Modeling Markets

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Modeling Markets

Author : Peter S.H. Leeflang
Publisher : Springer
ISBN 13 : 1493920863
Total Pages : 408 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Modeling Markets by : Peter S.H. Leeflang

Download or read book Modeling Markets written by Peter S.H. Leeflang and published by Springer. This book was released on 2014-11-12 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is about how models can be developed to represent demand and supply on markets, where the emphasis is on demand models. Its primary focus is on models that can be used by managers to support marketing decisions. Modeling Markets presents a comprehensive overview of the tools and methodologies that managers can use in decision making. It has long been known that even simple models outperform judgments in predicting outcomes in a wide variety of contexts. More complex models potentially provide insights about structural relations not available from casual observations. In this book, the authors present a wealth of insights developed at the forefront of the field, covering all key aspects of specification, estimation, validation and use of models. The most current insights and innovations in quantitative marketing are presented, including in-depth discussion of Bayesian estimation methods. Throughout the book, the authors provide examples and illustrations. This book will be of interest to researchers, analysts, managers and students who want to understand, develop or use models of marketing phenomena.

Advanced Methods for Modeling Markets

Author : Peter S. H. Leeflang
Publisher : Springer
ISBN 13 : 3319534696
Total Pages : 733 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Advanced Methods for Modeling Markets by : Peter S. H. Leeflang

Download or read book Advanced Methods for Modeling Markets written by Peter S. H. Leeflang and published by Springer. This book was released on 2017-08-29 with total page 733 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents advanced techniques to modeling markets, with a wide spectrum of topics, including advanced individual demand models, time series analysis, state space models, spatial models, structural models, mediation, models that specify competition and diffusion models. It is intended as a follow-on and companion to Modeling Markets (2015), in which the authors presented the basics of modeling markets along the classical steps of the model building process: specification, data collection, estimation, validation and implementation. This volume builds on the concepts presented in Modeling Markets with an emphasis on advanced methods that are used to specify, estimate and validate marketing models, including structural equation models, partial least squares, mixture models, and hidden Markov models, as well as generalized methods of moments, Bayesian analysis, non/semi-parametric estimation and endogeneity issues. Specific attention is given to big data. The market environment is changing rapidly and constantly. Models that provide information about the sensitivity of market behavior to marketing activities such as advertising, pricing, promotions and distribution are now routinely used by managers for the identification of changes in marketing programs that can improve brand performance. In today’s environment of information overload, the challenge is to make sense of the data that is being provided globally, in real time, from thousands of sources. Although marketing models are now widely accepted, the quality of the marketing decisions is critically dependent upon the quality of the models on which those decisions are based. This volume provides an authoritative and comprehensive review, with each chapter including: · an introduction to the method/methodology · a numerical example/application in marketing · references to other marketing applications · suggestions about software. Featuring contributions from top authors in the field, this volume will explore current and future aspects of modeling markets, providing relevant and timely research and techniques to scientists, researchers, students, academics and practitioners in marketing, management and economics.

Complementarity Modeling in Energy Markets

Author : Steven A. Gabriel
Publisher : Springer Science & Business Media
ISBN 13 : 1441961232
Total Pages : 637 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complementarity Modeling in Energy Markets by : Steven A. Gabriel

Download or read book Complementarity Modeling in Energy Markets written by Steven A. Gabriel and published by Springer Science & Business Media. This book was released on 2012-07-20 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: This addition to the ISOR series introduces complementarity models in a straightforward and approachable manner and uses them to carry out an in-depth analysis of energy markets, including formulation issues and solution techniques. In a nutshell, complementarity models generalize: a. optimization problems via their Karush-Kuhn-Tucker conditions b. on-cooperative games in which each player may be solving a separate but related optimization problem with potentially overall system constraints (e.g., market-clearing conditions) c. conomic and engineering problems that aren’t specifically derived from optimization problems (e.g., spatial price equilibria) d. roblems in which both primal and dual variables (prices) appear in the original formulation (e.g., The National Energy Modeling System (NEMS) or its precursor, PIES). As such, complementarity models are a very general and flexible modeling format. A natural question is why concentrate on energy markets for this complementarity approach? s it turns out, energy or other markets that have game theoretic aspects are best modeled by complementarity problems. The reason is that the traditional perfect competition approach no longer applies due to deregulation and restructuring of these markets and thus the corresponding optimization problems may no longer hold. Also, in some instances it is important in the original model formulation to involve both primal variables (e.g., production) as well as dual variables (e.g., market prices) for public and private sector energy planning. Traditional optimization problems can not directly handle this mixing of primal and dual variables but complementarity models can and this makes them all that more effective for decision-makers.

