118,272 research outputs found
The precautionary demand for commodity stocks
No full textThis paper develops a theory of the precautionary demand for commodity stocks. It suggests that commodity stocks are held for precautionary purposes by producers, consumers, and intermediate processors, while speculators hold stocks on the expectation of capital gains from a subsequent price rise. Producer and consumer stocks usually account for the largest share of commercial stocks held at any point in time. For example, at the end of 1990, stocks held by producers and consumers of copper were 72 percent of all commercial stocks of the market economy countries. Yet, the theory explaining the behavior of this class of stocks has not progressed much beyond the concept of convenience yield, first introduced by Kaldor (1939). This paper proposes an alternative theory. Holding of stocks by producers and consumers is viewed as precautionary behavior towards output and price risks. As a theory of behavior towards risks, the precautionary stock demand model encompasses speculative demand by both producers and consumers. Furthermore, both stocks and futures are treated as precautionary instruments, in contrast to the dichotomy that only stocks provide convenience yield while futures are hedging instruments.Access to Markets,Markets and Market Access,Economic Theory&Research,Environmental Economics&Policies,Non Bank Financial Institutions
The Value Effect and the Market For Chinese Stocks
No full textA long literature in empirical finance has isolated both a value and a small-capitalization effect in asset pricing. This study confirms the existence of these style effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then present a new nonparametric method of portfolio construction that enables investors to extract the predictive power of these style effects, without diluting their efficacy through an unintended weighting distribution that closely resembles capitalization weighting. We then develop a simple method to isolate periods where style tilts are likely to be particularly effective.China, stock market, capitalization, stock portolios, equity index
Influence of random fluctuations on delayed bifurcations. II. The cases of white and colored additive and multiplicative noise
No full textThe influence of noise on the delay of a bifurcation point in the presence of a swept control parameter has been investigated theoretically, by digital simulation and by analog electronic experiment. The results obtained in an earlier paper [N. G. Stocks, R. Mannella, and P. V. E. McClintock, Phys. Rev. A 40, 5361 (989)] have thereby been extended and complemented. In particular, exact analytic expressions have been derived for the time-dependent probability densities P(x,t), and these have been used to obtain the mean first-passage time t*MFPT for x^2(t) to reach a threshold under the influence of Gaussian fluctuations, in several contexts: additive external white noise, additive external exponentially correlated noise, additive internal white noise, additive internal exponentially correlated noise, multiplicative white and colored noise. Based on Zeghlache, Mandel, and Van den Broeck's [Phys. Rev. A 40, 286 (989)] alternative definition of the bifurcation time t*moment in terms of the evolution of the second moment [x^2(t)], an expression is derived for t*moment for the general case of combined additive and multiplicative noises. The calculations are tested by comparison with the results of analog experiments and digital simulations, with which they are shown to be in excellent agreement
Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks
No full textIn this paper we explore how the composition of a market maker's portfolio and allocation of attention across securities in the portfolio affect pricing. We analyze whether more attention devoted to similar securities enables a market maker to extract information relevant to a stock from order flow to related securities and consequently whether it leads to improved price discovery of the stock. We base on the recent literature on allocation of attention in share trading (Corwin and Coughenour, 2008; Boulatov et al., 2009) and define the prominence of a security as the proportion of its dollar volume in the total volume of the specialist portfolio it belongs to. Our empirical tests are focused on New York Stock Exchange specialists and the U.S. share in price discovery of 64 British and French companies cross-listed on the NYSE. We define related securities as stocks from the same country, the same region or other foreign stocks. We find strong evidence that an increase in the prominence of related stocks in the specialist portfolio leads to a higher U.S. share in price discovery of our sample stocks. We interpret our findings as evidence that concentrating market makers in similar stocks reduces information asymmetries and improves the information environment. To support our argument, we show that an increase in the prominence of other foreign stocks in the specialist portfolio significantly reduces the adverse selection component of the bid-ask spread.NYSE specialists, cross-listing, related stocks, price discovery
Kinsmen Club 1946 executive
No full textLeft to right front row: W. Nobbs, secretary, C.D. Haddon, president, H. Lewis, vice-president, A. Fleming, treasurer. Back row L to R: A. Dabell, assistant secretary and historian, Ted Morgan, director, Ben Macdonald, past president, H. Switzer, director, G. Echlin, directo
The painting "Summer Night" by H.J. (or G?) Stocks, depicting a woman combing her hair, [s.d.]
No full textPhotograph of the painting "Summer Night" by H.J. (or G?) Stocks, depicting a woman combing her hair, [s.d.]. The woman is shown the back side of her left shoulder to the viewer, draped in a billowing peasant blouse. Her hair is long and wavy, and is depicted so as to suggest an auburn color. What may or may not be stars are visible in the upper background
Stochastic resonance in electrical circuits—II: Nonconventional stochastic resonance.
No full textStochastic resonance (SR), in which a periodic signal in a nonlinear system can be amplified by added noise, is discussed. The application of circuit modeling techniques to the conventional form of SR, which occurs in static bistable potentials, was considered in a companion paper. Here, the investigation of nonconventional forms of SR in part using similar electronic techniques is described. In the small-signal limit, the results are well described in terms of linear response theory. Some other phenomena of topical interest, closely related to SR, are also treate
A Buffer Stocks Model for Stabilizing Price in Duopoly-Like Market
No full textThis paper presents the staple-food distribution problem in agro-industry. There is a great difference
of staple-food supplies in the harvest-season and in the planting-season meanwhile the demand is relatively
constant. This situation will trigger price-volatility and shortage of staple-food, and it causes opportunity-losses for the stakeholders (producer, consumer, wholesaler/trader, and the government). For stabilizing the
price, the government has several stabilization policies; one of them is market-intervention policy by using
buffer-stocks schemes. The market-intervention policy should be utilized for improving producer’s profit, for
cutting consumer’s expenditure, and for sustaining wholesaler’s margin-profit by implementing price-support
and price-stabilization. In duopoly-like market, we assume that there are only two market-players in the
distribution system. The objective of this research is to determine the instruments for operating Market-Intervention Program which consist of the quantity, time, and price of the buffer-stocks schemes. The problem
was solved using 3 approaches. First, a comparative cost/benefit analysis between free-market and
intervention-market can be used to formulate the objective function of each stakeholders. Second, the
integration of optimization model and econometrics model were use to develop the decision-variables subject
to the expectation of stakeholders, the buffer-stocks requirement, and the dynamics price equilibrium
properties. Third, model market with Inventory was applied for solving the market-price equilibrium. The
result could be used to analyze such the staple-food distribution system, incorporating the configuration of
duo-producers, duo market-buyers, and duo-consumers.
Keywords: buffer-stocks, duopoly-like market, market-intervention program, model market with inventory,
and staple-food distribution system
Stochastic resonance in electrical circuits—I: Conventional stochastic resonance.
No full textStochastic resonance (SR), a phenomenon in which a periodic signal in a nonlinear system can be amplified by added noise, is introduced and discussed. Techniques for investigating SR using electronic circuits are described in practical terms. The physical nature of SR, and the explanation of weak-noise SR as a linear response phenomenon, are considered. Conventional SR, for systems characterized by static bistable potentials, is described together with examples of the data obtainable from the circuit models used to test the theory
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