program solvable to obtain a global optimum

tick size bid ask spreads and market structure we propose a link between market structure and the resulting market characteristics tick size bid ask spreads quote clustering and market depth we analyze transactions data of stocks traded on the london stock exchange a dealer market we conclude that market charateristics are endogenous to the market structure the london dealer market does not have a mandated tick size and it exhibits higher spreads higher quote clusterings and higher market depth than the nyse auction market clustering of trade prices is similar in london and new york

a psychological reexamination of the bertrand paradox the bertrand paradox describes a situation in which two competing firms reach an outcome where both price at marginal cost in laboratory experiments this equilibrium is not generally observed existing empirical works on bertrand competition have found evidence for boundedly rational models we find that such models are useful in organizing behavior in early stages of the game but less so in later stages we show that a new model coarse grid nash equilibrium based on the assumption that subjects discretize the strategy space explains the data better

regulated equity returns a puzzle abstract based on a database of u s electric utility rate cases spanning nearly four decades the returns on equity authorized by regulators have exhibited a large and growing premium over the riskless rate of return this growing premium does not appear to be explained by traditional asset pricing models often in direct contrast to regulators stated intent we suggest possible alternative explanations drawn from finance public policy public choice and the behavioral economics literature however absent some normative justification for this premium it would appear that regulators are authorizing excessive returns on equity to utility investors and that these excess returns translate into tangible profits for utility firms

the upstairs market for large block transactions analysis and measurement of price effects this article develops a model of the upstairs market where order size beliefs and prices are determined endogenously we test the model s predictions using unique data for 5 625 equity trades during the period 1985 to 1992 that are known to be upstairs transactions and are identified as either buyer or seller initiated we find that price movements prior to the trade date are significantly positively related to trade size consistent with information leakage as the block is shopped upstairs further the temporary price impact or liquidity effect is a concave function of order size which may result from upstairs intermediation

extreme price clustering in the london equity index futures and options markets price clustering and optimal tick sizes have recently been topics of substantial public policy interest and this paper presents evidence which is relevant to both debates around 98 of quoted and traded prices for liffe stock index derivatives are found to occur at even ticks we report that clustering increases with volatility and transaction frequency and decreases with trade size and find that the proportion of odd ticks is significantly lower near the market open and higher near the close further an inverse relationship is reported between bid ask spreads and the number of odd ticks and spreads cluster at even tick values this evidence of extreme price clustering is the first to be presented for financial derivatives the results support both the price resolution and the negotiation hypotheses of price clustering

the impact of the new wave of financial regulation for european energy markets abstract as the financial and physical markets for energy have increasingly become intertwined energy trade is also covered by financial legislation the european commission wishes to strengthen this financial regulation of energy trade it has put forward a set of regulatory proposals aimed at stabilizing financial markets and limiting volatility of energy prices the most noteworthy are emir mad remit and the revised mifid key elements are transparency new trading venues central clearing obligations and mandatory transaction reporting this article evaluates the likely outcomes for energy markets given the new incentives for market parties it argues that although there is no ground to exempt particular energy market participants such as energy companies from financial legislation increased regulation will not necessarily bring about the effects the commission desires the causal link between derivatives trading and volatility of energy prices is not known precisely and many of the economic effects of the proposed legislation are theoretically and empirically ambiguous moreover potentially conflicting instruments and objectives risk policy inconsistency

a hybrid l shaped method to solve a bi objective stochastic transshipment enabled inventory routing problem abstract recently greenness has become a very much needed condition in the transportation industry in this study we develop a green transshipment enabled model for the inventory routing problem irp in a many to one distribution network where demand for each product is realistically assumed to be uncertain the proposed framework is a bi objective stochastic programming model the first objective function aims to minimize the expected value of the supply chain costs including inevitable shortage costs the second objective function aims to minimize the total quantity of the greenhouse gas ghg emission produced by the vehicles and disposed products we introduce a very practical innovative application of transshipment option to control transportation cost reduce ghg emissions and absorb the uncertainty in order to solve the proposed model an efficient hybrid algorithm combining l shaped method a sort of decomposition approach for stochastic optimization and compromise programming a well known approach for multi objective optimization is proposed the results show that how companies can make a reasonable tradeoff between the cost and environmental concerns and emphasize the role of transshipment option as a lever to improve both economic and environmental performance and absorb the demand fluctuations

