We prove an analogue of Weitzman's (1998) famous result that an exponential discounter who is uncertain of the appropriate exponential discount rate should discount the far-distant future using the lowest (i.e., most patient) of the possible discount rates. Our analogous result applies to a hyperbolic discounter who is uncertain about the appropriate hyperbolic discount rate. In this case, the far-distant future should be discounted using the probability-weighted harmonic mean of the possible hyperbolic discount rates.
Hyperbolic Discounting of the Far-Distant Future. (arXiv:1702.01362v1 [q-fin.EC])
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Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency. (arXiv:1702.01354v1 [q-fin.PM])
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In this context this paper tries to find evidence supporting the reality of weak-form efficiency of the Dhaka Stock Exchange (DSE) by examining the issues of market risk-return relationship and market depth or liquidity for DSE. The study uses a data set of daily market index and returns for the period of 1994 to 2005 and weekly market capital turnover in proportion of total market capital for the period of 1994 to 2005. The paper also looks about the market risk (systemic risk) and return where it is found that market rate of return of DSE is very low or sometimes negative. Eventually Capital Asset Pricing Model (CAPM), which envisages the relationship between risk and the expected rate of return on a risky security, is found unrelated in DSE market. As proper risk-return relationships of the market is seems to be deficient in DSE and the market is not liquid, interest of the available investors are bring into being very insignificant. All these issues are very noteworthy to the security analysts, investors and security exchange regulatory bodies in their policy making decisions to progress the market condition.
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Monetary value measures in a category of probability spaces. (arXiv:1702.01175v1 [q-fin.MF])
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of probability spaces Prob introduced in [Adachi and Ryu, 2016].
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Estimation of a noisy subordinated Brownian Motion via two-scales power variations. (arXiv:1702.01164v1 [math.ST])
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the two-scales realized variations approach originally developed by Zhang et. al. (2005) for the estimation of the integrated variance of a continuous Ito process. The proposed estimators are shown to be robust against the noise and, surprisingly, to attain better rates of convergence than their precursors, method of moment estimators, even in the absence of microstructure noise. Our main results give approximate optimal values for the number K of regular sparse subsamples to be used, which is an important tune-up parameter of the method. Finally, a data-driven plug-in procedure is devised to implement the proposed estimators with the optimal K-value. The developed estimators exhibit superior performance as illustrated by Monte Carlo simulations and a real high-frequency data application.
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Work in the 21st Century: An Introduction to Industrial and Organizational Psychology, 5th Edition
 |  | Work in the 21st Century, 5th Edition by Frank J. Landy and Jeffrey M. Conte, ties together themes such as diversity, mental and physical ability, personality, interpersonal skills, emotional intelligence, and evidence-based I-O psychology in a way that explores the rich and intriguing nature of the modern workplace. The 5th edition places an emphasis on the technological and multicultural dynamics of today's workplace. This edition retains the 14-chapter Read More... |
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Fidessa expands Partnership Program with ChartIQ
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Yield = Poison (3)
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Global impact of US and euro area unconventional monetary policies: a comparison
The paper analyses and compares the domestic and cross-border effects of US and euro area unconventional monetary policy measures on 24 major advanced and emerging economies, based on an estimated global vector error-correction model (GVECM). Unconventional monetary policies are measured using ...
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IOSCO report shows progress made in implementation of Benchmark Principles
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Harvard’s $1.2 Billion Haul Erased by Investing Loss, Payout
Harvardâs $1.2 Billion in Donations Wiped by Losses https://t.co/1bMcXwFcTa â Yves Hilpisch (@dyjh) February 7, 2017
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Conditional Davis Pricing. (arXiv:1702.02087v1 [q-fin.MF])
We introduce the notion of a conditional Davis price and study its properties. Our ultimate goal is to use utility theory to price non-replicable contingent claims in the case when the investor's portfolio already contains a non-replicable component. We show that even in the simplest of settings - such as Samuelson's model - conditional Davis prices are typically not unique and form a non-trivial subinterval of the set of all no-arbitrage prices. Our main result characterizes this set and provides simple conditions under which its two endpoints can be effectively computed. We illustrate the theory with several examples.
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The Installation Costs of a Satellite and Space Shuttle Launch Complex as a Public Expenditure Project. (arXiv:1702.02007v1 [q-fin.EC])
From the 1940's to the present, space explorations, which is a highly important topic for the world and human beings, penetrate into many areas from the communication to the national security as well as from the discovery of exoplanets and new life forms to space mining. On the top of the countries which do researches on these fields are the developed countries and the developing countries are only used as launch areas, in an irrelevant manner of the research and development. However, developing countries can significantly reduce foreign dependency and security flaws as well as providing important reputation gain in international platforms by conducting space research and development activities as already done by developed countries. All the large scale space probes conducted by developed countries oblige Turkey to develop space researches in terms of economy, security and scientific aspects. Due to these reasons, the approximate costs of a launch base, which will be installed to conduct space researches in Turkey, and of a satellite or a spacecraft, which will be able to launch from this base and serve a variety of purposes, are calculated in this study. In an effort to make the mentioned calculations, examples of various countries that have already established a launch base and already launched from these bases are analyzed and some projections are built for Turkey by calculating the estimated costs. Since these projections must be carried out by the Republic of Turkey since the private sector in Turkey will not be willing to invest in such activities, the possible public advantages can be gained through these activities are also mentioned and evaluated.
