On Option Price Information Content and Extraction of Implied Probability Distributions

In this study we used market settlement prices of European call options on stock index futures to extract implied probability distribution function (PDF). The method used produces a PDF of returns of an underlying asset at expiration date from implied volatility smile. With this method, the assumption of lognormal distribution (Black-Scholes model) is tested. The market view of the asset price dynamics can then be used for various purposes (hedging, speculation). We used the so called smoothing approach for implied PDF extraction presented by Shimko (1993). In our analysis we obtained implied volatility smiles from index futures markets (S&P 500 and DAX indices) and standardized them. The method introduced by Breeden and Litzenberger (1978) was then used on PDF extraction. The results show significant deviations from the assumption of lognormal returns for S&P500 options while DAX options mostly fit the lognormal distribution. A deviant subjective view of PDF can be used to form a strategy as discussed in the last section.

Determinants of Broadband Access: Is Platform Competition always the Key Variable to Success?

Previous studies have identified the rivalry among technological platforms as one of the main driving forces of broadband services penetration. This paper draws on data from the Spanish market between 2005 and 2011 to estimate the main determinants of broadband prices. Controlling for broadband tariffs features and network variables, we examine the impact of the different modes of competition on prices. We find that inter-platform competition has no significant effects over prices, while intra-platform competition is a key driver of the prices charged in the broadband market. Our analysis suggests that the impact of different types of competition on prices is critically affected by the levels of development of the broadband market achieved by the considered country

Differences in seasonal price patterns among second home rentals and hotels: Empirical evidence and practical implications

Hotels and second home rentals are two of the most important tourist accommodation options in Spain. In terms of seasonality, almost all previous studies have analysed tourism demand from the point of view either of total arrivals or the number of tourists lodged in a single accommodation type (hotels, rural accommodation, etc). However, there are no studies focusing on price seasonality orcomparing seasonality among different accommodation types. By using seasonality indicators and a price index constructed by means of hedonic methods, this paper aims to shed some light on seasonal pricing patterns among second home rentals and hotels. The paper relies on a 2004 database of 144 hotels and 1,002 apartments on the Costa Brava (northeast Spain). The results show that prices for second home rentals display a smoother seasonal pattern than hotels due to reduced price differences between shoulder (May and October) and peak periods (August)

The impact of inbound demand on price levels in tourism municipalities : Empirical evidence from Catalonia

It is usually argued that tourism exerts negative economic impacts in host jurisdictions through the increase in prices linked to increasing demand for basic services and goods from tourists. This paper surveys 149 products in 45 tourism and non-tourism jurisdictions in Catalonia (which represent a total of 18,500 prices) in order to test empirically several hypotheses related to differences in price levels in tourism and non-tourism jurisdictions. The main results show that prices in tourism jurisdictions are not significantly higher than those in non-tourism ones. The analysis suggests that tourists are likely to pay higher prices than natives for some products

One more lie: the Monday effect in Spain’s retail petrol market

Empirical evidence drawn from the economic literature points to a low level of competition in the retail petrol market. Similar evidence can be found for the Spanish market. In fact, both Spain’s antitrust authority -Comisión Nacional de la Competencia- and its energy regulator -Comisión Nacional de la Energía- have recently initiated disciplinary proceedings against the majors on the grounds of suspected price manipulation in the retail petrol market. They are accused of cutting retail prices on Mondays so as to distort the rank position of Spain in European Union statistics in a practice that has received the name of the Monday effect. Here, we analyze this effect by constructing a database that includes daily retail prices for all petrol stations in Spain in the period 2009-2012, and a more detailed database for the city of Barcelona in 2013. Our estimations confirm that: 1- in 2011 and 2012 prices fell on Mondays at retailers branded by majors; 2- prices were unchanged at stations in our two control groups; 3- prices were also seen to fall when a more detailed analysis was conducted, and this price cut was also found in 2013. In short, one more indicator of collusion in this sector and … one more lie.

Price differences between domestic and international air markets : an empirical application to routes from Gran Canaria

In this paper we examine whether airline prices on national routes are higher than those charged on international routes. Drawing on a database prepared specifically for this study, we estimate a pricing equation for all routes originating from Gran Canaria, Canary Islands, Spain; differentiating between national and international routes. A key difference between these two route types is that island residents benefit from discounts on domestic flights. When controlling for variables related to airline characteristics, market structure and demand, we find that national passengers who are non-residents on the islands are paying higher prices than international passengers.