what makes carbon traders cluster their orders abstract the ability to trade large amounts of assets at low costs could be hindered when the size of the orders is concentrated at specific trade sizes this paper documents evidence of size clustering behavior in the european carbon futures market and analyzes the circumstances under which it happens our findings show that carbon trades are concentrated in sizes of one to five contracts and in multiples of five we have also demonstrated that more clustered prices have more clustered sizes suggesting that price and size resolution in the european carbon market are complementary and that carbon traders round both the price and the size of their orders finally the analysis of the key determinants of the size clustering reveals that traders use a reduced number of different trade sizes when uncertainty is high market liquidity is poor and the desire to open new positions and cancel old ones is very strong

a high frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency we use ultra high frequency trade by trade data to demonstrate that equity price clustering and pricing predictability around psychologically important prices in greece switches away from drachma focused with the introduction of the euro but does not immediately switch to euro clustering the change in trader price focus around the euro introduction addresses an open debate in the clustering literature on whether the presence of clustering is a bias related to the current prices or anchoring to past prices our findings of a decline in drachma clustering but lack of switch to euro effects supports the case for clustering being a trading feature that is slow to transfer to new pricing regimes a key advantage of the ultra high frequency dataset is we are also able to demonstrate the presence of psychological pricing barriers related to each currency that are not detectable in daily data

an analysis of intraday patterns in price clustering on the tokyo stock exchange abstract stock prices tend to cluster at round numbers a phenomenon observed in many markets using tick by tick transaction data this article studies price clustering on the tokyo stock exchange which is a computerized limit order market as for the intraday pattern the degree of price clustering is greatest at the market opening then it decreases during the first half hour and reaches a stable level it does not increase again near the market closing there is no clear difference in clustering between call auctions and continuous auctions

patterns of rightmost digits used in advertised prices implications for nine ending effects analysis of the rightmost digits of selling prices in a sample of retail price advertisements confirmed past findings indicating the overrepresentation of the digits 0 5 and 9 the high cognitive accessibility of round numbers can account for the overrepresentation of 0 and 5 ending prices and suggests the existence of two effects that could account for the overrepresentation of 9 ending prices 1 a tendency of consumers to perceive a 9 ending price as a round number price with a small amount given back and 2 a tendency of consumers to underestimate a 9 ending price by encoding it as the first round number evoked during incomplete left to right processing analysis of the patterns of rightmost digits observed in the sample provides supportive evidence particularly for the second of these two 9 ending effects

energy management under policy and technology uncertainty energy managers in public agencies are subject to multiple and sometimes conflicting policy objectives regarding cost environmental and security concerns associated with alternative energy technologies making infrastructure investment decisions requires balancing different distributions of risks and benefits that are far from clear for example managers at permanent army installations must incorporate congressional legislative objectives executive orders department of defense directives state laws and regulations local restrictions and multiple stakeholder concerns when undertaking new energy initiatives moreover uncertainty with regard to alternative energy technologies is typically much greater than that associated with traditional technologies both because the technologies themselves are continuously evolving and because the intermittent nature of many renewable technologies makes a certain level of uncertainty irreducible this paper describes a novel stochastic multi attribute analytic approach that allows users to explore different priorities or weighting schemes in combination with uncertainties related to technology performance to illustrate the utility of this approach for understanding conflicting policy or stakeholder perspectives prioritizing the need for more information and making investment decisions we apply this approach to an energy technology decision problem representative of a permanent military base

the s p500 index effect reconsidered evidence from overnight and intraday stock price performance and volume abstract this study focuses on s p500 inclusions and deletions examining the impact of potential overnight price adjustment after the announcement of an s p500 index change we find evidence of a significant overnight price change that diminishes the returns available to speculators although there are still profits available from the first day after announcement until a few days after the actual event more importantly observing the tick by tick stock price performance and volume effects on the key days during the event window for the first time we find evidence of consistent trading patterns during trading hours a separate analysis of nasdaq and nyse listed stocks allows for a detailed examination of the price and volume effect at an intra day level we find that index funds appear to cluster their rebalancing activities near to and after the close on the event date suggesting that they are more concerned with tracking error than profit

a small world methodology of analysis of interchange energy networks the european behaviour in the economical crisis abstract european energy policy pursues the objective of a sustainable competitive and reliable supply of energy in 2007 the european commission adopted a proper energy policy for europe supported by several documents and included an action plan to meet the major energy challenges europe has to face a farsighted diversified yearly mix of energies was suggested to countries aiming at increasing security of supply and efficiency but a wide and systemic view of energy interchanges between states was missing in this paper a small world methodology of analysis of interchange energy networks iens is presented with the aim of providing a useful tool for planning sustainable energy policies a proof case is presented to validate the methodology by considering the european ien behaviour in the period of economical crisis this network is approached as a small world net from a modelling point of view by supposing that connections between states are characterised by a probability value depending on economic political relations between countries

