Segmented asset markets and optimal exchange rate regimes

This paper revisits the issue of the optimal exchange rate regime in a flexible price environment. The key innovation is that we analyze this question in the context of environments where only a fraction of agents participate in asset market transactions (i.e., asset markets are segmented). Under this friction alternative exchange rate regimes have different implications for real allocations in the economy. In the context of this environment we show that flexible exchange rates are optimal under monetary shocks and fixed exchange rates are optimal under real shocks.     

A secure,real-time stock market protocol

Stock markets constitute the largest electronic commerce market in the world. The tremendous growth in trading volume and the need for fast and accurate transaction execution has made the stock market one of the most technology friendly markets. The fastest growing stock exchange, NASDAQ, is a wholly electronic stock exchange with all transactions conducted over computer networks. However, the transaction model used by NASDAQ and other electronic stock markets still borrows heavily from the older traditional models used by non-electronic stock exchanges. Two important requirements of modern day stock market transactions are: (a) customer's ability to place sophisticated transaction orders to buy/sell stock, and (b) customer's ability to detect transaction delays. Modern electronic stock exchanges lack both the ability to place newer, more sophisticated transaction orders and the ability to detect delays in transaction execution. In this paper, we propose a protocol for stock market transaction that can model a new sophisticated model for transaction orders while continuing to support traditional transaction orders. The protocol is augmented with a mechanism to detect delays in transaction execution. It is further shown that the protocol proposed is secure, atomic, anonymous, private, and incurs low overhead costs. This revised version was published online in June 2006 with corrections to the Cover Date.     

Negotiation protocol based on ordered weighted averaging and Fuzzy metrics

ABSTRACT

Negotiation Support Systems are used to exchange offers and to improve the negotiation process. Some methods are based on perspectives like heuristics in order to bring the negotiation protocol gradually closer to reality. These approaches can be important in real negotiation as they can help to improve skillsespecially in distributive bargaining. This paper proposes a Negotiation Support framework to provide the negotiator with recommendations on making decisions in a negotiation process. To input this idea into negotiation protocols, this paper suggests that some concepts based on OWA (Ordered Weighted Averaging) and some of its metrics (Orness, Dispersion) be included in the heuristics of a structured negotiation schedule. It is expected that the support provided will aid the negotiator to make decisions during the negotiation process, to learn from the elicitation and his own behavior the results obtained can help the negotiator improving his skills in the negotiation process.     

Is Petrobras Options Market Efficient? A Study Using the Delta-Gamma Neutral Strategy

This study aims to verify if the Petrobras options market is efficient in its weak form. For this purpose, this work tries to make profits on a systematic basis through delta-gamma neutral strategies using the firm’s stocks and options. In order to simulate the strategy as it would be used in the real world, we built order books every five minutes considering all buy and sell orders sent for both the underlying asset and its options. We apply the strategy when we observe distortions between implied volatilities extracted from the options. The results show evidence that the Petrobras options market is not efficient, since in 371 day-trade transactions (with an average investment of R$81,000 and an average holding time of one hour and thirteen minutes), 85% of the options strategies were profitable and the average return was 0.49%, which corresponds to more than 1600% of the highest interbank interest rate for the period.     

我国银行间债券市场异常交易的特征、成因及治理

我国银行间债券市场异常交易目的不一、形式多变,具有普遍性、隐蔽性、复杂性和争议性四个特征。实践中,由于交易机制不完善、监管失职、内控失察等原因,债券市场异常交易频繁发生,给市场运行乃至宏观调控带来风险隐患。实际上,异常交易频繁发生是市场失灵、信息效率低下的客观反映,其根本原因是市场交易机制存在缺陷。要有效治理异常交易,必须规范投资者行为,优化市场模式,提高市场透明度,健全完善银行间债券市场交易机制。     