Support for a demographically based selection method at University: The role of competition

Building on the instrumental model of group conflict (IMGC), the present experiment investigates the support for discriminatory and meritocratic method of selections at university in a sample of local and immigrant students. Results showed that local students were supporting in a larger proportion selection method that favors them over immigrants in comparison to method that consists in selecting the best applicants without considering his/her origin. Supporting the assumption of the IMGC, this effect was stronger for locals who perceived immigrants as competing for resources. Immigrant students supported more strongly the meritocratic selection method than the one that discriminated them. However, contrasting with the assumption of the IMGC, this effect was only present in students who perceived immigrants as weakly competing for locals' resources. Results demonstrate that selection methods used at university can be perceived differently depending on students' origin. Further, they suggest that the mechanisms underlying the perception of discriminatory and meritocratic selection methods differ between local and immigrant students. Hence, the present experiment makes a theoretical contribution to the IMGC by delimiting its assumptions to the ingroup facing a competitive situation with a relevant outgroup. Practical implication for universities recruitment policies are discussed.

Evolution of reduced post-copulatory molecular interactions in Drosophila populations lacking sperm competition.

In many species with internal fertilization, molecules transferred in the male ejaculate trigger and interact with physiological changes in females. It is controversial to what extent these interactions between the sexes act synergistically to mediate the female switch to a reproductive state or instead reflect sexual antagonism evolved as a by product of sexual selection on males. To address this question, we eliminated sexual selection by enforcing monogamy in populations of Drosophila melanogaster for 65 generations and then measured the expression of male seminal fluid protein genes and genes involved in the female response to mating. In the absence of sperm competition, male and female reproductive interests are perfectly aligned and any antagonism should be reduced by natural selection. Consistent with this idea, males from monogamous populations showed reduced expression of seminal fluid protein genes, 16% less on average than in polygamous males. Further, we identified 428 genes that responded to mating in females. After mating, females with an evolutionary history of monogamy exhibited lower relative expression of genes that were up regulated in response to mating and higher expression of genes that were down-regulated - in other words, their post-mating transcriptome appeared more virgin-like. Surprisingly, these genes showed a similar pattern even before mating, suggesting that monogamous females evolved to be less poised for mating and the accompanying receipt of male seminal fluid proteins. This reduced investment by both monogamous males and females in molecules involved in post-copulatory interactions points to a pervasive role of sexual conflict in shaping these interactions.

Co-opetition: Coexistence of cooperation and competition in public sector – A case study in one city’s public companies

Business actions do not take place in isolation. Complementary competencies and capabilities are the most important resources in the exponential knowledge growth. These resources are partially accessed via business partners. A company needs partners and the capability to cooperate, but also the awareness of the competitive tension, when operating in the market with multiple actors. The co-opetition research studies the occurrence and the forms of simultaneous cooperation and competition between companies or their units. Public sector’s governmental and municipal organs have been transformed into companies over the past years. Despite of their non-profit nature, public sector and public companies are adopting business doctrines from private sector towards efficient business operations. This case study aims to show, how co-opetition concept can be observed within public sector companies and in their operations with others, how public companies cooperate but also compete with others and why this happens. This thesis also explicates advantages and disadvantages of the co-opetition phenomenon.

Does Rigidity of Prices Hide Collusion?

Cartel detection is one of the most basic and most complicated tasks of competition authorities. In recent years, however, variance filters have provided a fairly simple tool for rejecting the existence of price-fixing, with the added advantage that the methodology requires only a low volume of data. In this paper we analyze two aspects of variance filters: 1- the relationship established between market structure and price rigidity, and 2- the use of different benchmarks for implementing the filters. This paper addresses these two issues by applying a variance filter to a gasoline retail market characterized by a set of unique features. Our results confirm the positive relationship between monopolies and price rigidity, and the variance filter's ability to detect non-competitive behavior when an appropriate benchmark is used. Our findings should serve to promote the implementation of this methodology among competition authorities, albeit in the awareness that a more exhaustive complementary analysis is required.

Vertical relations and local competition : an empirical approach

The analysis of vertical industry relations forms an essential element in the field of industrial organization. This paper tests hypotheses derived from transaction cost theory and the principal-agent problem in Chile’s petrol market. It shows that local competition plays an important role in the choice of a disintegrated vertical structure, and that low levels of service investment have the same effect. Conversely, the number of own-brand outlets and a high level of investment in services reduce the probability of disintegration. The paper demonstrates that vertical disintegration has a null effect on wholesale petrol prices and a positive effect on retail petrol prices of between 1.6 and 7 per cent, depending on fuel type.

Mother-offspring competition promotes colonization success.