production and shipment lot sizing in a vendor buyer supply chain with transportation cost abstract previous research on the joint vendor buyer problem focused on the production shipment schedule in terms of the number and size of batches transferred between the two parties it is a fact that transportation cost is a major part of the total operational cost however in most joint vendor buyer models the transportation cost is only considered implicitly as a part of fixed setup or ordering cost and thus is assumed to be independent of the size of the shipment as such the effect of the transportation cost is not adequately reflected in final planning decisions there is a need for models involving transportation cost explicitly for better decision making in this study we analyze the vendor buyer lot sizing problem under equal size shipment policy we introduce the complete solution of the problem in an explicit and extended manner that has not existed in the literature we incorporate transportation cost explicitly into the model and develop optimal solution procedures for solving the integrated models all unit discount transportation cost structures with and without over declaration have been considered numerical examples are presented for illustrative purpose

state renewable energy electricity policies an empirical evaluation of effectiveness over the past decade state governments have emerged as us energy policy leaders across the country states are adopting policy instruments aimed at carbon mitigation and renewable energy deployment one of the most prevalent and innovative policy instruments is a renewable portfolio standard rps which seeks to increase the share of renewable energy electrification in the electricity market this analysis evaluates the effectiveness of state energy programs with an empirical investigation of the linkage between state rps policy implementation and the percentage of renewable energy electricity generation across states we use a variant of a standard fixed effects model referred to as a fixed effects vector decomposition with state level data from 1998 to 2006 results indicate that rps implementation is not a significant predictor of the percentage of renewable energy generation out of the total generation mix yet for each additional year that a state has an rps policy they are found to increase the total amount of renewable energy generation these findings reveal a potentially significant shortcoming of rps policies political institutions natural resource endowments deregulation gross state product per capita electricity use per person electricity price and the presence of regional rps policies are also found to be significantly related to renewable energy deployment

memory and markets or why are you paying 2 99 for a widget the constraints introduced in the analysis of individual behavior in economics were mainly two income and time although we do sometimes find references to biological constraints like stomach capacity see becker 1971 p 54 it and other biological constraints implications on market behavior were not investigated the purpose of this paper is to show that consideration of the limited memory capacity of human beings sheds light both on specific features of literature and arts and on characteristics of advertising in section ii the formal model which is based on becker s 1965 approach is presented in section iii the subject of advertising is discussed while in section iv we focus on the evidence from literature and arts section v contains the conclusions

modeling regional linkage of financial markets abstract with the development of globalization and regional economic integration regional markets linked with a common currency emerge in which investors from domestic market are allowed to trade in foreign markets empirical studies have evidenced extensively the existence of co movement of asset prices or cross correlation in market returns among these markets especially in global event however there is no theoretical model in literature that can provide economically plausible justifications for these stylized facts this research intends to fill up such a gap with a simplest possible nonlinear dynamic model based on the classical market maker framework of day and huang 1990 a two market ham model is developed which does not only prove in theory the existence of price co movement but also replicate in simulation this typical characteristic along with other well known stylized facts characterizing individual financial market moreover theoretical analysis suggests meaningful implications for market opening policy in particular in terms of financial stability a relatively small market may not benefit from market linkage and market opening is essentially a double edged sword

losing sleep at the market the daylight saving anomaly reply motivated by the recent flurry of activity in sleep research this paper explores the connection between sleep disruptions following spring and fall clock shifts associated with daylight savings time and equity returns it is shown that the weekend effect in the form of the lower than expected friday to monday returns is particularly pronounced for the two weekends involving daylight savings clock changes this abstract was borrowed from another version of this item

bank deposit rate clustering theory and empirical evidence the market prices of stocks and other assets tend to cluster on round fractions a similar clustering is found in the interest rates paid on retail bank deposits however the theoretical rationales given for asset price clustering are incompatible with the clustering of retail deposit rates this paper proposes a theory based on depositors limited recall it shows that when banks exploit this phenomenon deposit rates will tend to be set at round fractions and will be relatively sticky at these levels the implications of this theoretical model are tested using money market deposit account and retail certificate of deposit interest rate data from a sample of more than 500 banks