Autonomous Pricing using Policy-Gradient Reinforcement Learning

Nella letteratura economica e di teoria dei giochi vi è un dibattito aperto sulla possibilità di emergenza di comportamenti anticompetitivi da parte di algoritmi di determinazione automatica dei prezzi di mercato. L'obiettivo di questa tesi è sviluppare un modello di reinforcement learning di tipo actor-critic con entropy regularization per impostare i prezzi in un gioco dinamico di competizione oligopolistica con prezzi continui. Il modello che propongo esibisce in modo coerente comportamenti cooperativi supportati da meccanismi di punizione che scoraggiano la deviazione dall'equilibrio raggiunto a convergenza. Il comportamento di questo modello durante l'apprendimento e a convergenza avvenuta aiuta inoltre a interpretare le azioni compiute da Q-learning tabellare e altri algoritmi di prezzo in condizioni simili. I risultati sono robusti alla variazione del numero di agenti in competizione e al tipo di deviazione dall'equilibrio ottenuto a convergenza, punendo anche deviazioni a prezzi più alti.

Aspectos estratégicos e econômicos da política de bonificação em quantidade de produto

ste trabalho objetiva identificar a percepção dos gestores de controladoria de indústrias sobre os aspectos estratégicos e econômicos da decisão de bonificação em quantidade de produto. A premissa é que os resultados econômicos gerados pela decisão de desconto no preço e de bonificação em quantidade de produto são iguais, considerando a mesma quantidade de produto entregue ao cliente. Com base no banco de dados da FIPECAFI- FEA-USP, analisaram-se 91 questionários encaminhados a controllers atuantes em diversos setores. Os resultados revelam: 1) um número muito significativo de empresas da amostra selecionada adota a bonificação em produtos; 2) a área comercial é a principal responsável por essa decisão; e 3) identificação da percepção dos controllers sobre aspectos decisórios de bonificação em quantidade de produtos.

Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Bayesian ratemaking procedure of crop insurance contracts with skewed distribution

Over the years, crop insurance programs became the focus of agricultural policy in the USA, Spain, Mexico, and more recently in Brazil. Given the increasing interest in insurance, accurate calculation of the premium rate is of great importance. We address the crop-yield distribution issue and its implications in pricing an insurance contract considering the dynamic structure of the data and incorporating the spatial correlation in the Hierarchical Bayesian framework. Results show that empirical (insurers) rates are higher in low risk areas and lower in high risk areas. Such methodological improvement is primarily important in situations of limited data.

Seed development, yield and quality of two palm species growing in different tropical forest types in SE Brazil: implications for ecological restoration

Natural forest remnants have been set as seed production fields to supply seeds of native tree species for tropical forest restoration, but the effect of different forest types on seed production has not been accessed to date for palm species. In this work, we studied seed development, yield, and quality of two palm species in different tropical forest types in SE Brazil. Seed production of palmiteiro (Euterpe edulis) and queen-palm (Syagrus romanzoffiana), which are largely used in restoration efforts due to their importance for vertebrate frugivores, were studied in natural remnants of Atlantic Rainforest, Restinga Forest, Seasonally Dry Forest, and Cerrado Forest. We studied seed development, yield, size, and germination of seed lots produced in some of these forest types, including seeds harvested in 2008, 2009, and both years. Seed yield and quality, as well as seed dry mass in 2009, were higher for palmiteiro seeds produced in the Atlantic Rainforest, while queen-palm seeds produced at the Restinga Forest showed the higher mass and yield, but the lowest physiological potential. Consequently, these natural differences of seed yield and quality have to be taken into account for establishing standards for seed commercialization and analysis, seed pricing, and seedling production in forest nurseries.

Cost-benefit analysis of alternative forms of hedgerow intercropping in the Philippine uplands

Considerable resources have been expended promoting hedgerow intercropping with shrub legumes to farmers in the Philippine uplands. Despite the resources committed to research and extension, persistent adoption by farmers has been limited to low cost versions of the technology including natural vegetation and grass strips. In this paper, cost-benefit analysis is used to compare the economic returns from traditional open-field maize farming with returns from intercropping maize between leguminous shrub hedgerows, natural vegetation strips and grass strips. An erosion/productivity model, Soil Changes Under Agroforestry, was used to predict the effect of erosion on maize yields. Key informant surveys with experienced maize farmers were used to derive production budgets for the alternative farming methods. The economic incentives revealed by the cost-benefit analysis help to explain the adoption of maize farming methods in the Philippine uplands. Open-field farming without hedgerows has been by far the most popular method of maize production, often with two or more fields cropped in rotation. There is little persistent adoption of hedgerow intercropping with shrub legumes because sustained maize yields are not realised rapidly enough to compensate farmers for establishment and maintenance costs. Natural vegetation and grass strips are more attractive to farmers because of lower establishment costs, and provide intermediate steps to adoption. Rural finance, commodity pricing and agrarian reform policies influence the incentives for maize farmers in the Philippine uplands to adopt and maintain hedgerow intercropping.

