Optimal statistical decisions about some alternative financial models

We study Neyman–Pearson testing and Bayesian decision making based on observations of the price dynamics (_Xt:t∈[0,T])$(X_t:t\in [0,T])$ of a financial asset, when the hypothesis is the classical geometric Brownian motion with a given constant growth rate and the alternative is a different random diffusion process with a given, possibly price-dependent, growth rate. Examples of asset price observations are introduced and used throughout the paper to demonstrate the applicability of the theory. By a rigorous mathematical approach, we obtain exact formulae and bounds for the most common statistical characteristics of testing and decision making, such as the power of test (type II error probability), the Bayes factor and its moments (power divergences), and the Bayes risk or Bayes error. These bounds can be much more easily evaluated than the exact formulae themselves and, consequently, they are useful for practical applications. An important theoretical conclusion of this paper is that for the class of alternatives considered   neither the risk nor the errors converge to zero faster than exponentially in the observation time T$T$. We illustrate in concrete decision situations that the actual rate of convergence is well approximated by the bounds given in the paper.     

Directed search with multi-vacancy firms

I construct a directed search model in which firms decide whether to enter a market and how many positions to create. Within this framework, the number of firms and the size of each firm are determined endogenously, wages play an allocative role in the matching process, and the frictions inherent in this process derive from the equilibrium behavior of workers and firms. I characterize the (unique) equilibrium. Comparative statics generate testable implications for cross-sectional variation in matching efficiency, as well as the dynamic behavior of vacancies and unemployment. Moreover, allowing for ex-ante heterogeneity across firms, the model can easily and naturally generate the observed relationship between firm size, wages, profitability, and hiring.     

微波辐射下离子液体[RMIm]PF6（R=P，B，C6）的合成及其电导率研究

在微波辐射下,1-甲基咪唑分别与有机卤盐（1-溴丙烷,溴代正丁烷,1-溴己烷）在80℃回流加热10min,可制得咪唑类离子液体的中间体溴代1-丁基-3-甲基咪唑（[BMIm]Br）,溴代1-丙基-3-甲基咪唑（[PMIm]Br）,溴代1-己基-3-甲基咪唑（[C6MIm]Br）,进一步与HPF6在室温搅拌反应4h,制得憎水性的咪唑类离子液体[BMIm]PF6,[PMIm]PF6,[C6MIm]PF6。对这3种离子液体及其在不同有机溶剂丙酮、甲醇、乙酸乙酯中的电导率的进行测定,发现离子液体的电导率受咪唑上取代基种类、溶剂种类、浓度和温度的影响,取代基的链越长,体积越大,离子液体的电导率越小？并且随温度升高和浓度的增大,离子液体的电导率也增大。     

Public Investment,the Stability Pact and the ‘Golden Rule’

The fiscal rules set in the Treaty of Maastricht and in the Stability and Growth Pact have sometimes been criticised as an excessively binding constraint for appropriate counter‐cyclical action. The risk that the rules may permanently reduce the public sector's contribution to capital accumulation has also been pointed out. In this framework, the adoption of a ‘golden rule’ has been suggested. Starting from the recent debate, this paper tackles two questions: (a) the implications of the Pact for public investment and (b) the pros and cons of introducing a golden rule in EMU's fiscal framework, given the objectives of low public debts and adequate margins for a stabilising budgetary policy. The analysis suggests that the rules set in the Treaty and in the Pact may negatively influence public investment spending. However, the golden rule, although intuitively appealing, does not seem to be an appropriate solution to the problem.     

Are cooperatives the weakest link in European banking? A non-parametric metafrontier approach

This paper investigates the productive performance of cooperative banking firms as compared to their commercial and savings counterparts, accounting for technology heterogeneity due to different ownership in European banking. Based on the metafrontier notion, we introduce a methodology which allows the identification of technology gaps among different bank types and their decomposition into input- and output-invariant components. Our findings suggest that the type-specific frontier corresponding to cooperative banking firms lies, to its largest part, away from the European metafrontier. Furthermore, within the cooperative bank type a dichotomy seems to arise. The decomposition results suggest that the cooperatives’ technology gap is attributed to output production rather than input use.     

