On the Existence of Linear Equilibria in Models of Market Making

We derive necessary and sufficient conditions for a linear equilibrium in three types of competitive market making models: Kyle type models (when market makers only observe aggregate net order flow), Glosten–Milgrom and Easley–O'Hara type models (when market makers observe and trade one order at a time), and call markets models (individual order models when market makers observe a number of orders before pricing and executing any of them). We study two cases: when privately informed (strategic) traders are symmetrically informed and when they have differential information. We derive necessary and sufficient conditions on the distributions of the random variables for a linear equilibrium. We also explore those features of the equilibrium that depend on linearity as opposed to the particular distributional assumptions and we provide a large number of examples of linear equilibria for each of the models.     

THE DEMAND FOR A RISKY ASSET: SIGNING,JOINTLY AND SEPARATELY,THE EFFECTS OF THREE DISTRIBUTIONAL SHIFTS

We show that, if an individual's utility function exhibits a degree of relative temperance smaller than one, the individual will react, in a plausible way, to each of three common shifts in the stochastic distribution of his wealth, namely to FSD shifts, mean‐preserving spreads and increases in downside risk. First, we derive, in a unified setting, necessary and sufficient conditions for signing the comparative‐static effects of each of these shifts separately, and, second, we invoke implications of the property of mixed risk aversion to merge these separate conditions into a single sufficient condition for jointly signing all comparative‐static effects.     

MODEL‐INDEPENDENT NO‐ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS

We consider the pricing of American put options in a model‐independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market information by supposing that the prices of European options are known. In this setting, we are able to provide conditions on the American put prices which are necessary for the absence of arbitrage. Moreover, if we further assume that there are finitely many European and American options traded, then we are able to show that these conditions are also sufficient. To show sufficiency, we construct a model under which both American and European options are correctly priced at all strikes simultaneously. In particular, we need to carefully consider the optimal stopping strategy in the construction of our process.     

Trade,savings and a nontraded good

In this note we derive a sufficient condition and necessary condition for the adoption of free trade to decrease savings in terms of any good in a model with two traded goods and one non-traded good. We assume more generally than Pattanaik, and following Pasinetti, that a fraction of total capital is owned by labor.     

Interest Rate Dynamics and Consistent Forward Rate Curves

We consider as given an arbitrage‐free interest rate model M, and a parametrized family of forward rate curves G. We study the question as to when the given family G is consistent with the dynamics of the interest rate model M, in the sense that M actually will produce forward rate curves belonging to G. We allow the interest rate model to be driven by a multidimensional Wiener process, as well as by a marked point process, and we give necessary and sufficient conditions for consistency. As test cases, we study some popular models, obtaining both positive and negative results about consistency. We also introduce a natural exponential‐polynomial family of forward rate curves, and for this family we give necessary and sufficient conditions for the existence of consistent interest rate models with deterministic volatility functions.     

On the Existence of Finite-Dimensional Realizations for Nonlinear Forward Rate Models

We consider interest rate models of the Heath–Jarrow–Morton type, where the forward rates are driven by a multidimensional Wiener process, and where the volatility is allowed to be an arbitrary smooth functional of the present forward rate curve. Using ideas from differential geometry as well as from systems and control theory, we investigate when the forward rate process can be realized by a finite-dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite-dimensional realization. A number of concrete applications are given, and all previously known realization results (as far as existence is concerned) for Wiener driven models are included and extended. As a special case we give a general and easily applicable necessary and sufficient condition for when the induced short rate is a Markov process. In particular we give a short proof of a result by Jeffrey showing that the only forward rate models with short rate dependent volatility structures which generically possess a short rate realization are the affine ones. These models are thus the only generic short rate models from a forward rate point of view.     

