Making trading decisions for financial‐engineered derivatives: a novel ensemble of neural networks using information content

Over the last decades, there has been a growing interest in applying artificial intelligence techniques to solve a spectrum of financial problems. A number of studies have shown promising results in using artificial neural networks (ANNs) to guide investment trading. Given the expanding role of ANNs in financial trading, this paper proposes the use of a hybrid neural network, which consists of two independent ANN architectures, and comparatively evaluates its performance against independent ANNs and econometric models in the trading of a financial‐engineered (synthetic) derivative composed of options on foreign exchange futures. We examine the financial profitability and the market timing ability of the competing neural network models and statistically compare their attributes with those based on linear and nonlinear statistical projections. A random walk model and the option pricing method are also included as benchmarks for comparison. Our empirical investigation finds that, for each of the currencies analysed, trading strategies guided by the proposed dual network are financially profitable and yield a more stable stream of investment returns than the other models. Statistical results strengthen the notion that diffusion of information contents and cross‐validation between the independent components within the dual network are able to reduce bias and extreme decision making over the long run. Moreover, the results are robust with respect to different levels of transaction costs. Copyright © 2009 John Wiley & Sons, Ltd.     

Union Presence and Corporate Productivity Practices: Evidence from Singapore

This paper explores the influences that unionisation may have on managerial processes to improve productivity. Unionisation is cast as a contextual variable, along with sector, size and culture. A recently established Singapore data base of employees' perceptions of corporate productivity practices is used to detect such possible influences. Regression analysis, with productivity practice as a dependent variable, suggests that unionisation explains some of the variations in such practices.     

Occupational Choice: The Influence of Product vs. Process Innovation

Prior studies have found that knowledge gained from work experience is a way to gather insights for business opportunity recognition. However, little is known about the specific types of knowledge that lead to business founding. Utilizing concepts from knowledge spillovers and from the opportunity recognition literatures, this paper argues that an organization’s technological innovation activities can help its employees develop specialized knowledge that provides them with the entrepreneurial opportunities to found new businesses. Besides highlighting the positive relationship between technological innovation activities in organizations and the propensity of individuals leaving the organizations to start new businesses, this paper also provides a more fine-grained explanation of the types of technological innovation activities that can lead to business founding. We argue that knowledge acquired through product innovations is more easily adopted by individuals for commercial uses, while knowledge acquired through process innovations must be integrated with other parts of the organization to be valuable. This study proposes that product innovation activities in an organization, more so than process innovation activities, are related to new business founding. Implications for opportunity exploitation and ways to exploit knowledge spillovers are discussed.      

Risk Attitude and Housing Wealth Effect

This paper examines whether the housing wealth effect—the consumption change induced by house price appreciation is dependent upon households’ attitudes toward risk. A simple theoretical model is introduced to highlight a negative relationship between the wealth effect and risk aversion. The paper empirically tests for this negative relationship, using data from the U.S. Consumer Expenditure Survey. The investigation involves two steps. In the first step, we make use of households’ demographics and their risky and liquid asset holdings to estimate risk aversion. The Heckman correction model is applied to address the issue of limited stock market participation. For the second step, we construct pseudo panel data through grouping households by their birth years and their predicted values of risk aversion, and then, we estimate the responses of households’ consumption changes to house price fluctuations by risk-attitude group. Consistent with the prediction of the theoretical model, the estimation results suggest a significant negative relationship between the housing wealth effect and households’ risk attitudes. Households, who are less risk averse, experience greater consumption changes in response to house price appreciation.     

Developer Heterogeneity and Competitive Land Bidding

This paper shows that ignoring differences in developers’ competitive strength and their bidding behavior in land auctions leads to distorted valuation of urban lands. Using the government’s land sale data in Singapore for the sample periods 1990–2011, we found that after controlling for location and space attributes, bid prices for lands are significantly influenced by heterogeneity effects of developers. The two heterogeneity measures used in our study, which are the bid spreads and historical activities in tenders, appear to have significant and positive effects on land bids. When we control for selectivity biases through winning probability of bidders and the bid scale (>10,000 square meters, and >S$50 million in value), we found that bid prices increase when bidders’ winning selectivity is considered. For large bid, bidders’ selectivity, if ignored, will lead to underestimation of the bid prices. The results affirm the hypothesis that heterogeneity in bidders and their selectivity in bidding strategies could have significant impact on the urban land valuation.     

