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Limit price

About: Limit price is a research topic. Over the lifetime, 4865 publications have been published within this topic receiving 148546 citations.


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TL;DR: The paper analyzes the case of a single supplier offering the product to a heterogeneous population and finds that the decision can be decoupled into two nested optimization problems: a given some market size, what should the optimal nonlinear price schedule be?
Abstract: We consider the pricing decision for a new product whose consumption value increases as the network of adopters expands. This demand interdependence is a characteristic feature of telecommunications networks. The paper analyzes the case of a single supplier offering the product to a heterogeneous population. Consumers decide on network access and consumption quantity. The pricing decision consists of choosing a pricing schedule over the dimensions of quantity and time that maximizes the present value of a weighted sum of total surplus and producer profits, subject to the dynamics of market growth. We find that the decision can be decoupled into two nested optimization problems: a given some market size, what should the optimal nonlinear price schedule be? and b how should the price schedule be changed optimally over time? This separation enables us to solve the pricing problem. Explicit consideration of the dynamics, the discounting of future surpluses, and the extent of market growth anticipation affect not only the price and network size trajectories, but also their steady-state equilibrium values.

49 citations

Posted Content
TL;DR: In this article, the authors examine the issues of market efficiency and price discovery in the European Union carbon futures market and suggest that none of the three carbon futures contracts examined here are priced according to the cost-of-carry model, although two of the contracts form a stable long-run relationship with the spot price and interest rates, and hence act as adequate risk mitigation instruments.
Abstract: We examine the issues of market efficiency and price discovery in the European Union carbon futures market. Our findings suggest that none of the three carbon futures contracts examined here are priced according to the cost-of-carry model, although two of the three contracts form a stable long-run relationship with the spot price and interest rates, and hence act as adequate risk mitigation instruments. In terms of information diffusion between the futures and spot contracts, it appears that the spot and futures markets share information efficiently and contribute to price discovery jointly. However, our analysis suggests that the predominant source of information spillovers appears to be the sign or direction of price change, i.e. return spillover, rather than the magnitude of price change, i.e. volatility spillover.

49 citations

Journal ArticleDOI
TL;DR: The findings suggest that the maturation of Internet markets may lead to lower prices and price dispersion, but with variations dependent on type of product and retailer.
Abstract: The Internet can make markets more competitive, but whether this holds for on-line price levels and price dispersion is unclear, perhaps because the maturity, or level of development, of Internet markets has not been widely studied. This paper explores how the maturity of an Internet market affects on-line market pricing in relation to types of products and retailers. It analyzes the pricing differences between pure on-line retailers (e-tailers) and hybrid retailers (multichannel retailers) for three categories of products (books, CDs, digital cameras) in two countries with different levels of Internet maturity (China and the United States). The results show that (1) e-tailer price dispersion is lower in the United States than in China, (2) price levels in the two countries vary with product types, and (3) in both countries, e-tailers have lower price levels and price dispersion than hybrid retailers. These findings suggest that the maturation of Internet markets may lead to lower prices and price dispersion, but with variations dependent on type of product and retailer.

49 citations

Journal ArticleDOI
TL;DR: In this article, the authors examined the effects of price limits on a stock market by testing the volatility spillover, delayed price discovery, and trading interference hypotheses in a leading emerging market, the Istanbul Stock Exchange.
Abstract: There is considerable discussion about controlling volatility by imposing price limits on asset prices. We examine the effects of price limits on a stock market by testing the volatility spillover, delayed price discovery, and trading interference hypotheses in a leading emerging market, the Istanbul Stock Exchange, which has a unique market microstructure as related to price limits. Our results support the volatility spillover, delayed price discovery, and trading interference hypotheses. We also show price locks at limits provide significantly stronger evidence regarding the effects of price limits than limit moves only. Finally, price limits have a significant effect on the stock market, casting doubt on their effectiveness.

49 citations

Journal ArticleDOI
TL;DR: This article investigated the differences in the behaviors between the speculative investors and the conservative investors in two separate experimental markets and found that the market for speculators shows greater price volatility in both bid/ask spread within a trade as well as with intraperiod variances.
Abstract: This study investigates the differences in the behaviors between the speculative investors and the conservative investors in two separate experimental markets. Although the market for speculators shows greater price volatility in both bid/ask spread within a trade as well as with intraperiod variances, it exhibits several desirable properties. Specifically, the price patterns tend to converge closer, and at a greater speed to either the prior information equilibrium price or the rational expectation equilibrium price. It also achieves better allocational efficiency. And, it is also less likely to be misled by potentially "false" price information.

49 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20238
202215
20217
202013
201922
201837