New York mark-ups on petroleum products

In this paper we analyse rigidities in the behaviour of the mark-up on regular, midgrade and premium varieties of petrol in the New York area using a set of weekly frequency data and a methodology that analyses the pricing process using deterministic and stochastic techniques. The results are consistent across methodologies and indicate that the speeds of adjustment to the long-run equilibrium mark-up differ across varieties of petrol with margins of the premium variety falling faster than they rise, contrary to the popular claim of welfare-decreasing asymmetries in price transmission. © 2012 The Authors. The Manchester School © 2012 Blackwell Publishing Ltd and The University of Manchester.

A new entropy measure based on the Renyi entropy rate using Gaussian kernels

The concept of entropy rate is well defined in dynamical systems theory but is impossible to apply it directly to finite real world data sets. With this in mind, Pincus developed Approximate Entropy (ApEn), which uses ideas from Eckmann and Ruelle to create a regularity measure based on entropy rate that can be used to determine the influence of chaotic behaviour in a real world signal. However, this measure was found not to be robust and so an improved formulation known as the Sample Entropy (SampEn) was created by Richman and Moorman to address these issues. We have developed a new, related, regularity measure which is not based on the theory provided by Eckmann and Ruelle and proves a more well-behaved measure of complexity than the previous measures whilst still retaining a low computational cost.