基于Cyclone EP1 C6Q240C8的汉明码编码器设计

基于CycloneⅡ实验板设计实现了汉明码编码器。利用开发板上的按键、串口、LED等资源,对接收到的数据进行汉明码编码或纠错,并将处理结果通过LED显示出来。实验表明,该编码器编码快速准确,稳定性高。     

Managing Expectations

The idea that monetary policy is principally about “managing expectations” has taken hold in central banks around the world. Discussions of expectations management by central bankers, academics and by financial market participants frequently also include the idea that central bank credibility is imperfect. We adapt a familiar macroeconomic model so as to discuss key concepts in the area of expectations management. Our work also exemplifies a model construction approach to analyzing the dynamics of announcements, actions, and credibility that we think makes feasible a wide range of future investigations concerning the management of expectations.     

Developments in the Political Economy of Policy Coordination

Issues of macroeconomic and exchange rate policy coordination have cycled in and out of the forefront of international policy discussions a number of times over the last several decades, yet little systematic progress has been made in institutionalizing this process and both the potential benefits and costs of cordination strategies remain highly controversial. This essay reviews the recent technical and political economy literature on this subject, highlighting the major areas of consesus and disagreement. It emphasizes the importance of taking uncertainty and political economy considerations into account.     

Monte Carlo valuation of natural gas investments

In this evaluation of energy assets related to natural gas, our particular focus is on a base load natural gas combined cycle power plant and a liquefied natural gas facility in a realistic setting. We also value several American-type investment options following the least squares Monte Carlo approach. We calibrate mean-reverting stochastic processes for gas and electricity prices by using data from NYMEX NG futures contracts and the Spanish wholesale electricity market, respectively. Additional sources of uncertainty concern the initial investment outlay, or the option's time to maturity, or the cost of CO₂ emission permits.     

Cost-effectiveness of six months versus 1-year adjuvant trastuzumab in HER2 positive early breast cancer in Egypt

Abstract

Introduction: Breast cancer is the most prevalent cancer among women in Egypt. Trastuzumab is administered with chemotherapy for patients with HER2-positive advanced breast cancer (HER2?+?ve ABC) in the metastatic and adjuvant settings resulting in improved treatment outcomes, and long-term follow-up. Some studies have evaluated whether equivalent outcomes can be achieved with reduced treatment duration. This study evaluates the cost-effectiveness of 6-month versus 1-year trastuzumab treatments from payer perspective over a 10 year time horizon.

Methods: A half-cycle corrected Markov model was developed with five mutually exclusive health states; patient with HER2?+ve ABC, disease-free survival (DFS), local or regional relapse, metastatic relapse, and death. A cycle length of 6 months was applied, direct medical costs including cost of treatments, day-care, surgery, health states and follow-up visits were collected, and indirect costs such as lost productivity were not estimated. The transition probabilities and utilities were extracted from published literature, and deterministic sensitivity analyses were conducted.

Results: Among the HER2?+ve ABC patient population in Egypt, the total QALYs of the 6-month trastuzumab were estimated to be 2.99 compared with 2.93 for the 1-year trastuzumab which resulted in a difference of 0.06 QALYs. The total costs were EGP 271,647 ($106,947) and EGP 381,248 ($150,097), respectively. These costs yielded an ICER of –109,600 EGP/QALY (–43,149 $/QALY) for the 6-month trastuzumab. The 6-month trastuzumab is a dominant strategy when compared to 1-year trastuzumab, resulting in improved effectiveness at a reduced cost. All analyses results confirmed the dominance of 6-month trastuzumab and our model robustness.

Conclusions: This study concluded that 6-month trastuzumab is a cost-effective option when compared to 1-year trastuzumab in patients with HER2?+ve ABC in Egypt. Our findings provide health care decision makers with additional insights to best allocate available resources concurrently with the improvement of the Egyptian patient’s outcomes.