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Juliette Rouchier - One of the best experts on this subject based on the ideXlab platform.

  • The influence of seller learning and time constraints on sequential bargaining in an artificial perishable goods market
    2009
    Co-Authors: Sonia Moulet, Juliette Rouchier
    Abstract:

    This paper investigates the Formation of Prices in a perishable goods market where agents bargain repeatedly through pair-wise interactions. After extensive field observations, we chose to focus on two aspects that seem important to actors of this market : the passage of time and update in judgement when gathering inFormation. The main feature of the market is that a seller bargaining with a buyer has incomplete inFormation about buyer's willingness to pay and is not sure how her trading partner will evaluate an offer or compare it with other options. On the other hand, buyers have limited time to look for good sand cannot meet all possible sellers before making a decision. Hence agents cannot calculate the best price to offer but receive inFormation through limited interactions, and use this inFormation to choose their actions. An agent-based model was built to represent a frame work that mimics the observed market institution and where agent's possible behaviours and learning was made as consistent as possible with gathered data. Simulations were run, first for sensitivity analysis concerning main parameters, then to test the dependence of agents'learning to (a) the time buyers can spend on the market and (b) the frequency of update in learning by sellers. To validate the model, features produced by the simulated market are compared to the stylized facts gathered for negotiation about four goods. We reproduce the main features of the data on the dynamics of offers, transaction Prices and agents'behavior during the bargaining phases.

  • The influence of sellers' beliefs and time constraint on a sequential bargaining in an artificial perishable goods market
    Journal of Economic Dynamics and Control, 2008
    Co-Authors: Sonia Moulet, Juliette Rouchier
    Abstract:

    In this paper we test some hypotheses about the Formation of Prices through sequential bilateral bargaining on a perishable goods market under the assumption of behavioural learning by buyers and sellers. We constructed a multi-agent simulation model based on a survey concerning the fruit and vegetables market in Marseille, France. In our model, the agents bargain the price of a perishable good. The representation of agents' rationality is inspired by a literature relative to markets of perishable goods (Kirman [6] [7] and Rouchier [18] [19] [20]) as well as on artificial bargaining (Brenner[2], Weisbuch[22]). We study the influence of three parameters (the sellers' initial beliefs concerning the buyers' willingness to pay, the time spent by buyers on the market, and the heterogeneity in the sellers' limit value) on the evolution of Prices and of agents' representations of others agents. We compare our results with empirical observations and some existing literature on bargaining. We find that our assumptions concerning the learning process give consistent results and lead the transactions Prices to converge toward the sellers' limit value.

Denise Gorse - One of the best experts on this subject based on the ideXlab platform.

  • ICAISC (1) - Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
    2020
    Co-Authors: Ye-sheen Lim, Denise Gorse
    Abstract:

    In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional Prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving the Formation of Prices seen on the price chart of a stock or currency. To test the stationarity of our proposed model we train our model on data before the 2017 Bitcoin bubble period and test our model during and after the bubble. We show that without any retraining, the proposed model is temporally stable even as Bitcoin trading shifts into an extremely volatile "bubble trouble" period. The significance of the result is shown by benchmarking against existing state-of-the-art models in the literature for modelling price Formation using deep learning.

  • Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
    arXiv: Statistical Finance, 2020
    Co-Authors: Ye-sheen Lim, Denise Gorse
    Abstract:

    In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional Prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving the Formation of Prices seen on the price chart of a stock or currency. To test the stationarity of our proposed model we train our model on data before the 2017 Bitcoin bubble period and test our model during and after the bubble. We show that without any retraining, the proposed model is temporally stable even as Bitcoin trading shifts into an extremely volatile "bubble trouble" period. The significance of the result is shown by benchmarking against existing state-of-the-art models in the literature for modelling price Formation using deep learning.

Sonia Moulet - One of the best experts on this subject based on the ideXlab platform.

  • The influence of seller learning and time constraints on sequential bargaining in an artificial perishable goods market
    2009
    Co-Authors: Sonia Moulet, Juliette Rouchier
    Abstract:

    This paper investigates the Formation of Prices in a perishable goods market where agents bargain repeatedly through pair-wise interactions. After extensive field observations, we chose to focus on two aspects that seem important to actors of this market : the passage of time and update in judgement when gathering inFormation. The main feature of the market is that a seller bargaining with a buyer has incomplete inFormation about buyer's willingness to pay and is not sure how her trading partner will evaluate an offer or compare it with other options. On the other hand, buyers have limited time to look for good sand cannot meet all possible sellers before making a decision. Hence agents cannot calculate the best price to offer but receive inFormation through limited interactions, and use this inFormation to choose their actions. An agent-based model was built to represent a frame work that mimics the observed market institution and where agent's possible behaviours and learning was made as consistent as possible with gathered data. Simulations were run, first for sensitivity analysis concerning main parameters, then to test the dependence of agents'learning to (a) the time buyers can spend on the market and (b) the frequency of update in learning by sellers. To validate the model, features produced by the simulated market are compared to the stylized facts gathered for negotiation about four goods. We reproduce the main features of the data on the dynamics of offers, transaction Prices and agents'behavior during the bargaining phases.

