Middlemen: the visible market makers

This paper presents a search-theoretic model where middlemen can emerge endogenously to intermediate between ex ante homogeneous buyers and sellers in the presence of coordination frictions. Middlemen set price to compete in the market, and hold an inventory to provide a high matching service. I show that middlemen's inventories can mitigate trade imbalances and interact with price competition, generating an interesting tradeoff for the equilibrium price determination. The competitive limit emerges when middlemen guarantee excess demand will never occur. Conditions are characterized under which middlemen carry out the short-side principle for the market price to be Walrasian

Inflation, price competition and consumer search technology

This paper studies an (S, s) pricing model from the perspective of inflation and price competition in search markets. I present a model in which consumers'search technologies can influence firms' price setting, price dispersion, and the market structure. The result shows that although price competition among firms is more intensified in markets where consumers' search technologies are more efficient, price inflation is counter-intuitively, more likely to increase monopoly power of firms and to stimulate entry in these markets. The model also provides new empirical implications for firms' price setting behaviors

Inflation, Price Competition and Consumer Search Technology

This paper studies an (S, s) pricing model from the perspective of inflation and price competition in search markets. I present a model in which consumers'search technologies can influence firms' price setting, price dispersion, and the market structure. The result shows that although price competition among firms is more intensified in markets where consumers' search technologies are more efficient, price inflation is counter-intuitively, more likely to increase monopoly power of firms and to stimulate entry in these markets. The model also provides new empirical implications for firms' price setting behaviors.

MIDDLEMEN: THE VISIBLE MARKET MAKERS

This paper presents a search-theoretic model where middlemen can emerge endogenously to intermediate between ex ante homogeneous buyers and sellers in the presence of coordination frictions. Middlemen set price to compete in the market, and hold an inventory to provide a high matching service. I show that middlemen's inventories can mitigate trade imbalances and interact with price competition, generating an interesting tradeoff for the equilibrium price determination. The competitive limit emerges when middlemen guarantee excess demand will never occur. Conditions are characterized under which middlemen carry out the short-side principle for the market price to be Walrasian.

Geochemical Environments of the Neogene Ore Formation in the Green Tuff Region, Japan

According to the field and laboratory observations, mineral assemblages found, composition of sphalerite coexisting with pyrite, fluid inclusion data, and thermochemical calculations, the overall geo-chemical environments of the Neogene mineralization in the Green Tuff region of Japan are evaluated in the present article. The depositional environments prevailing at the time of the Neogene ore formation can be roughly classified into two types, those of high to intermediate oxygen and sulfur fugacity, and those of intermediate to low oxygen and sulfur fugacity, respectively. The former, including the Kuroko deposits, gold-silver veins, copper-lead-zinc-manganese veins, and pyrrhotite-free lead-zinc veins, is a region bounded by the following mineral assemblages: alabandite-rhodochrosite; pyrite-magnetite (or pyrite-hematite) ; magnetite-hematite; galena-anglesite; pyrite-bornite-chalcopyrite; oldahmite-anhydrite; and fixed iron content of sphalerite (3 mol. % FeS). On the other hand, the latter, including lead-zinc veins with or without pyrrhotite, is a region bounded by the assemblages: alabandite-rhodochrosite; graphite-carbon di-oxide; pyrite-pyrrhotite; pyrite-magnetite; and oldahmite-anhydrite. Among them, the mineral assemblage, pyrite-bornite-chalcopyrite is characteristic of the Kuroko deposits. Then, assuming minerals-fluid equili-brium, the chemical features of the ore fluids responsible for the Neogene ore formation are estimated. The relative concentrations of major metal species present in the ore fluids are as follows: in the low oxygen fugacity region, generally, Pb < Cu< Zn ≶ Fe and Pb < Fe< Cu ≶ Zn at 200°C and 250°C, respectively. In the high oxygen fugacity region, generally, Pb < Fe < Cu ≶ Zn at 200°C and 250°C. The calculated concentrations, based on the molal concentrations in log scale, are compared with those of the active geothermal brines. The results are as follows: the geothermal fluids from New Zealand (e.g. Wairakei, Champagne Pool, and Broad]ands) and possibly sea water have a similar composition to those of the Neogene ore fluids of high to intermediate oxidation state at 200°C, while the fluids from the Discovery Deep, Red Sea and Matupi, T. P. N. G. have a similarity in chemical composition to those of the Neogene ore fluids of low to intermediate oxidation state at 250°C

Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. )

Realized volatility, which is the sum of squared intraday returns over a certain interval such as a day, has recently attracted the attention of financial economists and econometricians as an accurate measure of the true volatility. In the real market,however, the presence of non-trading hours and market microstructure noise in transaction prices may cause the bias in the realized volatility. On the other hand, daily returns are less subject to the noise and therefore may provide additional information on the true volatility. From this point of view, we propose modeling realized volatility and daily returns simultaneously based on well-known stochastic volatility model. Using intraday data of Tokyo stock price index, we show that this model can estimate realized volatility biases and parameters simultaneously.We take a Bayesian approach and propose an efficient sampling algorithm to implement the Markov chain Monte Carlo method for our simultaneous model. The result of the model comparison between the simultaneous models using both naive and scaled realized volatilities indicates that the effect of non-trading hours is more essential than that of microstructure noise but still the latter has to be considered for better fitting. Our Bayesian approach has an advantage over the conventional two-step correction procedure in that we are able to take the uncertainty in estimation of both biases and parameters into account for the prediction and the evaluation of Value-at-Risk.