Search results
Results From The WOW.Com Content Network
Price dispersion can be viewed as a measure of trading frictions (or, tautologically, as a violation of the law of one price). It is often attributed to consumer search costs or unmeasured attributes (such as the reputation) of the retailing outlets involved. There is a difference between price dispersion and price discrimination. The latter ...
Market risk is the risk of losses in positions arising from movements in market variables like prices and volatility. [1] There is no unique classification as each classification may refer to different aspects of market risk. Nevertheless, the most commonly used types of market risk are:
Since observed price changes do not follow Gaussian distributions, others such as the Lévy distribution are often used. [1] These can capture attributes such as "fat tails". Volatility is a statistical measure of dispersion around the average of any random variable such as market parameters etc.
For premium support please call: 800-290-4726 more ways to reach us
Financial risk measurement, pricing of financial instruments, and portfolio selection are all based on statistical models. If the model is wrong, risk numbers, prices, or optimal portfolios are wrong. Model risk quantifies the consequences of using the wrong models in risk measurement, pricing, or portfolio selection.
"The Elusive Costs of Inflation: Price Dispersion during the U.S. Great Inflation" (with Emi Nakamura, Patrick Sun and Daniel Villar) This paper attempts to measure the costs of inflation. In the commonly used New Keynesian macroeconomic models, the social costs of inflation arise from inefficient price dispersion.
After hitting a September low, the US Dollar Index, which measures the dollar's value relative to a basket of six foreign currencies (the euro, Japanese yen, British pound, Canadian dollar ...
More generally, a measure of distortion is the deviation between the market price of a good and its marginal social cost, that is, the difference between the marginal rate of substitution in consumption and the marginal rate of transformation in production.