Weighted average price management of sales under the given minimum volume of assets obligatory for realization

2021 ◽  
pp. 2150035
Author(s):  
Kirill V. Svetlov ◽  
Sergey A. Vavilov
Keyword(s):  
Market Price ◽  
Weighted Average ◽  
Minimum Volume ◽  
Average Price ◽  
Market Prices ◽  
Time Period ◽  
World Markets ◽  
Asset Trading ◽  
Model Coefficient ◽  
The Given

In this paper, we consider the construction of a sales management strategy for a highly liquid asset trading at the market. The proposed strategy goal is to maximize the weighted average price of sales. It is assumed that the market price follows a geometric Brownian motion process in which drift and volatility coefficients are random functions of time. The important feature of the given management is that the volumes of assets in the succession of buy and sell executed bargains are calculated exclusively on the basis of the observed market prices rather than on the model coefficient values. In contrast to the management proposed earlier in this study, obligatory realization of some minimum volume of assets on the given time period is demanded. Examples of real-world markets trade demonstrating the imposed constraints effect on the weighted average price values obtained within the constructed management are given.

Principal Trading Arrangements: When Are Common Contracts Optimal?

2021 ◽  
Author(s):  
Markus Baldauf ◽  
Christoph Frei ◽  
Joshua Mollner
Keyword(s):  
Weighted Average ◽  
Principal Agent ◽  
Financial Contracting ◽  
Average Price ◽  
Market Prices ◽  
Principal Agent Problem ◽  
Financial Arrangements

Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are as follows: (i) guaranteed volume-weighted average price (VWAP) contracts, which reference the VWAP prevailing over an execution window, and (ii) market-on-close contracts, which reference the price prevailing at the window’s end. To study such situations, we introduce a stylized model of financial contracting between a client, who wishes to trade a large position, and the client’s dealer. We provide conditions under which guaranteed VWAP contracts are optimal in this principal-agent problem. In contrast, market-on-close contracts generally cannot be optimal. These results explain the use of guaranteed VWAP contracts in practice, question the use of market-on-close contracts, and suggest considerations for the design of financial benchmarks. This paper was accepted by Haoxiang Zhu, finance.

scholarly journals EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL

2014 ◽  
Vol 17 (06) ◽  
pp. 1450036 ◽  
Author(s):  
ALEXANDER BURYAK ◽  
IVAN GUO
Keyword(s):  
Market Price ◽  
Weighted Average ◽  
Incomplete Market ◽  
Gamma Process ◽  
Options Pricing ◽  
Average Price ◽  
Pricing Model ◽  
Pricing Models ◽  
Gamma Distributions

Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP options. This can be explained by the fact that the VWAP pricing problem is set in an incomplete market since there is no underlying with which to hedge the volume risk, and hence there is no uniquely defined price. Any price, which is obtained will include a market price of volume risk which must be determined from the corresponding volume statistics. Our analysis strongly supports the hypothesis that the empirical volume statistics of ASX equities can be described reasonably well by fitted gamma distributions. Based on this observation we suggest a simple gamma process-based model that allows for the exact analytic pricing of VWAP options in a rather straightforward way.

scholarly journals ECONOMIC EFFICIENCY OF DETERMINING THE MARKET PRICE OF CONSTRUCTION RESOURCES WITHIN THE LIMITED BUDGET

2020 ◽  
Vol 1 (4) ◽  
pp. 133-138
Author(s):  
Serhii Sichnyi
Keyword(s):  
Discrete Optimization ◽  
Input Data ◽  
Building Materials ◽  
Economic Effect ◽  
Market Price ◽  
Market Prices ◽  
Limited Budget ◽  
The Difference ◽  
The Given ◽  
Initial List

The article examines the analysis of current prices in the market of building materials, products, structures, machines, and mechanisms (construction resources), which is performed by construction participants. The aim of the article is to study the possibility of achieving the maximum economic effect of the analysis of current prices in the market of construction resources within a limited budget. A universal mathematical approach is proposed to calculate the economic effect of the analysis of current prices in the market of construction resources, which is based on a selective method of the research of the market value of construction resources. The calculations take into account the difference between the real resources presented on the market and the estimated construction resources (resource position of the estimate), between the market price and the estimated market price of the construction resource. While performing the analysis of current prices on the market of construction resources in the given conditions of the limited budget the option to reduce the general list of resources by a selection of the optimum list with an application of methods of discrete optimization is offered. The condition for the formation of an abbreviated list of resources is the maximum economic effect that can be obtained from the analysis of current prices for selected resources. Method of heuristic rules is proposed, which allow to significantly reducing the initial list of resources by a simple analysis of input data. The application of these rules allows to reduce the variability of input data for discrete optimization or not to carry it out at all, because the amount of resources selected with their help satisfies the condition of the budget constraint. Recommendations on the composition of the source data are given – this is the project documentation and/or the market price of construction resources as a basis for comparison and information on the range of market prices (scope of sample variation) for the resources included in the study. In the article there are given examples of the practical application of the technique in the conditions of the construction industry in Ukraine. In general, the proposed approach can be used at all stages of variant BIMdesign, when it is necessary to determine the most optimal composition of structures and resources that meet the requirements for the life cycle of the object. Including under the condition of gradual detailing of constructs (an increase of LOD of the project), during designing, up to resources at a stage “Working project”. The main advantages of the proposed method are universality – it does not depend on the ultimate goal of the results of the customer and / or contractor and scalability – it can be applied to the structure, its individual design, or several resources.

