Equilibrium solutions for resource dilemmas

Considered in this article is a class of resource dilemma games designed to study interactive decision behavior in the face of both strategic and environmental uncertainty. Groups of n members are asked to share a common resource pool whose exact size, x, is not known. Rather, x is sampled randomly from a uniform probability distribution which is common knowledge. Each group member j(j=1,...,n) requests r _j units from the random resource pool. Individual decisions are made independently and anonymously. Preplay communication is prohibited. If (r ₁+r ₂+...+r _n ) x, each member j is granted his/her request; otherwise, group members get nothing. We derive the Nash equilibrium solution for this resource dilemma game, and compare it to an expected utility model originally proposed by Suleiman and Rapoport (1988). We then show that the equilibrium solution accounts for the major qualitative features of experimental results reported in two previous studies.     

Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market

This paper analyzes the delivery behavior observed in the CBOT T‐Bond futures market over the period spanning 1985–2016 in order to assess how timing decisions were made, and whether these decisions were optimal. During that period, delivery was generally deferred to the last possible moment, but early delivery episodes were also observed regularly. A regression model identifying the determinants of early exercise over the last three decades is proposed, along with a case‐by‐case analysis of specific delivery patterns. Finally, the optimality of the observed delivery strategies is assessed a posteriori.     

Modeling the Education Supply Chain with Network DEA Model: The Case of Tunisia

Little has been done on network DEA in education, and nobody has attempted to model the whole education supply chain using network DEA. As such the contribution of the present paper is to evaluate the efficiency of Tunisian education supply chain with a network DEA developed by Kao and Hwang (Eur J Oper Res 185:418–429, 2008). The idea consists on subdividing the education system into three sub-processes, where, primary, secondary and tertiary education are linked by intermediate variables. Input variables of the whole education system are “the number of schools” and “the number of students enrolled in the first year of basic education”. Output generated from basic education “Promoted pupils from basic education” is the only input used by secondary education. The output variable “Graduates from secondary education” is then used by tertiary education to produce the output of the whole education system which is “Graduates from tertiary education”. The results of assessment show that most governorates have a lower efficiency scores in tertiary education compared to efficiency in basic and secondary education. The results of the efficiency scores ranking demonstrate an important similarity between the ranks of the whole education system efficiency and the tertiary education efficiency. This result confirms that the inefficiency of education in Tunisia is mainly due to the inefficiency of tertiary education.

     

An analysis of the true notional bond system applied to the CBOT T-bond futures

The conversion factor system (CFS) is used in the determination of the invoice price of the Chicago Board of Trade Treasury-bond futures. As an alternative to the CFS, Oviedo [Oviedo, R.A., 2006. Improving the design of Treasury-Bond futures contracts. The Journal of Business 79, 1293–1315] proposed the True Notional Bond System (TNBS), and showed that it outperforms the CFS when interest rates are deterministic. The main purpose of this paper is to compare the effectiveness of the two systems in a stochastic environment. In order to do so, we price the CBOT T-bond futures as well as all its embedded delivery options under both the CFS and the TNBS. Our pricing procedure is an adaptation of the Dynamic Programming algorithm described in Ben-Abdallah et al. [Ben-Abdallah, R., Ben-Ameur, H., Breton, M., 2007. Pricing CBOT Treasury Bond futures. Les Cahiers du GERAD G-2006-77]. Numerical illustrations show that, in a stochastic framework, TNBS does not always outperform the CFS. However, as the long-term mean moves away from the level of the notional rate, the TNBS performs increasingly better than the CFS.     

A strategic-tactical model for the supply chain design in the delocalization context: Mathematical formulation and a case study

In this paper, we propose a mathematical model for the design of supply chains in the delocalization context. Our main objective is to develop a strategic-tactical supply chain design model that integrates all the relevant components that characterize the delocalization problem. We adopt the activity based approach to model the problem and we focus on the logistic decisions of activity location, technology choice, supplier selection, etc., and the financial decisions of transfer pricing, transportation costs allocation, etc. The mathematical formulation is illustrated by a case study from the automotive sector. A comparison between the model solution and the real decisions is used to prove the applicability and the utility of the proposed model.     

An ex-post analysis of the CME Group’s solution to the 5-year gap issue

In early 2001, the US Department of the Treasury suspended the issuance of 30-year bonds, and then resumed issuing its long paper in early 2006. As a result, there was a 5-year gap in the baskets deliverable into US T-Bond futures contracts expiring before 2016. In 2013, the CME Group raised the issue that grades contending for cheapest-to-deliver status were becoming significantly isolated from the rest of the basket because of this maturity gap. The aim of this article is to provide an ex-post assessment of the approach chosen by the CME Group to address this so-called ‘5-year gap issue’ and to compare its efficiency with that of an alternative solution that was not considered at the time.     

Forecasting emerging technologies with the aid of science and technology databases

Short term forecasting was applied to 20 emerging technologies under the “Machine and Materials” category based on the Vision 2023 foresight study previously conducted for Turkey. This scientometric approach uses the most suitable keywords linked to the technology in question and determines the number of publications and patents in those fields for a given year. Database analysis of publications and patents in the previous 11 years indicates that while the majority of the top 20 technologies identified by the experts are indeed emerging (i.e. the number of research and/or patenting in these technologies is increasing), some of them have not actually attracted too much interest in the science and technology (S&T) community. Forecasts based on S-curves indicate steady growth in some of the selected technologies. There is a high correlation between the number of scientific publications and patents in most of the technologies investigated. The method is proposed as a simple and efficient tool to link national foresight efforts to international S&T activities and to obtain quantitative information for prioritized technologies that could be used for technology management and decision making for research funding and technology investment.     

Volatility spillovers among the Gulf Arab emerging markets

This paper examines the volatility spillovers among Gulf Arab emerging markets. Multivariate VAR-GARCH model of daily returns, with BEKK specification based on the conditional variances and conditional correlations, is estimated for all six GCC equity markets of Saudi Arabia, Kuwait, UAE, Qatar, Oman and Bahrain. The results show high own-volatility spillovers and a high degree of own-volatility persistence in all GCC markets. Moreover, there are significant cross-volatility spillovers and cross-volatitlity persistence among all GCC equity markets, with stronger evidence from all GCC markets to the Saudi market. Such evidence could be explained by the existence of uncertainties surrounding various Gulf bank exposures to certain Saudi business groups as well as the downward movement of oil prices.     

New Evidence on the Relationship Between Crude Oil Consumption and Economic Growth in the US: A Quantile Causality and Cointegration Approach

Journal of Quantitative Economics - This paper investigates the long-run and short-run relationship between WTI crude oil consumption and economic growth, covering the US economy for the period...