Reflexivity,stress, and unlearning in the new product development team: the moderating effect of procedural justice

The success of new product development (NPD) depends on a team's abilities to integrate, build, and reconfigure internal and external competences and the flexibility to address rapidly changing environments. To develop innovative products it is desirable that these processes should not be constrained by current beliefs and routines. NPD teams therefore need to engage in an unlearning process to overcome any resistance to new ideas and to facilitate a fresh approach. The paper recognizes that the controlled experience of stress plays a part in unlearning (e.g., confusion about technology or market change can encourage changes) and argues that teams should systematically reflect on the progress they are making in projects and in unlearning. The fairness of procedures used by the management moderates the proposed relationships. Two hundred and ninety eight team members and 77 NPD team leaders participated in the study. The results indicate that team reflexivity positively influences unlearning and product innovation, while team stress has a negative effect. The perceived fairness of management procedures strengthens the positive effects of team reflexivity on unlearning and product innovation, and reduces negative effect of team stress.     

Attitude toward and Consumption of Fish in Vietnam

This study uses theory of planned behaviour (TPB) as a conceptual framework to investigate the attitude and intention toward the consumption of fish in a cross-sectional survey of Vietnamese consumers. Structural equation modelling (SEM) is used to test the reliability, validity, and relationships in the proposed model. The results show that the variation in the frequency of fish consumption is significantly explained by intention and perceived behavioural control. Intention to consume fish is significantly determined by subjective norms and attitude toward consuming fish as a meal. Perceived behavioural control is significantly related to fish consumption, but not to the intention to consume fish, indicating that there may be a difference between perceived control and actual control. At the specific-belief level, the study found that negative affect, perceived quality, and price are significant indicators that explain 60% of the variation in attitude. Perceived price, time needed to cook and prepare fish as a meal, and the availability of fresh fish are important factors explaining 63% of the variation of the perceived control over fish consumption. The study also provides some managerial implications and suggestions for the seafood sector to expand the domestic markets and gives recommendations for future research.     

Consumer demand with variable preferences in taiwan: an application of the generalized Fechner-Thurstone direct utility function

Time series data on five consumer commodity groups for Taiwan are analyzed using the generalized Fechner-Thurstone direct utility function. Income and price-demand elasticities are derived from unconstrained maximum likelihood estimates of the constant elasticities of marginal rates of substitutions. The elasticities are similar to those obtained for Taiwan using a translog indirect utility function. However, the estimates obtained for Taiwan are significantly different from those reported by other researchers for South Korea and the United States which serves as an indication of differences in the stages of economic development between the economies.     

Ethical correlates of role conflict and ambiguity in marketing: The mediating role of cognitive moral development

Researchers in marketing ethics have identified the importance of cognitive moral development (CMD) in marketing ethics models. This study looks at selected correlates of role conflict and role ambiguity in marketing, especially the mediating role of CMD. Of the correlates examined, the results seem to support the existence of statistically significant relationships between CMD and role conflict and ambiguity. Implications for practitioners are provided. For example, the study could have direct implications for management personnel who have the responsibility of hiring ethical people and helping them address any role conflict or ambiguity that may arise from their job. He received his Ph.D. in marketing from the University of Mississippi. His work has previously appeared in theJournal of Business Ethics, theJournal of Pharmaceutical Marketing and Management, theJournal of Marketing Theory and Practice, theJournal of Promotion Management, Health Marketing Quarterly, and various national proceedings. He received his Ph.D. in marketing from Texas Tech University. His work has previously appeared in theJournal of Business Research, theJournal of Macromarketing, theJournal of Business Ethics, International Marketing Review, theJournal of the Academy of Marketing Science, and various other journals and proceedings. He received his Ph.D. from the University of Oregon. His research has previously appeared in theJournal of Marketing Research and numerous other journals and proceedings. He received his Ph.D. in marketing from Florida State University. His research has been published in theJournal of Business Research, theJournal of Marketing Management, and in various proceedings.