scholarly journals Estimation of a Heterogeneous Demand Function with Berkson Errors

2021 ◽  
pp. 1-40
Author(s):  
Richard Blundell ◽  
Joel Horowitz ◽  
Matthias Parey
Keyword(s):  
Unobserved Heterogeneity ◽  
Market Price ◽  
Weighted Average ◽  
External Information ◽  
Gasoline Demand ◽  
Empirical Microeconomics ◽  
Shape Constraint ◽  
Heterogeneous Demand ◽  
Price Distribution ◽  
Transaction Price

Berkson errors are commonplace in empirical microeconomics. In consumer demand this form of measurement error occurs when the price an individual pays is measured by the (weighted) average price paid by individuals in a group (e.g., a county), rather than the true transaction price. We show the importance of Berkson errors for demand estimation with nonseparable unobserved heterogeneity. We develop a consistent estimator using external information on the true price distribution. Examining gasoline demand in the U.S., we document substantial within-market price variability. Accounting for Berkson errors is quantitatively important. Imposing the Slutsky shape constraint reduces sensitivity to Berkson errors.

The Dynamics Between Forward Citations and Price of Singleton Patents

2015 ◽  
Vol 12 (03) ◽  
pp. 1540003 ◽  
Author(s):  
Shyam Sreekumaran Nair ◽  
Mary Mathew
Keyword(s):  
Case Studies ◽  
Latent Variables ◽  
Market Price ◽  
Citation Distribution ◽  
Price Distribution ◽  
Auction Price ◽  
Business Practitioners ◽  
The Right ◽  
Forward Citations

In recent years, business practitioners are seen valuing patents on the basis of the market price that the patent can attract. Researchers have also looked into various patent latent variables and firm variables that influence the price of a patent. Forward citations of a patent are shown to play a role in determining price. Using patent auction price data (of Ocean Tomo now ICAP patent brokerage), we delve deeper into the role of forward citations. The successfully sold 167 singleton patents form the sample of our study. We found that, it is mainly the right tail of the citation distribution that explains the high prices of the patents falling on the right tail of the price distribution. There is consistency in the literature on the positive correlation between patent prices and forward citations. In this paper, we go deeper to understand this linear relationship through case studies. Case studies of patents with high and low citations are described in this paper to understand why some patents attracted high prices. We look into the role of additional patent latent variables like age, technology discipline, class and breadth of the patent in influencing citations that a patent receives.

scholarly journals The Effect of Mergers in Search Markets: Evidence from the Canadian Mortgage Industry

2014 ◽  
Vol 104 (10) ◽  
pp. 3365-3396 ◽  
Author(s):  
Jason Allen ◽  
Robert Clark ◽  
Jean-François Houde
Keyword(s):  
Interest Rates ◽  
Negotiation Process ◽  
Mortgage Market ◽  
Reduced Form ◽  
Mortgage Industry ◽  
Price Distribution ◽  
Distributional Impact ◽  
The Relationship ◽  
Transaction Price ◽  
Bargaining Positions

We examine the relationship between concentration and price dispersion using variation induced by a merger in the Canadian mortgage market. Since interest rates are determined through a search and negotiation process, consolidation weakens consumers' bargaining positions. We use reduced-form techniques to estimate the mergers' distributional impact, and show that competition benefits only consumers at the bottom and middle of the transaction price distribution, and that mergers reduce the dispersion of prices. We illustrate that these effects can be explained by the presence of search frictions, and that the average effect of mergers on rates underestimates the increase in market power. (JEL G21, G34, K21, L13, L41)

scholarly journals MODEL OF EVALUATION THE FEASIBILITY OF INDUSTRIAL CUSTOMERS TO HOURLY ACCOUNTING OF RETAIL ELECTRICITY MARKET

2021 ◽  
pp. 88-97
Author(s):  
I. Blinov ◽  
E. Parus ◽  
V. Miroshnyk ◽  
P. Shymaniuk ◽  
V. Sychova
Keyword(s):  
Electricity Market ◽  
Market Price ◽  
Electricity Consumption ◽  
Weighted Average ◽  
Load Schedule ◽  
Main Components ◽  
The Individual ◽  
The Cost ◽  
Daily Load ◽  
Final Consumer