Predicting high consumer-brand identification and high repurchase: Necessary and sufficient conditions

The objective of this paper is to explore the necessary and sufficient conditions to obtain high consumer-brand identification (CBI) and high repurchase intentions (Rep). Different from most business research on CBI and Rep that is based on symmetric thinking, this paper uses asymmetric analytics and performs fuzzy set qualitative comparative analysis. The findings show that (1) although it is possible to identify the necessary conditions for very high consumer-brand identification and very high repurchase intentions, no combination of conditions is sufficient to achieve these outcomes; (2) affective drivers have more importance than cognitive drivers for obtaining high CBI; (3) the configuration solutions for high CBI include at least two antecedents; (4) high CBI is a sufficient but not necessary condition for high Rep; (5) high Rep can also be achieved if brand-self similarity and brand identity occur; and (6) memorable brand experiences alone may be enough to obtain high Rep.     

Strategic Manipulation in Committees Using the Plurality Rule: Alternative Concepts and Frequency Calculations

This paper suggests an evaluation of the plurality rule according to how much it can be manipulated by individuals. We analyze strategic voting with reference not only to the usual notion of Nash equilibrium but also to some weaknesses of this notion, depending on the assumptions about how the individual agents choose their strategies. We provide two types of results for each concept of equilibrium: First, we give necessary and sufficient conditions for a profile to be an equilibrium when the plurality rule is used; and second, we present formulas giving the exact frequencies of unstable situations in the three-alternative case.     

On the role of retaliation in trade agreements

This paper analyzes the role of retaliation in trade agreements. It shows that, in the presence of private information, retaliation can always be used to increase the welfare derived from such agreements by the participating governments. In particular, it is shown that retaliation is a necessary feature of any efficient equilibrium.We argue that retaliation would not be necessary if governments could resort to international transfers or export subsidies to compensate for terms-of-trade externalities. Within the current world trading system, though, in which transfers are seldom observed whereas export subsidies are prohibited, the use of the remaining trade instruments in a retaliatory fashion might be optimal. The model is used to interpret the retaliatory use of antidumping observed in the last decades, and the proliferation of these measures relative to other trade remedies.     

Necessary conditions in international business research–Advancing the field with a new perspective on causality and data analysis

Many researchers in international business (IB) refer to necessity when they theorize about the relationships between different concepts. However, necessary conditions involve a specific causal logic: they represent constraints, bottlenecks, or critical factors that must be overcome for a desired outcome to exist. Usually, this logic is not fully acknowledged, neither in theoretical thinking nor in empirical research. In this paper, we demonstrate the relevance of necessary conditions in IB research and discuss how an adequate consideration of necessity logic can advance the field. Furthermore, we introduce necessary condition analysis (NCA) as a new analytical technique that identifies necessary conditions in data sets. We illustrate its application by analyzing whether certain institutional factors are necessary conditions for inward foreign direct investment. Finally, we assess the value of necessity logic and NCA as novel approaches to think about causality and to analyze data in IB.     

浙江传统制造产业群与专业市场互动发展研究

浙江传统制造产业群和专业市场之间已形成共生共荣、互动发展的关系,形成了浙江经济增长的长波效应。但面临全球产业转移和产业升级的挑战、高质量商品缺乏配套的市场销售机制的挑战和生产企业集团化与专业市场辐射面之间矛盾的挑战。应施以构建先进制造业基地,形成大产业区与大市场之间的良性互动;加大政府对市场建设的调控力度和形成以功能创新、转型和重组为主旋律的市场新机制,提高整体素质,取得更大的效益。     

A Martingale Representation Result and an Application to Incomplete Financial Markets

We establish necessary and sufficient conditions for an H¹-martingale to be representable with respect to a collection, of local martingales. M H¹( P ) is representable if and only if M is a local martingale under all p.m.'s Q which are "uniformly equivalent" to P and which make all the elements of local martingales (Theorem 1.1). We then give necessary and sufficient conditions which are easier to verify, and only involve expectations (Theorem 1.2). We go on to apply these results to the problem of pricing claims in an incomplete financial market-establishing two conjectures of Harrison and Pliska(1981).     

A YIELD-FACTOR MODEL OF INTEREST RATES

This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with "stochastic volatility." the yield of any zero-coupon bond is taken to be a maturity-dependent affine combination of the selected "basis" set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term-structure derivative prices. the case of jump diffusions is also considered.     