Modeling e-Negotiation Processes for a Service Oriented Architecture

Most of today's e-marketplaces support a single negotiation protocol. The protocol is usually built into the e-marketplace infrastructure, therefore if a new one is introduced then a time consuming and complex process of implementing it takes place. Moreover, participants in the e-marketplace need to adapt their interfaces to the new protocol, especially if they use automated tools to interact with the e-marketplace. This paper reports on a model-driven approach and a framework for rapid and user-friendly development of configurable service oriented e-negotiation systems. We believe that a formal specification of negotiation protocols and their separation from the market infrastructure that implements them is a step towards configurable e-negotiation systems. The protocols are graphically designed for the e-marketplace then mapped into web service orchestrations. Participants use automated negotiation systems to interact with the e-marketplace. These systems are generated based on the negotiation protocol implemented on the e-marketplace. A declarative language is used to specify negotiation strategies and tactics. We propose an algorithm to map Statechart models of negotiation protocols into web service orchestrations and we report on the current implementation of our framework.     

An Adversarial Ethic for Business: or When Sun-Tzu Met the Stakeholder

In the economic literature on the firm, especially in the transaction–cost tradition, a sharp distinction is drawn between so-called “market transactions” and “administered transactions.” This distinction is of enormous importance for business ethics, since market transactions are governed by the competitive logic of the market, whereas administered transactions are subject to the cooperative norms that govern collective action in a bureaucracy. The widespread failure to distinguish between these two types of transactions, and thus to distinguish between adversarial and non-adversarial relations, has led many business ethicists to develop a “uniform” moral code. Yet in market transactions, the checks and balances built into the system of commercial exchange are such as to permit more instrumental forms of behavior. In administered transactions, by contrast, these checks and balances are absent, and thus the institutional context calls for much greater exercise of moral restraint. In this paper, I begin the task of developing an adversarial ethic for business. According to this view, the competitive environment licenses a greater range of “self-interested” behavior, but also imposes its own constraints on the strategies that firms may adopt in the pursuit of their interests. Joseph Heath is Associate Professor in the Department of Philosophy and the Centre for Ethics at the University of Toronto. He is the author of three books: Communicative Action and Rational Choice (MIT Press, 2001), The Efficient Society (Penguin, 2001), and with Andrew Potter. The Rebel Sell (HarperCollins, 2004). His research focuses on practical rationality, normative economics, and critical theory.     

A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints

This paper proposes a concrete theoretical foundation and a new modelling framework that attempts to tackle the issue of market/liquidity risk and economic-capital estimation at a portfolio level by combining two mutual asset market/liquidity risk models. In essence, this study extends research literature related to the assessment of the asset market/liquidity risk by providing a generalized theoretical modelling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements and is modelled based on the concept of liquidity-adjusted value-at-risk framework, while the second component focuses on the risk of variation in transactions costs due to the bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk. The modelling framework can be constructive for financial service industries in emerging-economies and particularly in reinforcing rational economic-capital allocation in light of the aftermaths of the sub-prime financial crisis.     

Context-Sensitive Semantic Synchronization Enablement in Electronic Negotiations

When integrating electronic negotiations into real-world business processes, an important problem arising is the magnitude of e-business standards in use. In order to support electronic negotiations when negotiation partners use and need to integrate terms named and formatted according to different document standards, taxonomies or similar standards, references between those standards are needed. In this paper, we present a framework for a negotiation support meta-tool which is designed to maintain and dynamically evolve a collection of such references. To deal with semantic ambiguities in different contexts, it provides users with context-sensitive references. The framework uses technologies from ontological engineering and machine learning, its services can be integrated into existing negotiation applications via web services. Furthermore, it allows parameterzation for the actual domain of use.     

