Concept

Price discovery

Related publications (17)

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Microsimulation framework for urban price-taker markets

Bilal Farooq

In the context of integrated transportation and other urban engineering infrastructure systems, there are many examples of markets, where consumers exhibit price-taking behaviour. While this behaviour is ubiquitous, the underlying mechanism can be captured ...

2012

Microsimulation Framework for Urban Price-Taker Markets

Bilal Farooq

2011

Microsimulation Framework for Urban Price-Taker Markets

Bilal Farooq

2011

An optimal prediction problem in financial modelling

Violetta Bernyk

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

Multi-agent modelling of electricity markets

Abdelaziz Lahlou

This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...

EPFL2007

Excess demand and equilibration in multi-security financial markets: The empirical evidence

Price dynamics are studied in a dataset of more than 11,000 transactions from large-scale financial markets experiments with multiple risky securities. The aim is to determine whether a few simple principles govern equilibration. We first ask whether price ...

2003

Local parametric analysis of derivatives pricing and hedging

A novel methodology for the analysis of derivatives pricing in incomplete markets is tested empirically. The methodology generates hedge ratios and derivatives prices. They are estimated from the correlation structure between the local co-movements of secu ...

2003