  • The influence of sellers' beliefs and time constraint on a sequential bargaining in an artificial perishable goods market
    Journal of Economic Dynamics and Control, 2008
    Co-Authors: Sonia Moulet, Juliette Rouchier
    Abstract:

    In this paper we test some hypotheses about the Formation of Prices through sequential bilateral bargaining on a perishable goods market under the assumption of behavioural learning by buyers and sellers. We constructed a multi-agent simulation model based on a survey concerning the fruit and vegetables market in Marseille, France. In our model, the agents bargain the price of a perishable good. The representation of agents' rationality is inspired by a literature relative to markets of perishable goods (Kirman [6] [7] and Rouchier [18] [19] [20]) as well as on artificial bargaining (Brenner[2], Weisbuch[22]). We study the influence of three parameters (the sellers' initial beliefs concerning the buyers' willingness to pay, the time spent by buyers on the market, and the heterogeneity in the sellers' limit value) on the evolution of Prices and of agents' representations of others agents. We compare our results with empirical observations and some existing literature on bargaining. We find that our assumptions concerning the learning process give consistent results and lead the transactions Prices to converge toward the sellers' limit value.

Getulio Kazue Akabane - One of the best experts on this subject based on the ideXlab platform.

  • gestao e formacao e precos de salgados em uma empresa individual da cidade de taboao da serra em sao paulo management and Formation of salgado Prices in an individual company of the city of taboao da serra in sao paulo
    Revista FSA, 2017
    Co-Authors: Joao Almeida Santos, Michele Da Silva Ferreira, Eduardo Santos, Getulio Kazue Akabane
    Abstract:

    O crescimento de uma regiao depende da iniciativa de pequenos empreendedores que atuam com sua empresa individual, produzindo uma serie infinita de bens e servicos. Possui grande capacidade de gerar emprego, de movimentar a renda e de proporcionar o crescimento de outras microempresas por causa da demanda de mercadorias para o seu negocio. Um empreendedor individual que produz e vende salgados precisa de diversos componentes, como: fogao, gas, oleo, farinha de trigo, colher, faca, peneira, embalagem, permitindo que outros microempreendedores movimentem seu negocio, fornecendo tais materiais. A gestao e a formacao de precos do salgado deve ser o mais rigoroso possivel para evitar prejuizo, logo, quanto mais experiente e capacitado for o empreendedor maior a chance de que seu negocio sobreviva por mais tempo. Neste sentido, esta pesquisa mostra como uma MEI – Microempreendedor Individual da regiao de Taboao da Serra – SP, faz a gestao de sua empresa e a formacao de precos dos salgados que comercializa. Por meio de uma investigacao de pesquisa-acao e utilizando-se da pesquisa documental com abordagem quantitativa, esta pesquisa mostra a gestao e a formacao de precos por meio de apontamentos precisos de quanto se emprega de componentes e rendimento de cada um no processo de producao. Isto permitiu ao empreendedor estabelecer metas, identificar o salgado que tem maior margem de lucro, qual produto vende em determinado dia da semana, fazer promocao, dedicar esforco para o produto que tem maior demanda e margem de lucro. Palavra Chave: Gestao.  Formacao de Preco. Salgado. Microempreendedor. Lucro. ABSTRACT The growth of a region depends on the initiative of small entrepreneurs who work with their individual company producing an endless series of goods and services. It has great capacity to generate employment, to move the income and to provide the growth of other micro-enterprises because of the demand for goods for your business. An individual entrepreneur who produces and sells empanadas needs a number of components such as: stove, gas, oil, wheat flour, spoon, knife, sieve, packaging, allowing other microentrepreneurs to move their business by supplying such materials. The management process and price Formation of empanada should be as rigorous as possible to avoid injury, so the more experienced and empowered the greater the entrepreneur the chance that his business will survive longer. In this sense, this research shows how an MEI - Individual Microentrepreneur of the region of Taboao da Serra - SP, manages its company and the price Formation of the salty that it markets. Through an investigation of action research and using documental research with a quantitative approach, this research shows that the management and the Formation of Prices by means of precise notes of how much is used of components and yield of each one in the production process. This allowed the entrepreneur: to establish goals, identify the salty one that has the highest profit margin, which product sells on a particular day of the week, make a promotion, dedicate effort to the product that has the highest demand and profit margin. Key word: Management. Price Formation. Salty. Microentrepreneur. Profit.

Ye-sheen Lim - One of the best experts on this subject based on the ideXlab platform.

  • ICAISC (1) - Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
    2020
    Co-Authors: Ye-sheen Lim, Denise Gorse
    Abstract:

    In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional Prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving the Formation of Prices seen on the price chart of a stock or currency. To test the stationarity of our proposed model we train our model on data before the 2017 Bitcoin bubble period and test our model during and after the bubble. We show that without any retraining, the proposed model is temporally stable even as Bitcoin trading shifts into an extremely volatile "bubble trouble" period. The significance of the result is shown by benchmarking against existing state-of-the-art models in the literature for modelling price Formation using deep learning.

  • Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
    arXiv: Statistical Finance, 2020
    Co-Authors: Ye-sheen Lim, Denise Gorse
    Abstract:

    In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional Prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving the Formation of Prices seen on the price chart of a stock or currency. To test the stationarity of our proposed model we train our model on data before the 2017 Bitcoin bubble period and test our model during and after the bubble. We show that without any retraining, the proposed model is temporally stable even as Bitcoin trading shifts into an extremely volatile "bubble trouble" period. The significance of the result is shown by benchmarking against existing state-of-the-art models in the literature for modelling price Formation using deep learning.