批发市场中电子中间商问题的分析

随着网络经济的迅速发展 ,出现了许多基于网络基础的提供信息服务的具有中介功能的电子中间商。批发市场中产品的质量存在不确定性 ,电子中间商能提高市场交易的效率 ,但物流和市场交易的分离也给市场的买卖双方带来了新的交易风险。电子中间商可以采用拍卖交易方式 ,并建立一个能降低交易风险的信用机制。信用机制的建立会促使电子市场的交易集中于高质量的产品 ,且产品的价格要高于传统市场产品价格。     

也谈商务谈判技巧

谈判既是一门科学,又是一门艺术。在市场竞争日益激烈的今天,谈判已经发展成集社会学、语言学、心理学、逻辑学、行为学、传播学、公关关系学等诸多学科为一体的综合性现代科学。对于现代企业的经理人,如果不能在商务活动中把握谈判的技巧和艺术,就不可能做好经理,获得成功。     

The "Invisible Hand"

The argument of the "Invisible Hand" is that the system of free enterprise benefits society in general even though it is not the aim of any particular economic agent to do that. This article proposes an analysis of why this is so. The key is that the morality of the market forbids only force and fraud; it does not require people to do good to others. Nevertheless, when all transactions are voluntary to both parties, that is exactly what we can expect to happen. This is both because the sum of the benefits of innumerable transactions, which are beneficial to both parties, is very great, but also and especially because of Positive Externalities. People use the particular products and services they get in market exchanges in ways that benefit others in ways not at all foreseen by the agents to those transactions at the time. These externalities range from the benefits of invention and ingenuity to the exercise of charity and philanthropy, all of which flourish in developed capitalist societies.     

多层次资本市场的效率研究--以长三角多层次资本市场构建为例

资本市场效率的有效发挥与区域的经济发展水平、金融深化度、投资者理念及行为选择等特征条件密切相关,多层次资本市场是资本市场效率的重要支撑和实现途径。在此分析基础上,本文进而指出长三角地区多层次资本市场的构建和运作效率,是实现区域金融资源优化配置与资本市场制度建设的核心内容。     

Web Services for Negotiation and Bargaining in Electronic Markets: Design Requirements, Proof-of-Concepts, and Potential Applications to e-Procurement

Information Systems researchers continue to develop Web services hoping that, in a near future, these services will be widely offered in the e-marketplace, using a Web-based protocol that is universally adopted for posting, locating and invoking available services. Posting services does not, however, necessarily lead to market transactions, and a number of brokering activities are needed to facilitate trade. These include, but are not limited to, service discovery and ranking, price negotiation and contract preparation. We propose a set of Web services that support the process of negotiation and bargaining to facilitate the matching of supply and demand of Web services. As a market broker, these web services would help (a) discover the supply/demand of web services in e-marketplaces; (b) find the most appropriate available service for a specific request; (c) facilitate services be modified if needed to satisfy user's needs; (d) arbitrate the pricing mechanism with the recourse to bargaining whenever necessary; and (e) generate a contract. As a proof of concept, we illustrate the potential use of Web services for negotiation and bargaining in e-procurement.     

中国式融资融券与企业金融化——基于分批扩容的准自然实验

本文聚焦于中国经济“脱实向虚”背景下非金融企业金融化问题,将分批次放开融资融券限制作为准自然实验,构造双重差分模型,探究融资融券机制对企业金融化行为的影响。研究发现,融资融券机制的实施总体上会显著地促进企业金融化。这种促进作用主要源于实际交易中占主导地位的融资机制。虽然融券机制对企业金融化有一定的抑制作用,但在融资交易与融券交易高度不对称的情形下,活跃的融资交易加剧了企业配置金融资产的短期投机套利行为。金融资产与经营资产的收益率差距和股价下跌风险是企业调整投资策略的两个关键因素。进一步研究发现,融资融券对企业金融化的影响只存在于管理层持股和机构持股比例较高、产品市场竞争较弱和处于牛市行情等情形中。本文有助于理解中国式融资融券的经济后果,也从制度环境层面为厘清非金融企业“脱实向虚”的内在机制提供了一个新视角。     

