Topic
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 cutoff grade problem arises when technological infeasibility or high cost prevents an extractive firm from exploiting a heterogeneous deposit in strict sequence as discussed by the authors, and the optimal cutoff grade varies directly with anticipated changes in present value price.
Abstract: The cutoff grade problem arises when technological infeasibility or high cost prevents an extractive firm from exploiting a heterogeneous deposit in strict sequence. The optimal cutoff grade varies directly with anticipated changes in present value price. A stochastic price path induces a higher (lower) initial cutoff grade if the marginal profit function is concave (convex). The optimal response to an unanticipated price change depends on the difference between the rates of change in price along the new and original price paths and whether or not the firm can increase extractive capacity, including the life of the mine.
40 citations
TL;DR: This paper developed a hedonic price model that incorporates the effects of incomplete information on both sides of the market and obtains estimates of the discrepancies between market prices and buyers' maximum willingness to pay and sellers' minimum willingness to accept.
Abstract: Existence of persistent price dispersion suggests that some buyers find lower prices through search and information acquisition, while some sellers charge higher prices by gathering information on potential buyers. If buyers are not fully informed of the lowest price available in the market they end up paying a price higher than if they had full information. Similarly, if sellers are not fully informed about the highest price they could charge, they too suffer by receiving a price lower than had they had full information. This paper develops a hedonic price model that incorporates the effects of incomplete information on both sides of the market and obtains estimates of the discrepancies between market prices and buyers’ maximum willingness to pay and sellers’ minimum willingness to accept. Correlates of such price discrepancies are also explored. We apply the technique to a data set constructed from the American Housing Survey, and find that incomplete information has had a significant impact on housing prices.
40 citations
TL;DR: In this article, the authors show that if the cost of the technology is high, Bertrand competition provides a stronger incentive to adopt technology than Cournot competition unless the effectiveness of technology is very low.
40 citations
11 Jul 2004
TL;DR: In this paper, a discrete fourier transform (DFT) algorithm was used to divide hourly signals on both price and load into deterministic and random components with a discrete Fourier transform algorithm.
Abstract: Risk management in the electric power industry involves measuring the risk for all instruments owned by a company. The value of many of these instruments depends directly on electricity prices. In theory, the wholesale price in a real-time market should reflect the short-run marginal cost. However, most markets are not perfectly competitive, therefore by understanding the degree of correlation between price and physical drivers, electric traders and consumers can manage their risk more effectively and efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE and Australia's NEM, have been studied. The dynamic character of electricity price is mean-reverting, and consists of intra-day and weekly variations, seasonal fluctuations, and instant jumps. Parts of them are affected by load demands. Hourly signals on both price and load are divided into deterministic and random components with a discrete fourier transform algorithm. Next, the real-time price-load relationship for periodic and random signals is examined. In addition, time-varying volatility models are constructed on random price and random load with the GARCH (1,1) model, and the correlation between them analysed. Volatility plays a critical role on evaluating option pricing and risk management.
40 citations
TL;DR: In this article, the authors examined how price limit events impact the extreme-value parameter estimation process in futures markets and showed different parameter estimates for data with and without price limits, and also document differences in the probabilities of observing large price changes in CBOT corn and T-bond futures contracts.
40 citations