Riding the Wave: Exclusionary Practices in Markets for Microprocessors Used in IBM–Compatible Personal Computers

This paper examines exclusionary practices allegedly used by Intel to maintain its dominant position in sales of microprocessors for IBM–compatible personal computers (PCs), focusing primarily on the preferential allocation of scarce product among customers. The paper considers the period 1991–93, which encompasses the transition from the 386 to the 486 microprocessor generation and the entry of several competitors. We test for two conditions that are necessary for exclusionary practices to be successful. First, using the market definition approach that is common to antitrust analyses in the US, we demonstrate that, at the upstream microprocessor level, Intel had monopoly power in a distinct market for high–end microprocessors. In particular, pricing data show that the effects of entry were localized at the low end of Intel‘s product line. Secondly, we identify four conditions that are sufficient for exclusionary practices to be successful, and show that the downstream PC manufacturing stage has these characteristics. Finally, we consider potential explanations for preferential allocation that are based on efficiencies, and outline a methodology for calculating the effect of exclusionary practices on the prices received by two of Intel‘s competitors     

Proposal for a model for the elaboration of ethical codes based on discourse ethics

This article presents a model for the procedure of elaboration of an effective ethical code. Taking as the starting point the concept of business ethics as critical hermeneutics, we describe a process which will lead to the creation of a document that is truly ethical and efficient. We believe the elaboration of an ethical code should follow a definite procedure, and that the process is as important as the result, but we also add that in order for the process to be a truly rational dialogue it is necessary to make efforts to ensure the participation of truly valid interlocutors who can represent their interests in conditions that are as close as possible to an ideal community of dialogue. Our model for the elaboration of an ethical code attempts to break with the conventional distinction between processes of elaboration and application in order to develop a truly integrative ethics, while also giving attention to the concrete conditions in which the ethical code is developed. In our view the contribution made by this model is the emphasis it places on the transformation of the will of the participants in the dialogue.     

Some remarks on the Stolper-Samuelson and Rybczynski theorems

First, this paper provides a necessary and sufficient condition for a weak form of the Stolper-Samuelson criterion in the n×n case. It will be shown that it is a sufficient condition in the uneven case where the number of primary factors is larger than the number of products. Secondly, this paper offers two conditions. Conditions (II) and (III), that are equivalent to Chipman's and Uekawa's weak form of the Stolper-Samuelson criteria, respectively. Our economic interpretations of these conditions are given in the final section by applying a notion of Hicks's imperfect stability.     

Ownership, Privacy and Monitoring in the Workplace: A Debate on Technology and Ethics

A panel held at the International Conference on Information Systems, December 5–7, 1993, addressed the importance and ethicality of several issues relating to ethics and information technology use. The substance of the debate and results of audience votes on the issues are presented in this paper as a means of initiating a broader debate on the issues, for it is with debate that we reach a group consensus on acceptable behavior and practice. With consensus, we can begin to develop codes and policies that are feasible and practical for ethical computer use.Specific dilemmas debated involved the issues of privacy and ownership, including the ethicality of using company resources for personal use and monitoring compliance to company policies about computer use. In general, we found little consensus about ethicality of any of the types of conduct, although we found a high degree of consensus that the debated issues were important and should continue to be discussed. The final question concerned policies and codes. While policies and codes were believed to be necessary, they were also perceived as ineffective. Several suggestions for practical action to enhance the efficacy of ethical codes are presented.     

Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets

A numéraire is a portfolio that, if prices and dividends are denominated in its units, admits an equivalent martingale measure that transforms all gains processes into martingales. We first supply a necessary and sufficient condition for the generic existence of numéraires in a finite dimensional setting. We then characterize the arbitrage‐free prices and dividends for which the absence of numéraires survives any small perturbation preserving no arbitrage. Finally, we identify the cases when any small, but otherwise arbitrary, perturbation of prices and dividends preserves either the existence of numéraires, or their nonexistence under no arbitrage.     

A note on the stability of the interaction of monetary policies

This note presents further sufficient conditions for stability of monetary actions interconnected with nations' fixed exchange rates. The conditions enable one to infer qualitative effects on the stability of the degree of integration and of the sterilization coefficients adopted by individual monetary authorities.