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Replenishment Policy with Limited Price Information
Asia-Pacific Journal of Operational Research, 2022In this paper, we seek to provide real-time replenishment policy for a capacitated company that faces an exogenous demand and has to procure and store sufficient quantities of certain items with uncertain procurement prices. The objective is to minimize the total cost of the procuring cost and inventory holding cost without stock out. Motivated by the
Zhang, Xiaoyue +3 more
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Do Price Limits Limit Price Discovery in the Presence of Options?
SSRN Electronic Journal, 2006We examine the effect of price limits on futures contracts where there exist options contracts on those futures that have no price limits. We establish that when options are trading, the futures price implied by put-call parity provides an accurate prediction of the unconstrained futures price.
David Reiffen +2 more
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The Bell Journal of Economics, 1978
If a monopolist is selling a commodity to consumers who could, if they chose, produce a close substitute, but only after incurring heavy capital investment (we have oil in mind), then the monopolist's optimal limit pricing strategy may involve randomizing prices even though stable prices would be feasible.
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If a monopolist is selling a commodity to consumers who could, if they chose, produce a close substitute, but only after incurring heavy capital investment (we have oil in mind), then the monopolist's optimal limit pricing strategy may involve randomizing prices even though stable prices would be feasible.
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, 2011 A new theory of limit pricing is provided which works through the vertical contract signed between an incumbent manufacturer and a retailer. We establish conditions under which the incumbent can obtain full monopoly profits, even if the potential entrant is more efficient.
Aggey Semenov, Julian Wright
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Pacific-Basin Finance Journal, 2017
This study provides new evidence on efficacy of daily price limit rules. We propose use of propensity score matching techniques to reduce sample selection bias in widely used Kim and Rhee (1997). Using data from the Tokyo Stock Exchange over a period of 5 years from January 2001 to December 2005, this study shows that price limit rules work quite ...
Saikat Sovan Deb +2 more
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This study provides new evidence on efficacy of daily price limit rules. We propose use of propensity score matching techniques to reduce sample selection bias in widely used Kim and Rhee (1997). Using data from the Tokyo Stock Exchange over a period of 5 years from January 2001 to December 2005, this study shows that price limit rules work quite ...
Saikat Sovan Deb +2 more
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RECONSIDERING PRICE LIMIT EFFECTIVENESS
Journal of Financial Research, 2013AbstractWe study China's experience with price limits by comparing a period with price limits to a period without price limits. Although many prior studies document costs of price limits, we show benefits of price limits. We find that price limits can facilitate price discovery, moderate transitory volatility, and mitigate abnormal trading activity.
Kenneth A. Kim +2 more
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Review of Quantitative Finance and Accounting, 1997
Price limits, which restrict daily price changes of a stock within a pre-specified range, make the stochastic properties of observed returns deviate from those of true returns, and hence lead to a biased estimates of the market model parameters.
SANG BIN Lee, DAE JOONG Kim
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Price limits, which restrict daily price changes of a stock within a pre-specified range, make the stochastic properties of observed returns deviate from those of true returns, and hence lead to a biased estimates of the market model parameters.
SANG BIN Lee, DAE JOONG Kim
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Characterizing limit order prices
Physica A: Statistical Mechanics and its Applications, 2013Abstract A computational model of a limit order book is used to study the effect of different limit order distribution offsets. Reference prices such as same side/contra side best market prices and last traded price are considered in combination with different price offset distributions.
R.M. Withanawasam +2 more
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Volatility, Price Resolution, and the Effectiveness of Price Limits
Journal of Financial Services Research, 1989Following the market crash in 1987, there has been increased interest in the usefulness of price limits as well as other forms of market controls. The purpose of this research is to investigate price limits and the empirical behavior of futures prices for a selected group of commodities around price limits. For the group of commodities examined in this
Christopher K. Ma +2 more
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Signalling Strength: Limit Pricing and Predatory Pricing
The RAND Journal of Economics, 1992This article merges two areas of strategic pricing theory. A dynamic signalling game with two-sided uncertainty is presented in which an incumbent is confronted with potential entry and chooses between limit pricing and predatory pricing as a means of achieving or maintaining monopoly profit.
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