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Electricity Trading and Negative Prices: Storage vs. Disposal
, 2014
"... Electricity cannot yet be stored on a large scale, but technological advances leading to cheaper and more efficient industrial batteries make gridlevel storage of electricity surpluses a natural choice. Because electricity prices can be negative, it is unclear how the presence of negative prices m ..."
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Electricity cannot yet be stored on a large scale, but technological advances leading to cheaper and more efficient industrial batteries make gridlevel storage of electricity surpluses a natural choice. Because electricity prices can be negative, it is unclear how the presence of negative prices
Adding Negative Prices to Priced Timed Games?
"... Abstract. Priced timed games (PTGs) are twoplayer zerosum games played on the infinite graph of configurations of priced timed automata where two players take turns to choose transitions in order to optimize cost to reach target states. Bouyer et al. and Alur, Bernadsky, and Madhusudan independen ..."
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Cited by 2 (1 self)
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husudan independently proposed algorithms to solve PTGs with nonnegative prices under certain divergence restriction over prices. Brihaye, Bruyère, and Raskin later provided a justification for such a restriction by showing the undecidability of the optimal strategy synthesis problem in the absence of this divergence
Investor psychology and security market under and overreactions
 Journal of Finance
, 1998
"... We propose a theory of securities market under and overreactions based on two wellknown psychological biases: investor overconfidence about the precision of private information; and biased selfattribution, which causes asymmetric shifts in investors ’ confidence as a function of their investment ..."
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Cited by 698 (43 self)
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outcomes. We show that overconfidence implies negative longlag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, publiceventbased return predictability. Biased selfattribution adds positive shortlag autocorrelations ~“momentum”!, short
Monopolistic competition and optimum product diversity. The American Economic Review,
, 1977
"... The basic issue concerning production in welfare economics is whether a market solution will yield the socially optimum kinds and quantities of commodities. It is well known that problems can arise for three broad reasons: distributive justice; external effects; and scale economies. This paper is c ..."
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Cited by 1911 (5 self)
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. Such an optimum can be realized in a market if perfectly discriminatory pricing is possible. Otherwise we face conflicting problems. A competitive market fulfilling the marginal condition would be unsustainable because total profits would be negative. An element of monopoly would allow positive profits, but would
The Variance Gamma Process and Option Pricing.
 European Finance Review
, 1998
"... : A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional par ..."
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Cited by 365 (34 self)
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densities are estimated for data on the S&P500 Index and the prices of options on this Index. It is observed that the statistical density is symmetric with some kurtosis, while the risk neutral density is negatively skewed with a larger kurtosis. The additional parameters also correct for pricing biases
Nonparametric Estimation of StatePrice Densities Implicit In Financial Asset Prices
 JOURNAL OF FINANCE
, 1997
"... Implicit in the prices of traded financial assets are ArrowDebreu prices or, with continuous states, the stateprice density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and derive its asymptotic sampling theory. This estimator provides an arbitragefree metho ..."
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Cited by 339 (6 self)
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free method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an assetpricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility "smiles" for option prices. We perform Monte Carlo experiments
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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the probability of default. Changes in the Probability or Magnitude of a Downward Jump in Firm Value Implied volatility smiles in observed option prices suggest that markets account for the probability of large negative jumps in firm value. Thus, increases in either the probability or the magnitude of a negative
New Directions in Traffic Measurement and Accounting
, 2001
"... Accurate network traffic measurement is required for accounting, bandwidth provisioning, and detecting DOS attacks. However, keeping a counter to measure the traffic sent by each of a million concurrent flows is too expensive (using SRAM) or slow (using DRAM). The current stateoftheart (e.g., Cis ..."
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Cited by 353 (11 self)
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provable bounds on the accuracy of measured rates and the probability of false negatives. We also propose a new form of accounting called threshold accounting in which only flows above threshold are charged by usage while the rest are charged a fixed fee. Threshold accounting generalizes the familiar
Price Momentum and Trading Volume
 Journal of Finance
"... This study shows that past trading volume provides an important link between “momentum ” and “value ” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many glamour ~value! characteristics, earn lower ~higher! future returns, and have consistently more negativ ..."
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Cited by 195 (11 self)
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negative ~positive! earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high ~low! volume winners ~losers! experience faster reversals
Pennies from eBay: the Determinants of Price in Online Auctions,’ The
 Journal of Industrial Economics
, 2006
"... This paper presents an exploratory analysis of the determinants of prices in online auctions for collectible United States onecent coins at the eBay Web site. Starting with an initial data set of 20,000 auctions, we perform regression analysis on a restricted sample of 461 coins for which we obtain ..."
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Cited by 204 (1 self)
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obtained estimates of book value. We have three major findings. First, a seller’s feedback ratings, reported by other eBay users, have a measurable effect on her auction prices. Negative feedback ratings have a much greater effect than positive feedback ratings do. Second, minimum bids and reserve prices
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