Time-dependent or state-dependent pricing? : evidence from a large currency devaluation episode

Duas classes de modelos buscam explicar o padrão de ajustamento de preço das firmas: modelos tempo-dependente e estado-dependente. O objetivo deste trabalho é levantar algumas evidencias empíricas de modo a distinguir os modelos, ou seja, identificar de que maneira as firmas realmente precificam. Para isso, escolheu-se a grande desvalorização cambial de 1999 como principal ferramenta e ambiente de análise. A hipótese fundamental é que o choque cambial impacta significativamente o custo de algumas indústrias, em alguns casos induzindo-as a alterarem seus preço após o choque. A partir de uma imensa base de micro dados formada por preços que compõem o CPI, algumas estimações importantes como a probabilidade e a magnitude média das trocas foram levantadas. A magnitude é dada por uma média simples, enquanto a probabilidade é estimada pelo método da máxima verossimilhança. Os resultados indicam um comportamento de precificação similar ao proposto por modelos estado-dependente.

Time-dependent or state-dependent pricing? Evidence from a large devaluation episode

State-dependent and time-dependent price setting models yield distinct implications for how frequency and magnitude of price changes react to shocks. This note studies pricing behavior in Brazil following the large devaluation of the Brazilian Real in 1999 to distinguish between models. The results are consistent with state-dependent pricing

Time-dependent or state-dependent pricing? Evidence from firms’ response to inflation shocks

This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring a large discrepancy between realized and expected inflation in 2002-3, we obtain a strong relation between expected inflation and duration of price spells, but little effect of inflation shocks on the frequency of price adjustment. The results thus support models with timedependent pricing, where the timing for following changes is optimally chosen whenever firms adjust prices

Optimal-state-dependent rules, credibility, and inflationary inertia

This paper examines the output losses caused by disinflation and the role of credibility in a model where pricing mIes are optimal and individual prices are rigid. Individual nominal rigidity is modeled as resulting from menu costs. The interaction between optimal pricing mIes and credibility is essential in determining the inflationary inertia. A continued period of high inflation generates an asymmetric distribution of price deviations, with more prices that are substantially lower than their desired leveIs than prices that are substantially higher than the optimal ones. When disinflation is not credible, inflationary inertia is engendered by this asymmetry: idiosyncratic shocks trigger more upward than downward adjustments. A perfect1y credible disinflation causes an immediate change of pricing rules which, by rendering the price deviation distribution less asymmetric, practically annihilates inflationary inertia. An implication of our model is that stabilization may be sucessful even when credibility is low, provided that it is preceded by a mechanism of price alignment. We also develop an analytical framework for analyzing imperfect credibility cases.

Maintenance optimisation of a multi-state series-parallel system considering economic dependence and state-dependent inspection intervals

This paper presents a maintenance optimisation method for a multi-state series-parallel system considering economic dependence and state-dependent inspection intervals. The objective function considered in the paper is the average revenue per unit time calculated based on the semi-regenerative theory and the universal generating function (UGF). A new algorithm using the stochastic ordering is also developed in this paper to reduce the search space of maintenance strategies and to enhance the efficiency of optimisation algorithms. A numerical simulation is presented in the study to evaluate the efficiency of the proposed maintenance strategy and optimisation algorithms. The simulation result reveals that maintenance strategies with opportunistic maintenance and state-dependent inspection intervals are more cost-effective when the influence of economic dependence and inspection cost is significant. The study further demonstrates that the optimisation algorithm proposed in this paper has higher computational efficiency than the commonly employed heuristic algorithms.

State Dependent Attempt Rate Modeling of Single Cell IEEE 802.11 WLANs with Homogeneous Nodes and Poisson Arrivals

Analytical models of IEEE 802.11-based WLANs are invariably based on approximations, such as the well-known mean-field approximations proposed by Bianchi for saturated nodes. In this paper, we provide a new approach for modeling the situation when the nodes are not saturated. We study a State Dependent Attempt Rate (SDAR) approximation to model M queues (one queue per node) served by the CSMA/CA protocol as standardized in the IEEE 802.11 DCF. The approximation is that, when n of the M queues are non-empty, the attempt probability of the n non-empty nodes is given by the long-term attempt probability of n saturated nodes as provided by Bianchi's model. This yields a coupled queue system. When packets arrive to the M queues according to independent Poisson processes, we provide an exact model for the coupled queue system with SDAR service. The main contribution of this paper is to provide an analysis of the coupled queue process by studying a lower dimensional process and by introducing a certain conditional independence approximation. We show that the numerical results obtained from our finite buffer analysis are in excellent agreement with the corresponding results obtained from ns-2 simulations. We replace the CSMA/CA protocol as implemented in the ns-2 simulator with the SDAR service model to show that the SDAR approximation provides an accurate model for the CSMA/CA protocol. We also report the simulation speed-ups thus obtained by our model-based simulation.

Stability of degenerate diffusions with state-dependent switching

This paper deals with the ergodic properties of hybrid systems modelled by diffusion processes with state-dependent switching. We investigate the sufficient conditions expressed in terms of the parameters of the underlying process which would ensure the existence of a unique invariant probability and stability in distribution of the flow. It turns out that the conditions would depend on certain averaging mechanisms over the states of the discrete component of the hybrid system. (C) 1999 Academic Press.

