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Author: Peter S.H. Leeflang Publisher: Springer ISBN: 1493920863 Category : Business & Economics Languages : en Pages : 417
Book Description
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.
Author: Peter S.H. Leeflang Publisher: Springer ISBN: 1493920863 Category : Business & Economics Languages : en Pages : 417
Book Description
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.
Author: Peter S. H. Leeflang Publisher: Springer ISBN: 3319534696 Category : Business & Economics Languages : en Pages : 725
Book Description
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.
Author: Frank J. Fabozzi Publisher: John Wiley & Sons ISBN: 0470037695 Category : Business & Economics Languages : en Pages : 673
Book Description
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.
Author: Steven A. Gabriel Publisher: Springer Science & Business Media ISBN: 1441961232 Category : Business & Economics Languages : en Pages : 637
Book Description
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.
Author: Didier Sornette Publisher: Springer Science & Business Media ISBN: 3642279317 Category : Business & Economics Languages : en Pages : 260
Book Description
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.
Author: Fred Espen Benth Publisher: World Scientific ISBN: 981281230X Category : Business & Economics Languages : en Pages : 352
Book Description
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.
Author: Benjamin Van Vliet Publisher: McGraw Hill Professional ISBN: 007144288X Category : Business & Economics Languages : en Pages : 400
Book Description
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.
Author: Donald MacKenzie Publisher: MIT Press ISBN: 0262250047 Category : Technology & Engineering Languages : en Pages : 782
Book Description
In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.
Author: Norman Ehrentreich Publisher: Springer Science & Business Media ISBN: 3540738789 Category : Business & Economics Languages : en Pages : 238
Book Description
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.
Author: Matthieu Cristelli Publisher: Springer Science & Business Media ISBN: 3319007238 Category : Science Languages : en Pages : 223
Book Description
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.
Author: Peter S.H. Leeflang
Author: Peter S.H. Leeflang
Author: Peter S. H. Leeflang
Author: Frank J. Fabozzi
Author: Steven A. Gabriel
Author: Didier Sornette
Author: Fred Espen Benth
Author: Benjamin Van Vliet
Author: Donald MacKenzie
Author: Norman Ehrentreich
Author: Matthieu Cristelli