Regime switching rough Heston model

This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than , and the regime switching property consistent with more long-term economic considerations. It is nevertheless highly tractable in the sense of semianalytic formulae for European options, and permits a partial Monte Carlo method of similar computational speed as the semianalytic formula (at an appropriate number of Monte Carlo simulations). While option prices are relatively insensitive to the choice of Hurst parameter, introducing rough volatility allows for a better fit to the at-the-money skew.     

The Role of Informational and Congruence Clues in Advertisement for an Ethnic Restaurant

This study analyzes the effect of informational clues and Chef-Cuisine congruence, and their relation to advertisements for a Japanese restaurant. Two experiments were conducted with 171 consumers. Findings supported the following: Congruence between a Japanese restaurant and Japanese Chef results in higher approval ratings than the combination of Japanese restaurant with Brazilian Chef. However, if the advertisement states that the restaurant has won an award, then Chef-restaurant congruence is no longer an important factor in consumers’ evaluations.     

政企分开政策驱动下国有森工企业转型路径研究

回顾了国家的林业政策,梳理了黑龙江国有森工企业的转型要素,分析了国有森工企业转型发展路径的影响因素。基于政企分开的政策因素与企业的发展需要,结合国有森工企业转型存在的现实问题,分别从企业转型能力、企业转型意愿和企业转型方向3个方面阐述政企分开政策对国有森工企业转型的驱动作用。在此基础上,提出在政企分开政策驱动下国有森工企业转型发展的实现路径,并从重新定位政府与市场关系、注重培育国有森工企业内部组织平台化转型路径和构建品牌转型路径3个方面进行国有森工企业转型发展的路径研究。     

‘Get out of Traian Square!’: Roma Stigmatization as a Mobilizing Tool for the Far Right in Timişoara,Romania

Post‐communist Central and Eastern Europe has seen far right movements and parties gain considerable ground by drawing on nativist and ethnic claims to call for a return to an imagined past. In Romania, far right groups have been able to capitalize on a sense of injustice while also playing on historically negative feelings towards the Roma community. These patterns have been observed in Timi?oara, where the group Noua Dreapt? (New Right) has established a foothold over the past decade by emphasizing claims that blame the Roma for loss of built heritage and corruption in the administration of property restitution. The aims of this article are to examine the emergence of Noua Dreapt? and its use of Roma stigmatization, and to consider the ways in which extreme views are normalized by appealing to beliefs and perceptions. The findings of the article show that pre‐existing prejudices can be a powerful force that not only targets marginalized communities, but also challenges administrative practices and builds organizational support. At the level of the city, it is possible to identify the way in which these claims can be more precisely calibrated to draw on concerns that circulate within the community.     

Contextual Framing and Monetary Incentives in Field Experiments on Risk Preferences: Evidence from German Farmers

Recent studies cast doubt on the ability of abstract experiments to predict decision‐making in the field. Thus, scholars have argued for more ‘realism’ by introducing context to field experiments. Yet, such realism may work against the induced values of monetary incentives in economic experiments. It is an open question whether contextual framing works best with or without inducing values, through methods such as the use of monetary incentives. Using a sample of 146 German farmers, we compare experimentally the predictive power of a framed lottery in an agricultural context vs. using an abstract version. For one half of the sample, lotteries are incentivised; for the other half, they are hypothetical. Although risk preferences differ between treatments, all four lottery tasks correlate poorly with farmers’ real‐world use of risk management instruments such as harvest or hail insurance. Subjects who start with an agricultural framing are willing to take significantly greater risks in the lotteries. More generally, our findings cast doubt on the ability of lottery tasks to predict risk‐taking in the field.     

Trading off learning and performance: Exploration and exploitation at work

Employees are increasingly given control over how they learn, and their choices for training are diverse and varied, yet employees must balance competing demands. On one hand, they are expected to be increasingly efficient in their current job duties – on the other hand, they are expected to develop new skills and competencies that enable them to adapt and respond to changing job demands. Drawing from the organizational learning literature, we propose a model of worker and work characteristics that inform choices between two mindsets related to learning at work. The first mindset is exploration, or the pursuit of learning outside one’s current knowledge domain; the second mindset is exploitation, the refinement/deepening of one’s existing knowledge stock focusing on the task at hand. We further propose that these strategic choices, or trade-offs, influence employee learning and performance in unique ways, with different implications for both routine and adaptive performance. Finally, we incorporate the notions of feedback loops and risk assessments that influence ongoing decisions between exploration and exploitation mindsets. Recommendations for future research and extensions of the theoretical model are also proposed.     

A Multicriteria Approach for Modeling Small Enterprise Credit Rating: Evidence from China

ABSTRACT

As the engine of China’s economy, small enterprises have been the central to the country’s economic development. However, given the characteristics of the small enterprises loan (i.e., short borrowing period, large volume, small amount and incomplete information), it is extremely challenging for financial institutions to assess their creditworthiness. Thus, it seriously delays and restricts the financing access for small enterprises. In an attempt to relieve the financing difficulty of small enterprises, this article makes use of 687 small wholesale and retail enterprises in a regional commercial bank in China, to establish a credit rating indicator system composed of 17 indicators by using both partial correlation analysis and probit regression. It then utilizes TOPSIS together with fuzzy C-means to score the credit ratings of our sample of small enterprises. With the dual test of default discrimination and ROC curve, the prediction accuracy of the established indicator system has reached 80.10% and 0.917, respectively, indicating the robustness and validity of our credit rating system.     

The importance of consumer multihoming (joint purchases) for market performance: Mergers and entry in media markets

Consumer “multihoming” (watching two TV channels, or buying two news magazines) has surprisingly important effects on market equilibrium and performance in (two‐sided) media markets. We show this by introducing consumer multihoming and advertising finance into the classic circle model of product differentiation. When consumers multihome (attend more than one platform), media platforms can charge only incremental value prices to advertisers. Entry or merger leaves consumer prices unchanged under consumer multihoming, but leaves advertiser prices unchanged under single‐homing: Multihoming flips the side of the market on which platforms compete. In contrast to standard circle results, equilibrium product variety can be insufficient under multihoming.     

多层级视角下京津冀科技创新政策府际关系研究

府际关系协调有利于实现创新资源、要素的有效汇聚与整合，进而提升政策有效性。以京津冀为例，构建中央-地方多层级府际关系模型，分析中央政策主体合作网络特征与政策扩散特征、地方政策主体合作网络特征与政策执行特征的相关性。研究发现，中央政府部门间形成了以科技部为核心的核心—边缘网络结构特征；北京市政府部门间呈现出以中关村科技管理委员会为核心的核心-边缘网络结构特征；天津市政府部门间呈现出以天津市科学技术委员会为核心的星型网络结构特征；河北省则没有形成稳定的网络关系。中央政策主体合作网络中的度中心性与政策扩散广度具有相关性；地方政策主体合作网络中介中心性、度中心性与政策执行强度具有相关性。     

Losers and prospectors in the short-term options market

Intraday data for weekly options are investigated for behavioral biases implied in prospect theory (PT) and cumulative prospect theory (CPT). The results generally support both theories, with losers (winners) observed to be relatively risk-seeking (averse). On aggregate, losers (winners) overprice (underprice) their contracts and overweight (underweight) the probability of winning. Additionally, the volatility smirk observed in equity options is dampened by PT/CPT biases. The price distortions are time sensitive, especially for losing traders. Losers hold out by transacting later in the day and closer to expiration than their baseline counterparts. This betting-time effect is absent among winners.