Production planning, pricing and market coordination for news vendor problem with price dependent demand

Thesis (Ph.D.)--University of Washington, 2016-08

Determinantes da utilização de sites de apostas online em Portugal

Com a proliferação da internet assistiu-se desde a década de 90 a um aumento exponencial das casas de jogo online, estando muitas delas traduzidas para português e aceitando euros. Sendo este um tema pouco estudado em Portugal, pretende-se desenvolver e validar um modelo conceptual que reflita os fatores que levam o consumidor a utilizar este tipo de sites. Numa altura em que o governo p g ês p de “ eg iz ” es ivid de, é igualmente interessante perceber qual o perfil do público-alvo, as suas motivações e preferências face à oferta existente. A análise fatorial exploratória, a análise de fiabilidade e os modelos de regressão linear foram as técnicas utilizadas para validar este modelo. Com base num questionário, este estudo mostrou que a expectativa de desempenho, influência social, condições facilitadoras, motivações hedónicas, valor do preço, hábito e o risco psicológico, financeiro e de tempo são fatores determinantes da intenção de utilização de sites de jogo online. Do estudo emergem relevantes implicações académicas e para o mundo empresarial.

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another.

DEVELOPMENT OF A FAIR CHARGING MODEL FOR A PUBLIC DATA CENTER

The purpose of the study was to explore how a public, IT services transferor, organization, comprised of autonomous entities, can effectively develop and organize its data center cost recovery mechanisms in a fair manner. The lack of a well-defined model for charges and a cost recovery scheme could cause various problems. For example one entity may be subsidizing the costs of another entity(s). Transfer pricing is in the best interest of each autonomous entity in a CCA. While transfer pricing plays a pivotal role in the price settings of services and intangible assets, TCE focuses on the arrangement at the boundary between entities. TCE is concerned with the costs, autonomy, and cooperation issues of an organization. The theory is concern with the factors that influence intra-firm transaction costs and attempting to manifest the problems involved in the determination of the charges or prices of the transactions. This study was carried out, as a single case study, in a public organization. The organization intended to transfer the IT services of its own affiliated public entities and was in the process of establishing a municipal-joint data center. Nine semi-structured interviews, including two pilot interviews, were conducted with the experts and managers of the case company and its affiliating entities. The purpose of these interviews was to explore the charging and pricing issues of the intra-firm transactions. In order to process and summarize the findings, this study employed qualitative techniques with the multiple methods of data collection. The study, by reviewing the TCE theory and a sample of transfer pricing literature, created an IT services pricing framework as a conceptual tool for illustrating the structure of transferring costs. Antecedents and consequences of the transfer price based on TCE were developed. An explanatory fair charging model was eventually developed and suggested. The findings of the study suggested that the Chargeback system was inappropriate scheme for an organization with affiliated autonomous entities. The main contribution of the study was the application of TP methodologies in the public sphere with no tax issues consideration.

A stylized software model to explore the free market equality/efficiency tradeoff

This paper provides an agent-based software exploration of the wellknown free market efficiency/equality trade-off. Our study simulates the interaction of agents producing, trading and consuming goods in the presence of different market structures, and looks at how efficient the producers/consumers mapping turn out to be as well as the resulting distribution of welfare among agents at the end of an arbitrarily large number of iterations. Two market mechanisms are compared: the competitive market (a double auction market in which agents outbid each other in order to buy and sell products) and the random one (in which products are allocated randomly). Our results confirm that the superior efficiency of the competitive market (an effective and never stopping producers/consumers mapping and a superior aggregative welfare) comes at a very high price in terms of inequality (above all when severe budget constraints are in play).

Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Algorithme de branch-and-price-and-cut pour le problème de conception de réseaux avec coûts fixes, capacités et un seul produit