Colonization is the crucial process underlying range expansions, biological invasions, and metapopulation dynamics. Which individuals leave their natal population to colonize empty habitats is a crucial question and is presently unresolved. Dispersal is the first step in colonization. However, not all dispersing individuals are necessarily good colonizers. Indeed, in some species, the phenotype of dispersers differs depending on the selective pressures that induce dispersal. In particular, kin-based interactions, a factor driving social evolution, should induce different social response profiles in nondispersing and dispersing individuals. Kin competition (defined here as between the mother and offspring) has been proven to produce dispersers with a particular phenotype that may enhance their colonizing ability. By using the common lizard (Lacerta vivipara), we conducted a multipopulation experiment to study the effect of kin competition on dispersal and colonization success. We manipulated mother-offspring interactions, which are the most important component of kin competition in the studied species, at the family and population levels and measured the consequences on colonization success. We demonstrate that mother-offspring competition at the population level significantly influences colonization success. Increased competition at the population level enhanced the colonization rate of the largest juveniles as well as the growth and survival of the colonizers. Based on these results, we calculated that kin-induced colonization halves the extinction probability of a newly initiated population. Because interactions between relatives are likely to affect the ability of a species to track habitat modifications, kin-based dispersal should be considered in the study of invasion dynamics and metapopulation functioning.

Competition in notch signaling with cis enriches cell fate decisions

Notch signaling is involved in cell fate choices during the embryonic development of Metazoa. Commonly, Notch signaling arises from the binding of the Notch receptor to its ligands in adjacent cells driving cell-to-cell communication. Yet, cell-autonomous control of Notch signaling through both ligand-dependent and ligand-independent mechanisms is known to occur as well. Examples include Notch signaling arising in the absence of ligand binding, and cis-inhibition of Notch signaling by titration of the Notch receptor upon binding to its ligands within a single cell. Increasing experimental evidences support that the binding of the Notch receptor with its ligands within a cell (cis-interactions) can also trigger a cell-autonomous Notch signal (cis-signaling), whose potential effects on cell fate decisions and patterning remain poorly understood. To address this question, herein we mathematically and computationally investigate the cell states arising from the combination of cis-signaling with additional Notch signaling sources, which are either cell-autonomous or involve cell-to-cell communication. Our study shows that cis-signaling can switch from driving cis-activation to effectively perform cis-inhibition and identifies under which conditions this switch occurs. This switch relies on the competition between Notch signaling sources, which share the same receptor but differ in their signaling efficiency. We propose that the role of cis-interactions and their signaling on fine-grained patterning and cell fate decisions is dependent on whether they drive cis-inhibition or cis-activation, which could be controlled during development. Specifically, cis-inhibition and not cis-activation facilitates patterning and enriches it by modulating the ratio of cells in the high-ligand expression state, by enabling additional periodic patterns like stripes and by allowing localized patterning highly sensitive to the precursor state and cell-autonomous bistability. Our study exemplifies the complexity of regulations when multiple signalng sources share the same receptor and provides the tools for their characterization.

HouSI: Heuristic for delimitation of housing submarkets and price homogeneous areas

This paper seeks to address the problem of the empirical identification of housing market segmentation,once we assume that submarkets exist. The typical difficulty in identifying housing submarkets when dealing with many locations is the vast number of potential solutions and, in such cases, the use of the Chow test for hedonic functions is not a practical solution. Here, we solve this problem by undertaking an identification process with a heuristic for spatially constrained clustering, the"Housing Submarket Identifier" (HouSI). The solution is applied to the housing market in the city of Barcelona (Spain), where we estimate a hedonic model for fifty thousand dwellings aggregated into ten groups. In order to determine the utility of the procedure we seek to verify whether the final solution provided by the heuristic is comparable with the division of the city into ten administrative districts.

Postmating-prezygotic isolation between two allopatric populations of Drosophila montana: fertilisation success differs under sperm competition

Postmating but prezygotic (PMPZ) interactions are increasingly recognized as a potentially important early-stage barrier in the evolution of reproductive isolation. A recent study described a potential example between populations of the same species: single matings between Drosophila montana populations resulted in differential fertilisation success because of the inability of sperm from one population (Vancouver) to penetrate the eggs of the other population (Colorado). As the natural mating system of D. montana is polyandrous (females remate rapidly), we set up double matings of all possible crosses between the same populations to test whether competitive effects between ejaculates influence this PMPZ isolation. We measured premating isolation in no-choice tests, female fecundity, fertility and egg-to-adult viability after single and double matings as well as second-male paternity success (P-2). Surprisingly, we found no PMPZ reproductive isolation between the two populations under a competitive setting, indicating no difficulty of sperm from Vancouver males to fertilize Colorado eggs after double matings. While there were subtle differences in how P-2 changed over time, suggesting that Vancouver males' sperm are somewhat less competitive in a first-male role within Colorado females, these effects did not translate into differences in overall P-2. Fertilisation success can thus differ dramatically between competitive and noncompetitive conditions, perhaps because the males that mate second produce higher quality ejaculates in response to sperm competition. We suggest that unlike in more divergent species comparisons, where sperm competition typically increases reproductive isolation, ejaculate tailoring can reduce the potential for PMPZ isolation when recently diverged populations interbreed.