A Friction Model for Describing and Forecasting Price Changes

This paper presents a new friction model for describing the price changes of a product or brand over time and for forecasting both the timing and magnitude of such changes from one period to the next. After a review of the related pricing literature, we present our model and a modified controlled random search procedure for estimating its parameters. The model is applied to describe and forecast the weekly mortgage interest rates for a local bank in the Philadelphia area. Finally, limitations and several potential applications of this methodology are discussed

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Year of publication:	2016
Authors:	DeSarbo, Wayne S.
Other Persons:	Rao, Vithala R. (contributor) ; Steckel, Joel (contributor) ; Wind, Yoram Jerry (contributor) ; Colombo, Richard (contributor)
Publisher:	[2016]: [S.l.] : SSRN