De nombreux problèmes liés aux domaines du transport, des télécommunications et de la logistique peuvent être modélisés comme des problèmes de conception de réseaux. Le problème classique consiste à transporter un flot (données, personnes, produits, etc.) sur un réseau sous un certain nombre de contraintes dans le but de satisfaire la demande, tout en minimisant les coûts. Dans ce mémoire, on se propose d'étudier le problème de conception de réseaux avec coûts fixes, capacités et un seul produit, qu'on transforme en un problème équivalent à plusieurs produits de façon à améliorer la valeur de la borne inférieure provenant de la relaxation continue du modèle. La méthode que nous présentons pour la résolution de ce problème est une méthode exacte de branch-and-price-and-cut avec une condition d'arrêt, dans laquelle nous exploitons à la fois la méthode de génération de colonnes, la méthode de génération de coupes et l'algorithme de branch-and-bound. Ces méthodes figurent parmi les techniques les plus utilisées en programmation linéaire en nombres entiers. Nous testons notre méthode sur deux groupes d'instances de tailles différentes (gran-des et très grandes), et nous la comparons avec les résultats donnés par CPLEX, un des meilleurs logiciels permettant de résoudre des problèmes d'optimisation mathématique, ainsi qu’avec une méthode de branch-and-cut. Il s'est avéré que notre méthode est prometteuse et peut donner de bons résultats, en particulier pour les instances de très grandes tailles.

Development of a global IT charging model for BASF Group

With ‘GS Strategy 2025’ BASF Business Services GmbH was formed to centrally steer all IT related topics of BASF group. Thus, a global charging system has to be designed, which complies to international transfer price regulations and the strategy of BASF SE. This work project develops a charging system with a following evaluation. The direct charging system benefits from its cost transparency upsides but comes with a higher administrative effort due to volume-based charging. In contrast, the indirect charging system convinces because of easy handling, which is the result of the application of suitable allocation keys. Regarding the complex group structure of BASF SE with more than 300 legal entities in 80 countries, the lower administrative effort of the indirect charging system outweighs the benefits of the direct charging model and should be used by BASF group.

An Analysis of Colombian Power Market Price Behavior from an Industrial Organization Perspective

We analyze the behavior of spot prices in the Colombian wholesale power market, using a series of models derived from industrial organization theory -- We first create a Cournot-based model that simulates the strategic behavior of the market-leader power generators, which we use to estimate two industrial organization variables, the Index of Residual Demand and the Herfindahl-Hirschman Index (HHI) -- We use these variables to create VAR models that estimate spot prices and power market impulse-response relationships -- The results from these models show that hydroelectric generators can use their water storage capability strategically to affect off-peak prices primarily, while the thermal generators can manage their capacity strategically to affect on-peak prices -- In addition, shocks to the Index of Residual Capacity and to the HHI cause spot price fluctuations, which can be interpreted as the generators´ strategic response to these shocks

Credit risk & forward price models

Doutoramento em Gestão

A demand-driven analysis of tourist accommodation price: A quantile regression of room bookings

Tourist accommodation expenditure is a widely investigated topic as it represents a major contribution to the total tourist expenditure. The identification of the determinant factors is commonly based on supply-driven applications while little research has been made on important travel characteristics. This paper proposes a demand-driven analysis of tourist accommodation price by focusing on data generated from room bookings. The investigation focuses on modeling the relationship between key travel characteristics and the price paid to book the accommodation. To accommodate the distributional characteristics of the expenditure variable, the analysis is based on the estimation of a quantile regression model. The findings support the econometric approach used and enable the elaboration of relevant managerial implications.

Equilibrium existence in the circle model with linear quadratic transport cost

We treat the problem of existence of a location-then-price equilibrium in the circle model with a linear quadratic type of transportation cost function which can be either convex or concave. We show the existence of a unique perfect equilibrium for the concave case when the linear and quadratic terms are equal and of a unique perfect equilibrium for the convex case when the linear term is equal to zero. Aside from these two cases, there are feasible locations by the firms for which no equilibrium in the price subgame exists. Finally, we provide a full taxonomy of the price equilibrium regions in terms of weights of the linear and quadratic terms in the cost function.

An approximate method for the solution of an influence function foil rolling model

Fleck and Johnson (Int. J. Mech. Sci. 29 (1987) 507) and Fleck et al. (Proc. Inst. Mech. Eng. 206 (1992) 119) have developed foil rolling models which allow for large deformations in the roll profile, including the possibility that the rolls flatten completely. However, these models require computationally expensive iterative solution techniques. A new approach to the approximate solution of the Fleck et al. (1992) Influence Function Model has been developed using both analytic and approximation techniques. The numerical difficulties arising from solving an integral equation in the flattened region have been reduced by applying an Inverse Hilbert Transform to get an analytic expression for the pressure. The method described in this paper is applicable to cases where there is or there is not a flat region.