SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS

We introduce the notion of a market-free-lunch that depends on the preferences of all agents participating in the market. In semimartingale models of securities markets, we characterize no arbitrage (NA) and no-free-lunch-with-vanishing-risk (NFLVR) in terms of the market-free-lunch and show that the difference between NA and NFLVR consists in the selection of the class of monotone, respectively monotone and continuous, utility functions that determines the absence of the market-free-lunch. We also provide a direct proof of the equivalence between the absence of a market-free-lunch, with respect to monotone concave preferences, and the existence of an equivalent (local/sigma) martingale measure.     

Solving the U.S. Trade Deficit and Competitiveness Problem

We compare the analytical approach of John R. Common and Ronald H. Coase to institutional analysis and social provisioning. In particular, we examine their similarities in (i) the definition and role of institutions in the economy, (ii) the allocative (social provisioning) role of institutions in the economy, and (iii) the inescapable and unchanging role of institutions in shaping the social provisioning process. We contend that Commons and Coase had more in common than did Coase and many of his followers in the “new institutional economics.” In particular, the two had strong similarities in both (a) their insights into the nature of institutions in the legal-economic nexus that is the foundation of the economy and (b) their methods for conducting economics research. Because this role of institutional evolution is, as Warren Samuels noted, an inescapable and unchanging part of an economy’s social provisioning process, it will remain an integral part of any such work in the future, regardless of the “school of analysis” or methodological approach.     

Time Period and Risk Measures in the General Risk Equation

In an earlier paper, a general risk equation, applicable to all non growth systems, and inclusive of financial systems, was derived. It related expected throughput capacity of any system to both system resources and positive risk of loss of throughput capacity. Two risk measures were required, a new MEL‐risk measure, and the conventional standard‐deviation risk measure.

In this paper we show that the two apparently distinct risk measures are intimately related, and that which one is appropriate depends merely on the time period over which the risk is calculated. We show, ultimately by application of the Central Limit Theorem, that if we merely sufficiently alter the time period, at some point the need for one measure will transition into the need for the other, without any change in the underlying physical system.

This leads to a comprehensive risk measure that defaults to either the MEL‐risk measure, or standard‐deviation measure, depending not on the physical system, but merely on the time period over which the risk is calculated.     

Edvard Jäderin

Abstract

Im Jahre 1928 hat Frau Dr. H. Pollaczek-Geiringer ² H. Pollaczek-Geiringer: Die Charliersche Entwicklung willkür licher Funktionen, Skandinavisk Aktuarietidskrift 1928, p. 98–111. in dieser Zeitschrift einen Konvergenzbeweis für die Charlier'sche B-Reihe unter der folgenden Voraussetzung bewiesen:     

经济学制度分析的源流、误识及其未来

文章的主旨是梳理当代经济学制度分析的思想史。通过文献考据文章主要论证了以下四个观点:第一,虽然凡勃伦的《有闲阶级论》通常被认为是第一部经济学制度研究著作,但是他的理论本身实际上是"反制度主义";第二,美国制度学派(旧制度经济学)内在的思想渊源之间的冲突决定了其无法建构起有效的理论体系;第三,"科斯定理"是一个被过度诠释的概念;第四,"交易成本"概念的形成是经济学内部不同研究领域之间相互影响的结果,并且正因为如此,才使得新制度经济学融入了主流理论。文章的结论是,应当抛弃以交易成本为中心的制度解释,转向"深描"的经济学制度分析。     

The Issue of Insider Trading in Law and Economics: Lessons for Emerging Financial Markets in the World

Growth of the private sector and privatization of state companies around the world have led to the emergence of various stock markets, some of which are depicted by insider trading. Law literature uses the arguments of unfairness, breach of fiduciary rights and damage to others to define and rule against insider trading. Economic literature can be used to interpret insider trading from other perspectives. This study argues that the question of insider trading in developing markets can be resolved by the extent stock markets generate externalities and are public goods. It advocates structural changes in the developing markets and examines the conditions under which the Coase Theorem would work.     

After Shleifer,who needs Mises?

The demise of socialism in Eastern Europe and the transition to a market economy in China and India marked the end of traditional comparative economics as a field. The debate between capitalism and socialism was settled. The economic calculation argument of Ludwig von Mises seemed no longer relevant. In its place, the new comparative economics (NCE) arose. The NCE focuses on the institutional differences that affect the protection of contract and property rights. The research program of Andrei Shleifer has provided numerous insights into how markets operate. This paper examines the Shleifer-inspired program in comparative economics in light of the economic calculation argument Mises made. Although the recent developments in comparative economics have extended and complemented the contributions of Mises, it has not displaced them. An account of the economic calculation problem is still missing in the new comparative economics.