Optimal multi-layered congestion based pricing schemes for enhanced QoS

Pricing is an effective tool to control congestion and achieve quality of service (QoS) provisioning for multiple differentiated levels of service. In this paper, we consider the problem of pricing for congestion control in the case of a network of nodes with multiple queues and multiple grades of service. We present a closed-loop multi-layered pricing scheme and propose an algorithm for finding the optimal state dependent price levels for individual queues, at each node. This is different from most adaptive pricing schemes in the literature that do not obtain a closed-loop state dependent pricing policy. The method that we propose finds optimal price levels that are functions of the queue lengths at individual queues. Further, we also propose a variant of the above scheme that assigns prices to incoming packets at each node according to a weighted average queue length at that node. This is done to reduce frequent price variations and is in the spirit of the random early detection (RED) mechanism used in TCP/IP networks. We observe in our numerical results a considerable improvement in performance using both of our schemes over that of a recently proposed related scheme in terms of both throughput and delay performance. In particular, our first scheme exhibits a throughput improvement in the range of 67-82% among all routes over the above scheme. (C) 2011 Elsevier B.V. All rights reserved.

Synchronization of globally coupled two-state stochastic oscillators with a state-dependent refractory period

We present a model of identical coupled two-state stochastic units, each of which in isolation is governed by a fixed refractory period. The nonlinear coupling between units directly affects the refractory period, which now depends on the global state of the system and can therefore itself become time dependent. At weak coupling the array settles into a quiescent stationary state. Increasing coupling strength leads to a saddle node bifurcation, beyond which the quiescent state coexists with a stable limit cycle of nonlinear coherent oscillations. We explicitly determine the critical coupling constant for this transition.

State Dependent Attempt Rate modeling of single cell IEEE 802.11 WLANs with homogeneous nodes and Poisson packet arrivals

We study a State Dependent Attempt Rate (SDAR) approximation to model M queues (one queue per node) served by the Carrier Sense Multiple Access with Collision Avoidance (CSMA/CA) protocol as standardized in the IEEE 802.11 Distributed Coordination Function (DCF). The approximation is that, when n of the M queues are non-empty, the (transmission) attempt probability of each of the n non-empty nodes is given by the long-term (transmission) attempt probability of n saturated nodes. With the arrival of packets into the M queues according to independent Poisson processes, the SDAR approximation reduces a single cell with non-saturated nodes to a Markovian coupled queueing system. We provide a sufficient condition under which the joint queue length Markov chain is positive recurrent. For the symmetric case of equal arrival rates and finite and equal buffers, we develop an iterative method which leads to accurate predictions for important performance measures such as collision probability, throughput and mean packet delay. We replace the MAC layer with the SDAR model of contention by modifying the NS-2 source code pertaining to the MAC layer, keeping all other layers unchanged. By this model-based simulation technique at the MAC layer, we achieve speed-ups (w.r.t. MAC layer operations) up to 5.4. Through extensive model-based simulations and numerical results, we show that the SDAR model is an accurate model for the DCF MAC protocol in single cells. (C) 2012 Elsevier B.V. All rights reserved.

Tradeoff of average service cost and average delay for the state dependent M/M/1 queue

The optimal tradeoff between average service cost rate and average delay, is addressed for a M/M/1 queueing model with queue-length dependent service rates, chosen from a finite set. We provide an asymptotic characterization of the minimum average delay, when the average service cost rate is a small positive quantity V more than the minimum average service cost rate required for stability. We show that depending on the value of the arrival rate, the assumed service cost rate function, and the possible values of the service rates, the minimum average delay either a) increases only to a finite value, b) increases without bound as log(1/V), or c) increases without bound as 1/V, when V down arrow 0. We apply the analysis to a flow-level resource allocation model for a wireless downlink. We also investigate the asymptotic tradeoff for a sequence of policies which are obtained from an approximate fluid model for the M/M/1 queue.

State-dependent modulation of neuronal circuits in C. elegans sleep

C. elegans is a compact system of 302 neurons with identifiable and mapped connections that makes it ideal for systems analysis. This work is a demonstration of what I have been able to learn about the nature of state-specific modulation and reversibility during a state called lethargus, a sleep-like state in the worm. I begin with description about the nervous system of the worm, the nature of sleep in the worm, the questions about behavior and its apparent circuit properties, the tools available and used to manipulate the nervous system, and what I have been able to learn from these studies. I end with clues that the physiology helps to teach us about the dynamics of state specific modulation, what makes sleep so different from other states, and how we can use these measurements to understand which modulators, neurotransmitters, and channels can be used to create different dynamics in a simple model system.

Birth-death processes with mass annihilation and state-dependent immigration

A birth-death process is subject to mass annihilation at rate β with subsequent mass immigration occurring into state j at rateα j . This structure enables the process to jump from one sector of state space to another one (via state 0) with transition rate independent of population size. First, we highlight the difficulties encountered when using standard techniques to construct both time-dependent and equilibrium probabilities. Then we show how to overcome such analytic difficulties by means of a tool developed in Chen and Renshaw (1990, 1993b); this approach is applicable to many processes whose underlying generator on E\{0} has known probability structure. Here we demonstrate the technique through application to the linear birth-death generator on which is superimposed an annihilation/immigration process.

Markovian bulk-arriving queues with state-dependent control at idle time

This paper considers a Markovian bulk-arriving queue modified to allow both mass arrivals when the queue is idle and mass departures which allow for the possibility of removing the entire workload. Properties of queues which terminate when the server becomes idle are developed first, since these play a key role in later developments. Results for the case of mass arrivals, but no mass annihilation, are then constructed with specific attention being paid to recurrence properties, equilibrium queue-size structure, and waiting-time distribution. A closed-form expression for the expected queue size and its Laplace transform are also established. All of these results are then generalised to allow for the removal of the entire workload, with closed-form expressions being developed for the equilibrium size and waiting-time distributions.