Erosion/productivity modelling of maize farming in the Philippine uplands part III: Economic analysis of alternative farming methods

Two previous papers in this series (Nelson et al., this issue) described the use of the Agricultural Production Systems Simulator (APSIM) to simulate the effect of erosion on maize yields from open-field farming and hedgerow intercropping in the Philippine uplands. In this paper, maize yields simulated with APSIM are used to compare the economic viability of intercropping maize between leguminous shrub hedgerows with that of continuous and fallow open-field farming of maize. The analysis focuses on the economic incentives of upland farmers to adopt hedgerow intercropping, discussing farmers' planning horizons, access to credit and security of land tenure, as well as maize pricing in the Philippines. Insecure land tenure has limited the planning horizons of upland farmers, and high establishment costs reduce the economic viability of hedgerow intercropping relative to continuous and fallow open-field farming in the short term, In the long term, high discount rates and share-tenancy arrangements in which landlords do not contribute to establishment costs reduce the economic viability of hedgerow intercropping relative to fallow open-field farming, (C) 1998 Elsevier Science Ltd. All rights reserved.

Is the Australian wool futures market efficient as a predictor of spot prices?

Giles and Goss (1980) have suggested that, if a futures market provides a forward pricing function, then it is an efficient market. In this article a simple test for whether the Australian Wool Futures market is efficient is proposed. The test is based on applying cointegration techniques to test the Law of One Price over a three, six, nine, and twelve month spread of futures prices. We found that the futures market is efficient for up to a six-month spread, but no further into the future. Because futures market prices can be used to predict spot prices up to six months in advance, woolgrowers can use the futures price to assess when they market their clip, but not for longer-term production planning decisions. (C) 1999 John Wiley & Sons, Inc.

Revisiting the interest rate puzzle

This article makes a connection between Lucas` (1978) asset pricing model and the macroeconomic dynamics for some selected countries. Both the relative risk aversion and the impatience for postponing consumption by synthesizing the investor behaviour can help to understand some key macroeconomic issues across countries, such as the savings decision and the real interest rate. I find that the government consumption makes worse the so-called `equity premium-interest rate puzzle`. The first root of the quadratic function for explaining the real interest rate can produce this puzzle, but not the second root. Thus, Mehra and Prescott (1985) identified only one possible solution.

Auction price anomalies: Evidence from wool auctions in Australia

Using detailed Australian wool auction data we test for further evidence of pricing anomalies at sequential auctions. We find that an anomaly frequently exists and order is frequently endogenously determined. Moreover, prices increase through some sales and decrease through others. We examine whether it is possible to explain the variation in the anomaly across sales and conclude that there is no systematic relationship between the direction of the price anomaly and the characteristics of the wool or the auction. We do, however, find evidence that an anomaly, is more likely in longer sales.

Factors Related to the Selection of Surgical Versus Percutaneous Revascularization in Diabetic Patients With Multivessel Coronary Artery Disease in the BARI 2D (Bypass Angioplasty Revascularization Investigation in Type 2 Diabetes) Trial

Objectives We evaluated demographic, clinical, and angiographic factors influencing the selection of coronary artery bypass graft (CABG) surgery versus percutaneous coronary intervention (PCI) in diabetic patients with multivessel coronary artery disease (CAD) in the BARI 2D (Bypass Angioplasty Revascularization Investigation in Type 2 Diabetes) trial. Background Factors guiding selection of mode of revascularization for patients with diabetes mellitus and multivessel CAD are not clearly defined. Methods In the BARI 2D trial, the selected revascularization strategy, CABG or PCI, was based on physician discretion, declared independent of randomization to either immediate or deferred revascularization if clinically warranted. We analyzed factors favoring selection of CABG versus PCI in 1,593 diabetic patients with multivessel CAD enrolled between 2001 and 2005. Results Selection of CABG over PCI was declared in 44% of patients and was driven by angiographic factors including triple vessel disease (odds ratio [OR]: 4.43), left anterior descending stenosis >= 70% (OR: 2.86), proximal left anterior descending stenosis >= 50% (OR: 1.78), total occlusion (OR: 2.35), and multiple class C lesions (OR: 2.06) (all p < 0.005). Nonangiographic predictors of CABG included age >= 65 years (OR: 1.43, p = 0.011) and non-U.S. region (OR: 2.89, p = 0.017). Absence of prior PCI (OR: 0.45, p < 0.001) and the availability of drug-eluting stents conferred a lower probability of choosing CABG (OR: 0.60, p = 0.003). Conclusions The majority of diabetic patients with multivessel disease were selected for PCI rather than CABG. Preference for CABG over PCI was largely based on angiographic features related to the extent, location, and nature of CAD, as well as geographic, demographic, and clinical factors. (Bypass Angioplasty Revascularization Investigation in Type 2 Diabetes [BARI 2D]; NCT00006305) (J Am Coll Cardiol Intv 2009;2:384-92) (C) 2009 by the American College of Cardiology Foundation