Financial Modeling of the Equity Market

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470037695
Total Pages : 673 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Financial Modeling of the Equity Market by : Frank J. Fabozzi

Download or read book Financial Modeling of the Equity Market written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2006-03-31 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

Market Risk and Financial Markets Modeling

Author : Didier Sornette
Publisher : Springer Science & Business Media
ISBN 13 : 3642279317
Total Pages : 268 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Market Risk and Financial Markets Modeling by : Didier Sornette

Download or read book Market Risk and Financial Markets Modeling written by Didier Sornette and published by Springer Science & Business Media. This book was released on 2012-02-03 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.

Modeling Financial Markets

Author : Benjamin Van Vliet
Publisher : McGraw Hill Professional
ISBN 13 : 007144288X
Total Pages : 304 pages
Book Rating : 4.0/5 (714 download)

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Book Synopsis Modeling Financial Markets by : Benjamin Van Vliet

Download or read book Modeling Financial Markets written by Benjamin Van Vliet and published by McGraw Hill Professional. This book was released on 2004-01-22 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Limitations in today's software packages for financial modeling system development can threaten the viability of any system--not to mention the firm using that system. Modeling Financial Markets is the first book to take financial professionals beyond those limitations to introduce safer, more sophisticated modeling methods. It contains dozens of techniques for financial modeling in code that minimize or avoid current software deficiencies, and addresses the crucial crossover stage in which prototypes are converted to fully coded models.

Agent-Based Modeling

Author : Norman Ehrentreich
Publisher : Springer Science & Business Media
ISBN 13 : 3540738789
Total Pages : 238 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Agent-Based Modeling by : Norman Ehrentreich

Download or read book Agent-Based Modeling written by Norman Ehrentreich and published by Springer Science & Business Media. This book was released on 2007-10-30 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.

Complexity in Financial Markets

Author : Matthieu Cristelli
Publisher : Springer Science & Business Media
ISBN 13 : 3319007238
Total Pages : 223 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Complexity in Financial Markets by : Matthieu Cristelli

Download or read book Complexity in Financial Markets written by Matthieu Cristelli and published by Springer Science & Business Media. This book was released on 2013-08-28 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools and methods from complex systems science can have a considerable impact on the way in which the quantitative assessment of economic and financial issues is approached, as discussed in this thesis. First it is shown that the self-organization of financial markets is a crucial factor in the understanding of their dynamics. In fact, using an agent-based approach, it is argued that financial markets’ stylized facts appear only in the self-organized state. Secondly, the thesis points out the potential of so-called big data science for financial market modeling, investigating how web-driven data can yield a picture of market activities: it has been found that web query volumes anticipate trade volumes. As a third achievement, the metrics developed here for country competitiveness and product complexity is groundbreaking in comparison to mainstream theories of economic growth and technological development. A key element in assessing the intangible variables determining the success of countries in the present globalized economy is represented by the diversification of the productive basket of countries. The comparison between the level of complexity of a country's productive system and economic indicators such as the GDP per capita discloses its hidden growth potential.

Stock Market Modeling and Forecasting

Author : Xiaolian Zheng
Publisher : Springer
ISBN 13 : 1447151550
Total Pages : 161 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Stock Market Modeling and Forecasting by : Xiaolian Zheng

Download or read book Stock Market Modeling and Forecasting written by Xiaolian Zheng and published by Springer. This book was released on 2013-04-05 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market Modeling and Forecasting translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a financial market exhibits fast and slow dynamics corresponding to external (such as company value and profitability) and internal forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent. The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.

Market Response Models

Author : Dominique M. Hanssens
Publisher : Springer Science & Business Media
ISBN 13 : 0306475944
Total Pages : 502 pages
Book Rating : 4.3/5 (64 download)

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Book Synopsis Market Response Models by : Dominique M. Hanssens

Download or read book Market Response Models written by Dominique M. Hanssens and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: From 1976 to the beginning of the millennium—covering the quarter-century life span of this book and its predecessor—something remarkable has happened to market response research: it has become practice. Academics who teach in professional fields, like we do, dream of such things. Imagine the satisfaction of knowing that your work has been incorporated into the decision-making routine of brand managers, that category management relies on techniques you developed, that marketing management believes in something you struggled to establish in their minds. It’s not just us that we are talking about. This pride must be shared by all of the researchers who pioneered the simple concept that the determinants of sales could be found if someone just looked for them. Of course, economists had always studied demand. But the project of extending demand analysis would fall to marketing researchers, now called marketing scientists for good reason, who saw that in reality the marketing mix was more than price; it was advertising, sales force effort, distribution, promotion, and every other decision variable that potentially affected sales. The bibliography of this book supports the notion that the academic research in marketing led the way. The journey was difficult, sometimes halting, but ultimately market response research advanced and then insinuated itself into the fabric of modern management.

