Investigating the effect of price process selection on the value of a metal mining asset portfolio
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DOI: 10.1007/s13563-017-0102-2
Abstract: This paper studies how the selection of the metal price process used and the choice of selected other modeling assumptions affect the value of a metal mining company’s mining asset portfolio. We compare results from… read more here.
Keywords: value metal; portfolio; price; process ... See more keywords
An inventory model where customer demand is dependent on a stochastic price process
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DOI: 10.1016/j.ijpe.2019.01.039
Abstract: Abstract We investigate the optimal inventory operations of a firm selling an item whose price is driven by an exogenous stochastic price process which consequently impacts customer arrivals between ordering cycles. This case is typical… read more here.
Keywords: price process; customer; process; price ... See more keywords
High frequency traders and the price process
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DOI: 10.1016/j.jeconom.2019.11.005
Abstract: Using a dataset that uniquely identifies counterparties to each S&P500 eMini transaction, we classify each market participant as high or low frequency, and each transaction, by the speed of the traders involved. We investigate empirically… read more here.
Keywords: frequency; price process; frequency traders; high frequency ... See more keywords