Valuation of tourism's natural resources

Discusses the implications of the economic valuation of natural resources used for tourism and relates this valuation to the concept of total economic valuation. It demonstrates how applications of the concept of total economic valuation can be supportive of the conservation of natural resources used for tourism. Techniques for valuing tourism’s natural resources are then outlined and critically evaluated. Consideration is given to travel cost methods, contingent valuation methods, and hedonic pricing approaches before concentrating on current developments of valuation techniques, such as choice modelling. The general limitations of existing methods are considered and it is argued that more attention should be given to developing guidelines that will identify ‘optimally imperfect methods’. An overall assessment concludes this article.

Determination of breeding strategies for beef cattle bull breeders selling bulls into two competing markets on a non-linear price grid

Computer simulation was used to suggest potential selection strategies for beef cattle breeders with different mixes of clients between two potential markets. The traditional market paid on the basis of carcass weight (CWT), while a new market considered marbling grade in addition to CWT as a basis for payment. Both markets instituted discounts for CWT in excess of 340 kg and light carcasses below 300 kg. Herds were simulated for each price category on the carcass weight grid for the new market. This enabled the establishment of phenotypic relationships among the traits examined [CWT, percent intramuscular fat (IMF), carcass value in the traditional market, carcass value in the new market, and the expected proportion of progeny in elite price cells in the new market pricing grid]. The appropriateness of breeding goals was assessed on the basis of client satisfaction. Satisfaction was determined by the equitable distribution of available stock between markets combined with the assessment of the utility of the animal within the market to which it was assigned. The best goal for breeders with predominantly traditional clients was a CWT in excess of 330 kg, while that for breeders with predominantly new market clients was a CWT of between 310 and 329 kg and with a marbling grade of AAA in the Ontario carcass pricing system. For breeders who wished to satisfy both new and traditional clients, the optimal CWT was 310-329 kg and the optimal marbling grade was AA-AAA. This combination resulted in satisfaction levels of greater than 75% among clients, regardless of the distribution of the clients between the traditional and new marketplaces.

Diferença entre características na formação do preço de venda e locação de imóveis na cidade de Vitória/ES

Essa dissertação estuda as características relevantes na formação do preço de venda e aluguel, analisando também as diferenças entre esses atributos para apartamentos na cidade de Vitória/ES, preenchendo uma lacuna ainda não desenvolvida, tendo em vista a possibilidade de comparação entre preços de aluguel e venda. O constructo teórico teve como fundamento abordagem de preços hedônicos, aplicada em estudos de Waugh (1928) e Court (1939), mas formalmente desenvolvida teoricamente por Lancaster (1966) e Rosen (1974), e aplicadas e discutidas por Palmquist (1984) e Sheppard (1999). A revisão de literatura mostra que existe impactos tanto em relação aos aspectos físicos dos imóveis, como características externas, como violência, facilidade de acesso, ou presença de estações de trens ou mercados no entorno, dentre outras. A amostra partiu de uma listagem de oferta de imóveis no site da Netimóveis durante os meses de maio e junho de 2014, contando com um número de 563 observações para venda e 185 para locação. Além dessas duas amostras, foram elaboradas análises com relação a subamostras que possuíam a variável valor do condomínio, buscando ampliar as variáveis explicativas coletadas. A análise dos resultados foi feita com utilização da estatística descritiva, correlação entre variáveis e regressão múltipla, sendo essa última aplicada nos 6 modelos propostos para cada amostra, posteriormente propondo um modelo final para venda e aluguel. No que tange as hipóteses utilizadas e aplicadas nos modelos, parte delas foram utilizadas tendo em base estudos prévios, e outras, como o sol da manhã, por exemplo, foram apresentadas como propostas. Dos resultados encontrados, muitos corroboraram com estudos anteriores, confirmando que variáveis como área, vagas na garagem, varanda, anda e posição de frente da unidade, piscina e localização em bairros nobres impactam positivamente no preço dos imóveis, independente se venda ou aluguel. Como diferenças, foi possível identificar que as variáveis presença de elevador, playground e valor do condomínio participam positivamente da explicação do preço de venda, enquanto, presença de quadra, mobília e sol da manhã explicam positivamente o valor do aluguel na amostra.

Necessidade do capital de giro e nível de vendas

O artigo examina aspectos correspondentes ao relacionamento entre o nível de vendas e o capital de giro necessário para manter a continuidade operacional dos negócios, em um contexto em que a alavancagem de vendas ocorre como resultado de um programa de ações de pricing. Discute-se qual deve ser o ponto de equilíbrio baseado no capital de giro, de modo a auxiliar os administradores a analisar os efeitos daquele tipo de alavancagem nos procedimentos financeiros de uma empresa.