Mathematical Modelling of Contemporary Electricity Markets

Author : Athanasios Dagoumas
Publisher : Academic Press
ISBN 13 : 0128218398
Total Pages : 444 pages
Book Rating : 4.1/5 (282 download)

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Book Synopsis Mathematical Modelling of Contemporary Electricity Markets by : Athanasios Dagoumas

Download or read book Mathematical Modelling of Contemporary Electricity Markets written by Athanasios Dagoumas and published by Academic Press. This book was released on 2021-01-30 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets

Stochastic Modelling of Electricity and Related Markets

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 981281230X
Total Pages : 352 pages
Book Rating : 4.8/5 (128 download)

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Book Synopsis Stochastic Modelling of Electricity and Related Markets by : Fred Espen Benth

Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230298109
Total Pages : 257 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by : G. Gregoriou

Download or read book Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures written by G. Gregoriou and published by Springer. This book was released on 2010-12-13 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Statistical Modeling and Analysis for Database Marketing

Author : Bruce Ratner
Publisher : CRC Press
ISBN 13 : 0203496906
Total Pages : 383 pages
Book Rating : 4.2/5 (34 download)

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Book Synopsis Statistical Modeling and Analysis for Database Marketing by : Bruce Ratner

Download or read book Statistical Modeling and Analysis for Database Marketing written by Bruce Ratner and published by CRC Press. This book was released on 2003-05-28 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional statistical methods are limited in their ability to meet the modern challenge of mining large amounts of data. Data miners, analysts, and statisticians are searching for innovative new data mining techniques with greater predictive power, an attribute critical for reliable models and analyses. Statistical Modeling and Analysis fo

Forecasting in Financial and Sports Gambling Markets

Author : William S. Mallios
Publisher : John Wiley & Sons
ISBN 13 : 1118099532
Total Pages : 207 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Forecasting in Financial and Sports Gambling Markets by : William S. Mallios

Download or read book Forecasting in Financial and Sports Gambling Markets written by William S. Mallios and published by John Wiley & Sons. This book was released on 2011-03-29 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to modeling analyses for financial and sports gambling markets, with a focus on major current events Addressing the highly competitive and risky environments of current-day financial and sports gambling markets, Forecasting in Financial and Sports Gambling Markets details the dynamic process of constructing effective forecasting rules based on both graphical patterns and adaptive drift modeling (ADM) of cointegrated time series. The book uniquely identifies periods of inefficiency that these markets oscillate through and develops profitable forecasting models that capitalize on irrational behavior exhibited during these periods. Providing valuable insights based on the author's firsthand experience, this book utilizes simple, yet unique, candlestick charts to identify optimal time periods in financial markets and optimal games in sports gambling markets for which forecasting models are likely to provide profitable trading and wagering outcomes. Featuring detailed examples that utilize actual data, the book addresses various topics that promote financial and mathematical literacy, including: Higher order ARMA processes in financial markets The effects of gambling shocks in sports gambling markets Cointegrated time series with model drift Modeling volatility Throughout the book, interesting real-world applications are presented, and numerous graphical procedures illustrate favorable trading and betting opportunities, which are accompanied by mathematical developments in adaptive model forecasting and risk assessment. A related web site features updated reviews in sports and financial forecasting and various links on the topic. Forecasting in Financial and Sports Gambling Markets is an excellent book for courses on financial economics and time series analysis at the upper-undergraduate and graduate levels. The book is also a valuable reference for researchers and practitioners working in the areas of retail markets, quant funds, hedge funds, and time series. Also, anyone with a general interest in learning about how to profit from the financial and sports gambling markets will find this book to be a valuable resource.

Modeling and Forecasting Primary Commodity Prices

Author : Walter C. Labys
Publisher : Routledge
ISBN 13 : 1351917080
Total Pages : 264 pages
Book Rating : 4.3/5 (519 download)

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Book Synopsis Modeling and Forecasting Primary Commodity Prices by : Walter C. Labys

Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.

Commodity Modeling and Pricing

Author : Peter V. Schaeffer
Publisher : John Wiley & Sons
ISBN 13 : 0470447435
Total Pages : 442 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Commodity Modeling and Pricing by : Peter V. Schaeffer

Download or read book Commodity Modeling and Pricing written by Peter V. Schaeffer and published by John Wiley & Sons. This book was released on 2008-12-03 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.