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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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Journal ArticleDOI
TL;DR: In this paper, a general utility optimization (GUO) model and a constant elasticity of substitution (CES) utility function are proposed to examine the price, substitution and income effects of carbon allowance price changes.

40 citations

Journal ArticleDOI
TL;DR: In this article, the authors study Merton's portfolio optimization problem in a limit order market and show that the optimal strategy consists of using market orders to keep the proportion of wealth invested in the risky asset within certain boundaries, while within these boundaries limit orders are used to profit from the bid-ask spread.
Abstract: We study Merton’s portfolio optimization problem in a limit order market. An investor trading in a limit order market has the choice between market orders that allow immediate transactions and limit orders that trade at more favorable prices but are executed only when another market participant places a corresponding market order. Assuming Poisson arrivals of market orders from other traders we use a shadow price approach, similar to Kallsen and Muhle-Karbe (Ann Appl Probab, forthcoming) for models with proportional transaction costs, to show that the optimal strategy consists of using market orders to keep the proportion of wealth invested in the risky asset within certain boundaries, similar to the result for proportional transaction costs, while within these boundaries limit orders are used to profit from the bid–ask spread. Although the given best-bid and best-ask price processes are geometric Brownian motions the resulting shadow price process possesses jumps.

40 citations

Journal ArticleDOI
TL;DR: McCarthy and Shapiro as mentioned in this paper divide possible pricing objectives into the categories "profit oriented", "sales oriented", and "status quo", and further subdivide them according to the diagram in Figure 1.
Abstract: Introduction The problem of establishing a price for a new product is typically related to one of a number of possible company pricing objectives. McCarthy and Shapiro, for example, divide possible pricing objectives into the categories “profit oriented”, “sales oriented” and “status quo”, and then further subdivide them according to the diagram in Figure 1. The status quo objective of “meeting competition” translates itself directly into a new product price, while that of “nonprice competition” implies that price is to be de‐emphasised—one is, nevertheless, left with a pricing decision. All the other pricing objectives require either an explicit or implicit knowledge of the relationship between the price of the product and the quantity of goods sold—i.e. the demand curve.

40 citations

Journal ArticleDOI
TL;DR: In this paper, the optimal price and storage strategies of a storable good seller and its customers were analyzed as a dynamic game, and a unique (Markov) perfect equilibrium was characterized.
Abstract: This paper analyzes as a dynamic game the optimal price and storage strategies of, respectively: (a) the seller of a storable good, who must keep pace with inflation but incurs a cost to changing his price; (b) his customers, who speculate on the timing of price adjustments to buy and store just before. A unique (Markov) perfect equilibrium is shown to exist, and is fully characterized. rt generally involves a phase of mixed strategies, during which the seller tries to deter speculation by injecting uncertainty into its price dynamics, while speculators store in increasing numbers, with possibly a final "run" on the good. The stochastic price policies of a large number of such firms are shown to aggregate back to a price index growing at the rate of general inflation in response to which they arose. The model thus establishes that: (a) a constant rate of aggregate inflation can at the same time generate and cover up significant uncertainty and social costs at the microeconomic level; (b) speculation can be destabilizing and socially wasteful, even in the absence of shocks and imperfect information. Most importantly, they provide a theoretical foundation for the frequently encountered claim that inflation causes price uncertainty.

40 citations

Journal ArticleDOI
TL;DR: In this paper, the authors report that the price of a 6.5-oz Coca-Cola was 5c from 1886 until 1959, and they find that this unusual rigidity is best explained by a contract between the Company and its parent bottlers that encouraged retail consumers to maintain price maintenance, and a single-coin vending machine technology, which limited the Company's price adjustment options due to limited availability and unreliability of the existing flexible price adjustment technologies.
Abstract: We report that the price of a 6.5-oz Coca-Cola was 5c from 1886 until 1959. Thus, we are documenting a nominal price rigidity that lasted more than 70 years! The case of Coca-Cola is particularly interesting because during the 70-year period there were substantial changes in the soft drink industry as well as two World Wars, the Great Depression, and numerous regulatory interventions and lawsuits, which led to substantial changes in the Coca- Cola market conditions. The nickel price of Coke, nevertheless, remained unchanged. We find that this unusual rigidity is best explained by (1) a contract between the Company and its parent bottlers that encouraged retail price maintenance, (2) a single-coin vending machine technology, which limited the Company's price adjustment options due to limited availability and unreliability of the existing flexible price adjustment technologies, and (3) a single-coin monetary transaction technology, which limited the Company's price adjustment options due to the customer "inconvenience cost." We show that these price adjustment costs are of a different nature than the standard menu cost, and their estimates exceed the existing estimates by an order of magnitude. A possible broader relevance of the nickel Coke phenomenon is discussed in the context of Nickel and Dime Stores, which were popular in the US in the late 1800s and the early 1900s.

40 citations


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