A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION

2007 ◽  
Vol 10 (01) ◽  
pp. 95-110 ◽  
Author(s):  
ANTONY WILLIAM STACE
Keyword(s):  
Lognormal Distribution ◽  
Market Price ◽  
Weighted Average ◽  
Moment Matching ◽  
Average Price ◽  
Final Time ◽  
Price Of Risk ◽  
Analogous Manner ◽  
Digital Options ◽  
Price Option

In this paper we develop a method to find the price of several options whose payoff depends on a volume weighted average price (VWAP). Fixed and floating strike VWAP, together with digital VWAP contracts are considered. Throughout we assume that the stock follows a geometric Brownian motion and the rate of trades evolves as a mean reverting process. It is assumed that the VWAP at the final time has a lognormal distribution. The parameters of the approximating lognormal distribution are obtained by matching the first two moments of the volume weighted average price with a lognormal process. A price is then obtained for the fixed strike and digital options when the market price of risk is a constant. We concentrate on the price for calls, prices for puts can be obtained in an analogous manner.

scholarly journals Analysis of price interactions between Czech and world wheat markets

2010 ◽  
Vol 58 (6) ◽  
pp. 533-542 ◽  
Author(s):  
Pavel Syrovátka
Keyword(s):  
Price Dynamics ◽  
Short Term ◽  
Market Prices ◽  
World Markets ◽  
Wheat Market ◽  
Long Term Impact ◽  
The Given ◽  
The International Monetary Fund ◽  
Integration Analysis

The paper is focused on the analysis of the price interactions between the Czech and world markets for the wheat. The long-term interactions of the wheat market prices were tested by means of the co-integration analysis (Engle-Granger test). The dynamic autoregressive model developed by the author was used for evaluation of the short-term price interactions. Monthly time series of the market prices from January 1995 till April 2010 were obtained from the Czech Statistical Office and the International Monetary Fund. The results of the co-integration analysis showed, that the price dynamics in the world wheat market does not have a long-term impact on the level of prices in the Czech market for the given commodity. According to the constructed and statistically verified model, the short-term price interactions between the studied markets are not strong too. The value of the determination index (0.5063) implies other factors forming the price dynamics of the Czech wheat market.

The Ideology of Socialism and the Armenian Political Parties

wisdom ◽  
2020 ◽  
Vol 15 (2) ◽  
pp. 107-113
Author(s):  
Gegham HOVHANNISYAN
Keyword(s):  
Political Parties ◽  
Political Life ◽  
The Political ◽  
Political Organizations ◽  
Social Democrats ◽  
Time Period ◽  
The Social ◽  
Political Forces ◽  
The 19Th Century ◽  
The Given

The article covers the manifestations and peculiarities of the ideology of socialism in the social-political life of Armenia at the end of the 19th century and the beginning of the 20th century. General characteristics, aims and directions of activity of the political organizations functioning in the Armenian reality within the given time-period, whose program documents feature the ideology of socialism to one degree or another, are given (Hunchakian Party, Dashnaktsutyun, Armenian Social-democrats, Specifics, Socialists-revolutionaries). The specific peculiarities of the national-political life of Armenia in the given time-period and their impact on the ideology of political forces are introduced.

Utilization of remote sensing for estimation of scale of cutting and growing of forest zones

2017 ◽  
Vol 920 (2) ◽  
pp. 57-60
Author(s):  
F.E. Guliyeva
Keyword(s):  
Remote Sensing ◽  
Fixed Time ◽  
Time Interval ◽  
Time Points ◽  
Average Value ◽  
Time Period ◽  
Remote Estimation ◽  
The Given ◽  
Forest Cutting

The study of results of relevant works on remote sensing of forests has shown that the known methods of remote estimation of forest cuts and growth don’t allow to calculate the objective average value of forests cut volume during the fixed time period. The existing mathematical estimates are not monotonous and make it possible to estimate primitively the scale of cutting by computing the ratio of data in two fixed time points. In the article the extreme properties of the considered estimates for deforestation and reforestation models are researched. The extreme features of integrated averaged values of given estimates upon limitations applied on variables, characterizing the deforestation and reforestation processes are studied. The integrated parameter, making it possible to calculate the averaged value of estimates of forest cutting, computed for all fixed time period with a fixed step is suggested. It is shown mathematically that the given estimate has a monotonous feature in regard of value of given time interval and make it possible to evaluate objectively the scales of forest cutting.