Multi-agent interaction processes: From oligopoly theory to decentralized artificial intelligence

This article examines the group processes studied in oligopoly theory and in decentralized artificial intelligence. We develop a unifying perspective for the research on the behavior of autonomous interacting agents. Among the many questions of interest in these disciplines are the ways of creating and reaching cooperation by a group of self-interested independent decentralized agents. In this respect, the models and results of oligopoly theory can also be used both in decentralized artificial intelligence and in many other areas of research, such as group decision making, negotiation support, and organizational theory. In particular, the important idea of reshaping goals with strategic information sharing and transmission—incentive communication—has received little attention outside the field of economics. On the other hand, oligopoly theory and experimental economics can especially benefit from the computational methods and tools of artificial intelligence and modern decision support technology. To demonstrate this we have built a prototype of an experimental market analysis environment. Its potential in the analysis of group processes is illustrated with examples.     

A Group Cooperative Decision Support System Based on Extended Contract Net

With the prevalence of the Web, most decision-makers are likely to use the Web to support their decision-making. Furthermore, many decision-makers begin to seek cooperators on the Internet to help them to solve complex decision problem. In the paper, we propose a research framework for Group Cooperative Decision Support System (GCDSS) and determine three layers such as task layer, cooperator layer and resource layer to characterize it and demonstrate how electronic market could facilitate cooperation in GCDSS. Then we present the negotiation model of GCDSS and propose a task decomposition method based on which one can decompose a complex problem into a formal task AND/OR tree. We also propose a task assignment method based on extended Contract Net to perform task allocation in GCDSS and describe the group cooperative decision-making process in Knowledge Query and Manipulation Language (KQML). An optimal policy is designed to find the optimal solution of task AND/OR tree and cooperative problem solving process is illustrated with an example for education development plan in China. Finally, we conclude with a brief overview of research contribution, along with some proposals for further research.     

THEORY AND CALIBRATION OF SWAP MARKET MODELS

This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of forward swap rates spanning a given tenor structure. We relate this concept to results in graph theory by showing that a set is admissible if and only if the associated graph is a tree. This connection enables us to enumerate all admissible models for a given tenor structure. Three main classes are identified within this framework and correspond to the co-terminal, co-initial, and co-sliding model. We prove that the LIBOR market model is the only admissible model of a co-sliding type. By focusing on the co-terminal model in a lognormal setting, we develop and compare several approximating analytical formulae for caplets, while swaptions can be priced by a simple Black-type formula. A novel calibration technique is introduced to allow simultaneous calibration to caplet and swaption prices. Empirical calibration of the co-terminal model is shown to be faster, more robust, and more efficient than the same procedure applied to the LIBOR market model. We then argue that the co-terminal approach is the simplest and most convenient market model for pricing and hedging a large variety of exotic interest-rate derivatives.     

商务活动中应用电子商务技术的合理性评价

电子商务技术作为一种新兴的技术,它已经在很多领域中得到广泛的应用。但是,不是企业的所有商务活动都适合用电子商务技术加以解决。从商务活动的流程出发,通过建立商务活动模型、应用电子商务技术的合理性评价模型,以及从成本与效益的角度,探讨电子商务技术对不同类型的商务活动,以及商务处理过程中的不同阶段的适用性,从而为我国企业应用电子商务技术提供参考依据。     

基于PLS路径模型的区域商品房顾客满意度研究

随着商品房市场竞争的日趋激烈,企业越来越认识到争取市场、赢取顾客的重要性。这使得处于竞争行业的房地产开发企业不得不开始重视顾客满意度。依据中国顾客满意度模型、美国顾客满意度模型和一些学者的研究成果建立商品房顾客满意度潜变量模型及其指标体系,运用偏最小二乘(PLS)法建模技术进行参数估计,得到的结果令人满意。此项研究对房地产商制定战略、特定区域商品房开发前期市场研究和其他研究有些借鉴意义。