We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and ...

<p style='text-indent:20px;'>In this study, we have analyzed a market impact game between <i>n</i> risk-averse agents who compete for liquidity in model with permanent price and additional slippage. Most parameters, including volatility drift, are allowed to vary stochastically. Our first main result characterizes the Nash equilibrium terms of fully coupled system forward-back...

The objective of this paper is to present a parsimonious forecasting model for the fishmeal price. The focus is on the soybean meal market’s impact on the fish meal price through the soybean meal futures price together with the stocks-to-use as an indicator of demand and supply conditions. A salient feature of the fishmeal market is the impact of the ENSO events on fishmeal supply. This possibl...

We conducted preference assessments with 4 typically developing children to identify potential reinforcers and assessed the reinforcing efficacy of those stimuli. Next, we tested two predictions of economic theory: that overall consumption (reinforcers obtained) would decrease as the unit price (response requirement per reinforcer) increased and that the cost and benefit components that defined...

Many studies conclude that the rise in global food prices due to higher demand from the development of biofuels, climate anomalies, and increased of oil prices. Not only the food commodity index rose more than 60 percent, nonfood commodity price index also rose over 60 percent and crude oil price index has increased even further above 60 percent. The purpose of this study is to analyze the impa...

The aim of the study is to examine causal relationship between VIX index, oil price, dollar and BIST-Tourism index in context global EPU February 1997 September 2022. To achieve this aim, Fourier Toda Yamamoto (TY) causality test fractional TY were used. results show that there a one-way causative price. In addition, it seen bidirectional index. According obtained from test, BIST-tourism was fo...