Optimal market making in the presence of latency

This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We characterize the value of an order and show that it plays the role of one-period reward in the MDP model. Based on this characterization, we provide explicit criteria for assessing the profitability of market making when there is latency. Under our model, we show that a market maker can earn a positive expected profit if there are sufficient uninformed market orders hitting the market maker's limit orders compared with the rate of price jumps, and the trading horizon is sufficiently long. In addition, our theoretical and numerical results suggest that latency can be an additional source of risk and latency impacts negatively the performance of market makers.     

石家庄市3月份非典型大气污染过程分析

为探究空气质量变化的成因,对近5年石家庄市3月份的气象、环境监测资料进行归纳整理,并重点分析了2016年3月份石家庄市的污染状况及其影响因素。统计数据表明,下半月(非采暖期)的污染状况总体上严重于上半月(采暖期),这主要有3个方面的原因:一是用煤量虽逐渐减少,但经济活动增加导致的大气污染物排放量大幅度增加,二是汽车保有量不断增加,以及日益活跃的工业生产活动导致的重型货运车运输量增大,三是区域气象条件导致的扬尘污染。建议石家庄市3月份重点削减工业用煤和民用煤的使用量,加强面源的污染控制,并加强对大型货车及各类工地的管控。     

水权水市场建设试点示范性评价研究

在当前我国开展各级水权改革试点的背景下,以水权试点示范性作为研究对象,根据水权水市场建设工作的一般需要,遵循普适性、科学性、整体性、目的性、动态性的原则,建立了以确权工作、水市场建设、组织与监管、基础设施建设、改革与创新5项水权改革的工作内容为准则层的四级示范性评价体系,运用层次分析法对各指标权重进行赋值,采用德尔菲法原理对二级指标进行评分。运用该评价体系对山东省两个典型水权试点的示范性进行评价,并根据各自的试点任务对结果进行了修正,得到了两地水权改革工作的定量评价结果。该评价方法不局限于试点区的评估,也可用于今后水权工作的一般性绩效评估。     

Ruin under stochastic dependence between premium and claim arrivals

We investigate, focusing on the ruin probability, an adaptation of the Cramér–Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a model exhibits a stochastic dependence between the aggregate premium and claim amount processes. An explicit expression for the ruin probability is obtained when the claim and premium sizes are exponentially distributed.     

ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible Lévy triplets, that is, possible instantaneous drift, volatility, and jump characteristics of the price process. We show that an optimal investment strategy exists and compute it in semi‐closed form. Moreover, we provide a saddle point analysis describing a worst‐case model.     

基于BIM的室内装修方案比选研究

室内装修方案的比选,应从产品全生命周期角度出发,考虑施工成本、用户使用体验和运营维护。论文应用BIM技术创建虚拟装修样板间,实现业主和最终用户对设计方案的沉浸式体验,运用层次分析法定量比选装修方案,寻求更理想的装修方案。     

Compound trend renewal process with discounted claims: a unified approach

We derive recursive formulas for the moments of compound trend renewal sums with discounted claims. An integral expression for the moment generating function of this risk process is then obtained, from which particular distribution functions are found. We extend the compound (deterministic) trend renewal process by assuming a stochastic trend, a stochastic force of net interest and a stochastic dependence between the inter-occurrence times and the severities of the claims. Finally, stochastic dominance ordering is also observed between the compound trend renewal process and an associated non-homogeneous Poisson process.     

Word-of-mouth,buying, and sacrifice intentions for eco-cruises: Exploring the function of norm activation and value-attitude-behavior

Our theoretical framework was designed to explain passengers' decision-making process for environmentally responsible cruise products. Specifically, the goals of this study were to investigate passengers' decision formation by employing the Norm Activation Model (NAM), to extend it by integrating the value-attitude-behavior cognitive hierarchy, emotional process, and normative procedure, and to test the moderating impact of non-green alternatives' attractiveness in a cruise context. The measurement quality was found to be adequate. The prediction power of the proposed framework was superior to the original NAM. Findings from the structural model revealed that the hypothesized associations relating study variables within our proposed theoretical framework were generally supported; personal norm acted as significant mediators; and the role of personal norm and social norm in building intentions was salient. Additionally, the hypothesized moderating impact of alternatives' attractiveness in determining intentions was supported.     

Transformational leadership behaviors,the empowering process,and organizational commitment: investigating the moderating role of organizational structure in Korea

Transformational leadership has received growing attention in leadership studies. However, open questions remain concerning its operationalization and its universal effectiveness. Drawing on transformational leadership theory and leadership contingency theory, this study explores these issues in an Asian context. Survey responses from 491 employees working for foreign subsidiaries in Korea were analyzed. Given their multi-dimensionality, transformational leadership behaviors were framed as a two-dimensional structure: organization-related behaviors (OBs) and person-related behaviors (PBs). Findings showed that both OBs and PBs were mediated by psychological empowerment to determine organizational commitment. More importantly, the findings indicated that the empowering process driven by both leadership behaviors is contingent on organizational structure. Specifically, centralization negatively moderated the empowering process of PBs. Formalization positively moderated the empowering process of OBs and negatively moderated that of PBs. These findings have noteworthy value by virtue of quantitatively revealing the organizational structure wherein the empowering process of transformational leadership behaviors is effectively induced in South Korea. Based on the results, significant theoretical and managerial implications are discussed.     

Supermarket self-checkout usage in the United States

While some retailers have installed more self-service checkouts, others have removed them. A possible explanation is that their customer profiles differ. Previous research provides an incomplete or inconsistent picture of self-checkout users. This study uses an Internet survey of 605 adults to explore sociodemographic and attitude linkages with supermarket self-checkout interest. Interest in self-checkouts was negatively linked with age and with technological anxiety. Risk tolerance may also influence interest. Retailers should examine their current and future customer ages when considering self-checkout installations. Technology upgrades that reduce customer anxiety and decrease potential embarrassment about using self-checkouts may increase use.