We develop an integrated approach for analyzing logistics and marketing decisions within the context of designing an optimal returns system for a retailer servicing two distinct market segments. At the operational level, we show that the optimal refund price is not unique. Moreover, it is such that if both market segments return a purchased product, then neither segment will receive a full mone...

W exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of risk, and we estimate the model using the time-series returns and option prices on the Nasdaq 100 tracki...

Visual data analysis of time related data sets has attracted much research interest recently, and a number of sophisticated visualization methods have been proposed in the past. In financial analysis, however, the most important and most common visualization techniques for time series data is the traditional lineor bar chart. Although these are intuitive and make it easy to spot the effect of k...

The market events of 2007-2008 have reinvigorated the search for realistic share price models that capture greater likelihoods of extreme movements and that also reflect fearand greed-linked trading expressed through price-motivated trades. In this paper we model the medium-term log-return dynamics in a market containing both fundamental and technical traders. This is done in a simple way based...

Li, Zhigang, and Chen, Yu—Estimating the social return to transport infrastructure: A price-difference approach applied to a quasi-experiment Using the price differences between two markets, this study proposes a method for inferring the social return to transport infrastructure (in the vein of Fogel (1964)). We apply this approach to an investment that increased the shipping capacity of a thou...

Retail milk price responses to farm price changes were analyzed for Boston, Massachusetts, and Hartford, Connecticut. Prior research concluded asymmetries did not exist in the response of retail fluid milk prices to changes in farm prices. This study finds transmission rates were greater for the Compact period (100 – 120 percent) than the PreCompact period (66 – 88 percent). Short-run asymmetri...

This paper presents a model for designing the pricing policies for the supply chain whose channel is integrated with retail and e-tail. In order to incentive the retailer, the manufacture in the supply chain adopts return policy promising that any unsold product can be returned to the manufacture for a partial refund in the end of the selling season. How can the manufacture coordinate the prici...

The goal of price optimization is to maximize total revenue by adjusting the prices of products, on the basis of predicted sales numbers that are functions of pricing strategies. Recent advances in demand modeling using machine learning raise a new challenge in price optimization, i.e., how to manage statistical errors in estimation. In this paper, we show that uncertainty in recently-proposed ...

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset's return. The option pricing formula of Heston (1993) is a particular case of ours, corresponding to the case in which there is no ambiguity (uncertainty is exclusively risk). In the presence of ambiguity, the var...

Table 1. 2007 Estimated Return over Variable Costs for Cotton and Peanuts. Non-Irrigated Non-Irrigated Irrigated Irrigated Cotton Peanuts Cotton Peanuts Harvest Price 1/ $0.60 $0.21 $0.60 $0.21 Yield 750 300