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Existence, uniqueness, and stability of optimal portfolios of eligible assets. (arXiv:1702.01936v1 [math.OC])
We study the existence of portfolios of traded assets making a given financial institution pass some pre-specified (internal or external) regulatory test. In particular, we are interested in the existence of optimal portfolios, i.e. portfolios that allow to pass the test at the lowest cost, and in their sensitivity to changes in the underlying capital position. This naturally leads to investigate the continuity properties of the set-valued map associating to each capital position the corresponding set of optimal portfolios. We pay special attention to inner semicontinuity, which is the key continuity property from a financial perspective. This property is always satisfied if the test is based on a polyhedral risk measure such as Expected Shortfall, but it generally fails, even in a convex world, if we depart from polyhedrality. In this case, the optimal portfolio map may even fail to admit a continuous selection. Our results have applications to capital adequacy, pricing and hedging, and capital allocation. In particular, we allow for regulatory tests designed to capture systemic risk.
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Type-Compatible Equilibria in Signalling Games. (arXiv:1702.01819v1 [q-fin.EC])
The key issue in selecting between equilibria in signalling games is determining how receivers will interpret deviations from the path of play. We develop a foundation for these off-path beliefs, and an associated equilibrium refinement, in a model where equilibrium arises from non-equilibrium learning by long-lived senders and receivers. In our model, non-equilibrium signals are sent by young senders as experiments to learn about receivers' behavior, and different types of senders have different incentives for these various experiments. Using the Gittins index (Gittins, 1979), we characterize which sender types use each signal more often, leading to a constraint we call the "compatibility criterion" on the receiver's off-path beliefs and to the concept of a "type-compatible equilibrium." We compare type-compatible equilibria to signalling-game refinements such as the Intuitive Criterion (Cho and Kreps, 1987) and divine equilibrium (Banks and Sobel, 1987).
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Business Dynamics in KPI Space. Some thoughts on how business analytics can benefit from using principles of classical physics. (arXiv:1702.01742v1 [q-fin.GN])
The biggest problem with the methods of machine learning used today in business analytics is that they do not generalize well and often fail when applied to new data. One of the possible approaches to this problem is to enrich these methods (which are almost exclusively based on statistical algorithms) with some intrinsically deterministic add-ons borrowed from theoretical physics. The idea proposed in this note is to divide the set of Key Performance Indicators (KPIs) characterizing an individual business into the following two distinct groups: 1) highly volatile KPIs mostly determined by external factors and thus poorly controllable by a business, and 2) relatively stable KPIs identified and controlled by a business itself. It looks like, whereas the dynamics of the first group can, as before, be studied using statistical methods, for studying and optimizing the dynamics of the second group it is better to use deterministic principles similar to the Principle of Least Action of classical mechanics. Such approach opens a whole bunch of new interesting opportunities in business analytics, with numerous practical applications including diverse aspects of operational and strategic planning, change management, ROI optimization, etc. Uncovering and utilizing dynamical laws of the controllable KPIs would also allow one to use dynamical invariants of business as the most natural sets of risk and performance indicators, and facilitate business growth by using effects of parametric resonance with natural business cycles.
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Economics of Strategy, 7th Edition
 | | Economics of Strategy focuses on the key economic concepts students must master in order to develop a sound business strategy. Ideal for undergraduate managerial economics and business strategy courses, Economics of Strategy offers a careful yet accessible translation of advanced economic concepts to practical problems facing business managers. Armed with general principles, today's students--tomorrows future managers--will be prepared to adjust their Read More... |
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IOSCO analyzes potential of tech-driven change in the securities market industry
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ITG Releases January 2017 U.S. Trading Volume
NEW YORK, Feb. 08, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that January 2017 U.S. trading volume was 2.8 billion shares and average daily volume (ADV) was 139 million shares, compared to 3.1 billion shares and ADV of 150 million shares in December 2016 and 3.0 billion shares and ADV of 159 million shares in January 2016. There were 20 trading days in January 2017, 21 trading days in December 2016 and 19 trading days in January 2016. ITG U.S. Trading Activity In addition to overall U.S. trading volumes, ITG also provides a monthly summary of average daily volume (double-counted) and average trade size for th...
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Weekly Top 5 Papers – February 6th 2017
1. Do Stocks Outperform Treasury Bills? by Hendrik Bessembinder (Arizona State University)
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One-Switch Discount Functions. (arXiv:1702.02254v1 [q-fin.EC])
Bell (1988) introduced the one-switch property for preferences over sequences of dated outcomes. This property concerns the effect of adding a common delay to two such sequences: it says that the preference ranking of the delayed sequences is either independent of the delay, or else there is a unique delay such that one strict ranking prevails for shorter delays and the opposite strict ranking for longer delays. For preferences that have a discounted utility (DU) representation, Bell (1988) argues that the only discount functions consistent with the one-switch property are sums of exponentials. This paper proves that discount functions of the linear times exponential form also satisfy the one-switch property. We further demonstrate that preferences which have a DU representation with a linear times exponential discount function exhibit increasing impatience (Takeuchi (2011)). We also clarify an ambiguity in the original Bell (1988) definition of the one-switch property by distinguishing a weak one-switch property from the (strong) one-switch property. We show that the one-switch property and the weak one-switch property definitions are equivalent in a continuous-time version of the Anscombe and Aumann (1963) setting.
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