A dynamic model of price competition with switching and search costs

Em modelos de competição de preços, somente um custo de procura positivo por parte do consumidor não gera equilíbrio com dispersão de preços. Já modelos dinâmicos de switching cost consistentemente geram este fenômeno bastante documentado para preços no varejo. Embora ambas as literaturas sejam vastas, poucos modelos tentaram combinar as duas fricções em um só modelo. Este trabalho apresenta um modelo dinâmico de competição de preços em que consumidores idênticos enfrentam custos de procura e de switching. O equilíbrio gera dispersão nos preços. Ainda, como os consumidores são obrigados a se comprometer com uma amostra fixa de firmas antes dos preços serem definidos, somente dois preços serão considerados antes de cada compra. Este resultado independe do tamanho do custo de procura individual do consumidor.

A dynamic model of simultaneous price competition with switching and search costs

Esse artigo apresenta um modelo dinâmico de competição em precos que incorpora tanto custos de procura quanto custos de switching e onde que as decisões do consumidor e das firmas são simultâneas. Dadas as hipóteses feitas n ós veremos que este modelo possui equilí brio. As principais propriedades do equil íbrio deste modelo são: Se os custos de procura forem baixos o suficiente, em equilí brio o consumidor vai procurar todas as firmas no mercado enquanto que o aumento dos custos de procura vai reduzir a propor cão de firmas que o consumidor busca. Um resultado contraintuitivo e que os pre cos esperados pagos pelo consumidor normalmente decresce em nossas computa cões numéricas do equil íbrio quando os custos de procura aumentam. Enquanto que aumentar os custos de switching tamb ém vai produzir o resultado contraituitivo que as firmas unmatched vão diminuir suas ofertas de modo a atrair o consumidor.

Dynamic hedging with stocastic differential utility

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both previous approaches. In all cases, we assume Markovian prices. Stochastic differential utility, SDU, impacts the pure hedging demand ambiguously, but decreases the pure speculative demand, because risk aversion increases. We also show that consumption decision is, in some sense, independent of hedging decision. With terminal wealth utility, we derive a general and compact hedging formula, which nests as special all cases studied in Duffie and Jackson (1990). We then show how to obtain their formulas. With the third approach we find a compact formula for hedging, which makes the second-type utility framework a particular case, and show that the pure hedging demand is not impacted by this specification. In addition, with CRRA- and CARA-type utilities, the risk aversion increases and, consequently the pure speculative demand decreases. If futures price are martingales, then the transformation plays no role in determining the hedging allocation. We also derive the relevant Bellman equation for each case, using semigroup techniques.

Affiliation, equilibrium existence and the revenue ranking of auctions

We consider private value auctions where bidders’ types are dependent, a case usually treated by assuming affiliation. We show that affiliation is a restrictive assumption in three senses: topological, measure-theoretic and statistical (affiliation is a very restrictive characterization of positive dependence). We also show that affiliation’s main implications do not generalize for alternative definitions of positive dependence. From this, we propose new approaches to the problems of pure strategy equilibrium existence in first-price auctions (PSEE) and the characterization of the revenue ranking of auctions. For equilibrium existence, we slightly restrict the set of distributions considered, without loss of economic generality, and offer a complete characterization of PSEE. For revenue ranking, we obtain a characterization of the expected revenue differences between second and first price auctions with general dependence of types.

Dynamic coordination among heterogeneous agents

We study a dynamic model of coordination with timing frictions and payoff heterogeneity. There is a unique equilibrium, characterized by thresholds that determine the choices of each type of agent. We characterize equilibrium for the limiting cases of vanishing timing frictions and vanishing shocks to fundamentals. A lot of conformity emerges: despite payoff heterogeneity, agents’ equilibrium thresholds partially coincide as long as there exists a set of beliefs that would make this coincidence possible – though they never fully coincide. In case of vanishing frictions, the economy behaves almost as if all agents were equal to an average type. Conformity is not inefficient. The efficient solution would have agents following others even more often and giving less importance to the fundamental