The main differences in pricing and tariffing for industrial consumers of electricity with different forms of electricity metering are considered. Based on the analysis of tariff formation for the final consumer of electricity, components are identified that have a significant impact on the results of solving the problem of assessing the feasibility of the consumer's transition to hourly electricity metering. Such components include the cost of purchasing electricity in the market segment "day ahead" and the cost of accrued imbalances. The relative daily profile of electricity consumption is considered in order to study the influence of the features of the daily load schedule on the weighted average daily market price of electricity. The importance of estimating the cost of daily load profiles when comparing the cost of electricity for the consumer in the group with integrated electricity metering and in terms of individual hourly metering is substantiated. The effect of underestimation of volumes and value of imbalances in the group with integrated electricity metering in comparison with hourly accruals of volumes and value of imbalances is theoretically substantiated. The main components for comparative assessment of the expediency of the consumer's exit from the group with integrated metering of electricity and the transition to its hourly metering according to the individual daily load schedule are identified. Mathematical models for comparative calculations are developed. The use of these models allows to make an economically justified decision on the expediency of the consumer leaving the group without hourly metering of electricity to the model of purchasing electricity with hourly metering. The main approaches to such an assessment are demonstrated on the example of calculations for an industrial enterprise in some regions of Ukraine. Bibl. 15, fig. 3.

scholarly journals Professor Nurkse and the Marketing Boards

1965 ◽  
Vol 5 (4) ◽  
pp. 631-637
Author(s):  
Gordon C. Winston
Keyword(s):  
Free Market ◽  
Market Price ◽  
Weighted Average ◽  
World Market ◽  
Supply Function ◽  
Domestic Price ◽  
Primary Products ◽  
The World ◽  
Short Run ◽  
Demand Fluctuations

rofessor Nurkse presented a compelling case against the price stabilization policies of national marketing boards for primary products based on the fact that these policies may reduce the quantity of foreign revenue accruing to the primary producing country [1], If they do, they may act to restrict the rate of economic development. To maximize export earnings, he proposed elimination of the marketing boards' function of insulating domestic producers of primary products from demand fluctuations on the world market. These demand fluctua¬tions were considered to be the result of cyclical fluctuations within the advanced countries, hence they were treated in a short-run context. To see Professor Nurkse's argument, consider a marketing board which has as its objective the stabilization of the price of a primary product, X, to the domestic producers of X in country A by use of a buffer fund1. This will be accomplished by the board, as a domestic monopsonist, if it fixes a price for its purchases of the product, then sells on the world market for whatever it can get in light of world demand conditions. Assuming that stabilization of price is its sole objective, it will select a domestic price which represents the anticipated weighted average of the world market price over some time period so that the board itself will, hopefully, show neither a profit nor a loss at the end of the period from these tax and subsidy operations. While the short run free market supply function, Sf (which we assume to be linear, of positive price elasticity, stable, and responsive without lags), still exists, the stabilization of domestic price at p in Figure 1 will yield a supply function to the world market, Sm, which is perfectly inelastic at the quantity, Q.

scholarly journals COMPLEX MODEL OF MARKET PRICE DEVELOPMENT AND ITS SIMULATION

2015 ◽  
Vol 16 (4) ◽  
pp. 786-807 ◽  
Author(s):  
Bohumil Stádník ◽  
Algita Miečinskienė
Keyword(s):  
Resonance Effect ◽  
Market Price ◽  
Complex Model ◽  
Simulation Environment ◽  
Asset Valuation ◽  
Price Development ◽  
The Real ◽  
Real Price ◽  
Price Distribution ◽  
Fft Analysis

The purpose of this study is to suggest a complex model of market price development for liquid assets, which is able to simulate all of the main features particular to the real price development and has a realistic financial explanation. First, the paper defines assumptions for the model construction from empirically observed processes. Then, the model is implemented in the real simulation environment. Finally, the ability of the model is checked to simulate empirically observed features, e.g. leptokurtic characteristics or skewness of the price distribution. Also, this paper newly defines and implements the resonance effect. FFT analysis is used to support oscillation processes. Finally, selected markets are provided with parameter optimisation of the model based on empirical observations. It was found that the model built under the previously mentioned assumptions was able to explain empirically observed effects that reversely support the correctness of those assumptions. The practical value of the constructed model can be found in many areas, including risk management and asset valuation.

scholarly journals ON USING LINEAR QUANTILE REGRESSIONS FOR CAUSAL INFERENCE

2016 ◽  
Vol 33 (3) ◽  
pp. 664-690 ◽  
Author(s):  
Ryutah Kato ◽  
Yuya Sasaki
Keyword(s):  
Causal Inference ◽  
Unobserved Heterogeneity ◽  
Weighted Average ◽  
Quantile Function ◽  
Structural Function ◽  
Slope Parameter ◽  
Quantile Regressions ◽  
Conditional Quantile ◽  
Conditional Quantile Function ◽  
Linear Regressions

We show that the slope parameter of the linear quantile regression measures a weighted average of the local slopes of the conditional quantile function. Extending this result, we also show that the slope parameter measures a weighted average of the partial effects for a general structural function. Our results support the use of linear quantile regressions for causal inference in the presence of nonlinearity and multivariate unobserved heterogeneity. The same conclusion applies to linear regressions.

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.

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.

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.

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