UJI TINGKAT KESESUAIAN NILAI JUAL OBJEK PAJAK DENGAN MENGGUNAKAN APLIKASI ASSESSMENT RATIO

INFO ARTHA ◽  
2021 ◽  
Vol 5 (1) ◽  
pp. 45-53
Author(s):  
Swasito Adhipradana Prabu
Keyword(s):  
Market Price ◽  
Current Level ◽  
Accuracy Rate ◽  
Tax Base ◽  
Market Prices ◽  
Administration System ◽  
Positive Correlation ◽  
Big Cities ◽  
Better Than

The decentralization of PBB-P2 in Indonesia is expected to produce a better PBB-P2 administration system. One indicator of a better PBB-P2 administration system is a fair collection of PBB-P2 based on tax base (NJOP) valuation close to market prices. This study examines whether NJOP, as the basis for the imposition of PBB-P2, is in accordance with the market price using the assessment ratio. This study found that the current level of accuracy of the NJOP has not met the standard agreed upon by the IAAO. In addition, this study also found that the NJOP accuracy rate in big cities was slightly better than the NJOP accuracy rate in other cities. In addition, this study also found that there was no positive correlation between NJOP updating activities through SPOP filling and NJOP accuracy. Desentralisasi PBB-P2 di Indonesia diharapkan menghasilkan sistem penatausahaan PBB-P2 yang lebih baik. Salah satu indikator dari sistem penatausahaan PBB-P2 yang lebih baik adalah pemungutan PBB-P2 yang adil dengan dasar pengenaan pajak (NJOP) yang mendekati harga pasar. Studi ini meneliti apakah NJOP sebagai dasar pengenaan PBB-P2 sudah sesuai dengan harga pasar menggunakan assessment ratio. Penelitian ini menemukan bahwa tingkat akurasi NJOP saat ini belum memenuhi standar yang disepakati oleh IAAO. Selain itu, penelitian ini juga menemukan bahwa tingkat akurasi NJOP di kota besar, sedikit lebih baik dibanding tingkaat akurasi NJOP di kota-kota lainnya. Selain itu, penelitian ini juga menemukan bahwa tidak ada korelasi positif antara kegiatan pemutakhiran NJOP melalui pengisian SPOP dengan tingkat akurasi NJOP.

scholarly journals Fractional differencing in stock market price and online presence of global tourist corporations

2019 ◽  
Vol 24 (48) ◽  
pp. 194-204 ◽  
Author(s):  
Francisco Flores-Muñoz ◽  
Alberto Javier Báez-García ◽  
Josué Gutiérrez-Barroso
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Market Price ◽  
Google Trends ◽  
Data Sets ◽  
Market Prices ◽  
Content Type ◽  
Search Results ◽  
Online Presence ◽  
Fractional Differencing

Purpose This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model. This behavior will be compared with a measure of online presence, search engine results as measured by Google Trends. Design/methodology/approach The study sample is comprised by the companies listed at the STOXX® Global 3000 Travel and Leisure. Google Finance and Yahoo Finance, along with Google Trends, were used, respectively, to obtain the data of stock prices and search results, for a period of five years (October 2012 to October 2017). To guarantee certain comparability between the two data sets, weekly observations were collected, with a total figure of 118 firms, two time series each (price and search results), around 61,000 observations. Findings Relationships between the two data sets are explored, with theoretical implications for the fields of economics, finance and management. Tourist corporations were analyzed owing to their growing economic impact. The estimations are initially consistent with long memory; so, they suggest that both stock market prices and online search trends deserve further exploration for modeling and forecasting. Significant differences owing to country and sector effects are also shown. Originality/value This research contributes in two different ways: it demonstrate the potential of a new tool for the analysis of relevant time series to monitor the behavior of firms and markets, and it suggests several theoretical pathways for further research in the specific topics of asymmetry of information and corporate transparency, proposing pertinent bridges between the two fields.

scholarly journals The Model of Sociological Education in the USSR (the Late 1950s — Early 1980s)

2021 ◽  
pp. 112-117
Author(s):  
Sergei V. Kozin ◽  
Zhanna B. Litvinova
Keyword(s):  
Sociological Research ◽  
Scientific Publications ◽  
Mutual Exchange ◽  
Research Areas ◽  
Time Period ◽  
The Given ◽  
Soviet Sociology

The article provides an analysis of foreign and Soviet scientific publications devoted to the problem of sociological education, the “revival” of Soviet sociology, as well as to the role and place of sociology among the sciences, in society and education. The given study covers the time period of the late 1950s — early 1980s and briefly describes the education of the population of the USSR at that time. Looking through the works on Soviet sociology, the authors show that sociology was introduced not only into the research areas of specific universities and laboratories, but also into many other branches and spheres of activity, as well as into the authorities’ activity. The authors of the article purposefully focus on the role of consolidation and mutual exchange of sociological research from various sociological services.

Sign in / Sign up

Export Citation Format

Share Document