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

Development of a dynamic headspace solid-phase microextraction procedure coupled to GC–qMSD for evaluation the chemical profile in alcoholic beverages

In the present study, a simple and sensitive methodology based on dynamic headspace solid-phase microextraction (HS-SPME) followed by thermal desorption gas chromatography with quadrupole mass detection (GC–qMSD), was developed and optimized for the determination of volatile (VOCs) and semi-volatile (SVOCs) compounds from different alcoholic beverages: wine, beer and whisky. Key experimental factors influencing the equilibrium of the VOCs and SVOCs between the sample and the SPME fibre, as the type of fibre coating, extraction time and temperature, sample stirring and ionic strength, were optimized. The performance of five commercially available SPME fibres was evaluated and compared, namely polydimethylsiloxane (PDMS, 100 μm); polyacrylate (PA, 85 μm); polydimethylsiloxane/divinylbenzene (PDMS/DVB, 65 μm); carboxen™/polydimethylsiloxane (CAR/PDMS, 75 μm) and the divinylbenzene/carboxen on polydimethylsiloxane (DVB/CAR/PDMS, 50/30 μm) (StableFlex). An objective comparison among different alcoholic beverages has been established in terms of qualitative and semi-quantitative differences on volatile and semi-volatile compounds. These compounds belong to several chemical families, including higher alcohols, ethyl esters, fatty acids, higher alcohol acetates, isoamyl esters, carbonyl compounds, furanic compounds, terpenoids, C13-norisoprenoids and volatile phenols. The optimized extraction conditions and GC–qMSD, lead to the successful identification of 44 compounds in white wines, 64 in beers and 104 in whiskys. Some of these compounds were found in all of the examined beverage samples. The main components of the HS-SPME found in white wines were ethyl octanoate (46.9%), ethyl decanoate (30.3%), ethyl 9-decenoate (10.7%), ethyl hexanoate (3.1%), and isoamyl octanoate (2.7%). As for beers, the major compounds were isoamyl alcohol (11.5%), ethyl octanoate (9.1%), isoamyl acetate (8.2%), 2-ethyl-1-hexanol (5.9%), and octanoic acid (5.5%). Ethyl decanoate (58.0%), ethyl octanoate (15.1%), ethyl dodecanoate (13.9%) followed by 3-methyl-1-butanol (1.8%) and isoamyl acetate (1.4%) were found to be the major VOCs in whisky samples.

Dynamic headspace solid-phase microextraction combined with one-dimensional gas chromatography–mass spectrometry as a powerful tool to differentiate banana cultivars based on their volatile metabolite profile

In this study the effect of the cultivar on the volatile profile of five different banana varieties was evaluated and determined by dynamic headspace solid-phase microextraction (dHS-SPME) combined with one-dimensional gas chromatography–mass spectrometry (1D-GC–qMS). This approach allowed the definition of a volatile metabolite profile to each banana variety and can be used as pertinent criteria of differentiation. The investigated banana varieties (Dwarf Cavendish, Prata, Maçã, Ouro and Platano) have certified botanical origin and belong to the Musaceae family, the most common genomic group cultivated in Madeira Island (Portugal). The influence of dHS-SPME experimental factors, namely, fibre coating, extraction time and extraction temperature, on the equilibrium headspace analysis was investigated and optimised using univariate optimisation design. A total of 68 volatile organic metabolites (VOMs) were tentatively identified and used to profile the volatile composition in different banana cultivars, thus emphasising the sensitivity and applicability of SPME for establishment of the volatile metabolomic pattern of plant secondary metabolites. Ethyl esters were found to comprise the largest chemical class accounting 80.9%, 86.5%, 51.2%, 90.1% and 6.1% of total peak area for Dwarf Cavendish, Prata, Ouro, Maçã and Platano volatile fraction, respectively. Gas chromatographic peak areas were submitted to multivariate statistical analysis (principal component and stepwise linear discriminant analysis) in order to visualise clusters within samples and to detect the volatile metabolites able to differentiate banana cultivars. The application of the multivariate analysis on the VOMs data set resulted in predictive abilities of 90% as evaluated by the cross-validation procedure.

Efeitos do treinamento de dupla tarefa no controle do equilíbrio dinâmico e estático de idosas pré-frágeis: um estudo piloto

The increasing world population of older individuals has become a subject of growing research for prevention and reversibility of the frailty because it is a major risk factor for the occurrence of falls, especially when it involves everyday situations of dual task. Some rehabilitation programs have already used the methods of dual-task with general exercises for improving gait and postural control, but has been reported that these interventions have little specificity with limited success to improve certain aspects of static and dynamic position during the performance of functional tasks. This study aimed to verify the measures of postural control in a group of elderly women with fragility phenotype after physical therapy intervention program based on dual-task treadmill training. We selected six pre-frail elderly subjects, with a minimum age of 65, female, living in the community and randomly assigned to two groups. The survey was conducted twice a week for 45 minutes, for four weeks. The simple task intervention consisted only in training on a treadmill and the dual task consisted of in treadmill training associated with visual stimuli. The assessments were made with the use of the Berg Balance Scale (BBS) and the Balance Master® computerized posturography, static and dynamically. The effects of retention were observed after one month, using the same instruments earlier used. The results showed a tendency toward improvement or maintenance of the balance after training on a treadmill, especially with respect to static equilibrium. Both groups showed the most notable changes in the variables related to gait, as the length and speed. The BBS scores and the baropodometric variables showed that the experimental group could keep all values similar or better even one month after completion of training unlike the control group. We concluded that the dual-task performance had no additional value in relation to the improvement of balance in general, but we observed that the effectiveness of visual stimulation occurred in the maintenance of short term balancevariables

Prediction of Soil Properties from the Concepts of Energy Transfer in Dynamic Penetration Tests

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Radial Plasma Dynamic in Sequential Pinches

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Sex ratio and dynamic behavior in populations of the exotic blowfly Chrysomya albiceps (Diptera, Calliphoridae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Variations in dynamic knee valgus and gluteus medius onset timing in non-athletic females related to hormonal changes during the menstrual cycle

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Meal size and specific dynamic action in the rattlesnake Crotalus durissus (Serpentes : Viperidae)

We studied the effect of meal size on specific dynamic action (SDA) in the South American rattlesnake Crotalus durissus, by measuring oxygen consumption rates (VO2) prior to and after the ingestion of meals ranging from 10-50% of snake's body mass. Regardless of meal size, variation in VO2 with time during digestion demonstrated the same general pattern. Oxygen consumption rates peaked between 15 and 33 h post-feeding, at values 3.7-7.3 times those prior to feeding. Snakes, while digesting meals of 30% and 50% of their body mass, experienced VO2 that exceeded rates measured during forced activity. Following peaks in VO2, rates returned to prefeeding values within 62-170 h post-feeding. Post-prandial peak in VO2 and the duration of the metabolic response to feeding increased with meal size. Digestion is an energetically demanding activity for C. durissus, with an estimated cost equaling 12-18% of the ingested assimilated energy.

Relativistic Archimedes law for fast moving bodies and the general-relativistic resolution of the submarine paradox

We investigate and solve in the context of general relativity the apparent paradox which appears when bodies floating in a background fluid are set in relativistic motion. Suppose some macroscopic body, say, a submarine designed to lie just in equilibrium when it rests (totally) immersed in a certain background fluid. The puzzle arises when different observers are asked to describe what is expected to happen when the submarine is given some high velocity parallel to the direction of the fluid surface. on the one hand, according to observers at rest with the fluid, the submarine would contract and, thus, sink as a consequence of the density increase. on the other hand, mariners at rest with the submarine using an analogous reasoning for the fluid elements would reach the opposite conclusion. The general relativistic extension of the Archimedes law for moving bodies shows that the submarine sinks. As an extra bonus, this problem suggests a new gedankenexperiment for the generalized second law of thermodynamics.