No‐arbitrage implies power‐law market impact and rough volatility

Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that in a quite general framework, under no‐arbitrage assumption, the market impact function can only be of power‐law type. Furthermore, we prove this implies that the macroscopic price is diffusive with rough volatility, with a one‐to‐one correspondence between the exponent of the impact function and the Hurst parameter of the volatility. Hence, we simply explain the universal rough behavior of the volatility as a consequence of the no‐arbitrage property. From a mathematical viewpoint, our study relies, in particular, on new results about hyper‐rough stochastic Volterra equations.     

Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis

This paper investigates the portfolio optimization under investor’s sentiment states of Hidden Markov model and over a different time horizon during the period 2004–2016. To compare the efficient portfolios of the Islamic and the conventional stock indexes, we have employed two approaches: the Bayesian and Markowitz mean-variance. Our findings reveal that the Bayesian efficient frontier of Islamic and conventional stock portfolios is affected by the investor’s sentiment state and the time horizon. Our findings also indicate that the investor’s sentiment regimes change the Islamic and the conventional optimal diversified portfolios.Moreover, the results show that the potential diversification benefits seem to be more important when using the Bayesian approach than when applying the Markowitz approach. This finding is valid for the bearish, depressed, bullish and calm states in Islamic stock markets. However, the diversification of potential portfolios is significant only for the bullish and the bubble states in the conventional financial markets.The findings of the study provided additional evidence for investors to exploit googling investor sentiment states to evaluate the portfolio performance and make an optimal portfolio allocation.     

基于生态系统服务功能的森林社会效益价值评估——以云南省森林资源为例

森林除了具有经济价值和生态价值外,还具有基于生态系统服务功能所产生的社会效益价值。论文以云南省森林资源为例,采用房地产评估中常用的假设开发法为主要评估方法,结合森林资源所反映的社会效益价值增长特征,运用企业自由现金流量折现模型中的两阶段现金流折现模型,通过构建模型体系,分别从直接社会效益和间接社会效益两个维度对云南省森林资源的社会效益价值进行评估。其中,直接社会效益包括就业价值和景观游憩价值,间接社会效益包括科教价值、历史价值及文化价值,通过模糊综合评判计算各组成部分的不同影响权重得出直接和间接社会效益模型,以多元回归的方法构建森林生态总体社会效益价值模型并计算云南省森林社会效益价值。同时,将各部分价值结果分别与云南省第三产业GDP、人均GDP及云南省GDP进行对比分析,进而对云南省森林社会效益价值现有情况进行评价,并对今后的森林资源开发提出相关建议。     

Heterogeneity and netting efficiency under central clearing: A stochastic network analysis

This paper examines the effect of heterogeneity in clearing members’ exposure management practices under central clearing. Our network model specifies the dynamics of prenetted interbank exposures to shape interdependent exposure distributions beyond normality. Employing over-the-counter derivatives market data from the U.S. Office of the Comptroller of the Currency, our simulation results indicate that heterogeneity in bank-to-bank exposure dynamics is systemically desirable, while the entire system benefits more from the central clearing in more homogeneous environments. Policymakers should incentivize individual clearing members to enhance resiliency and stability in counterparty exposure management to maximize netting efficiency under central clearing.     

Employing structural topic modelling to explore perceived service quality attributes in Airbnb accommodation

This study employs the structural topic model to extract service quality attributes from 242,020 Airbnb reviews in Malaysia. 22 service related topics were extracted from the corpus and four topics have not appeared in previous Airbnb studies. A widely used modified SERVQUAL questionnaire (MSQ) is cross-validated in this study by comparing its service quality attributes with the results of the topic modelling, which indicates that this MSQ can cover general Airbnb service quality attributes. This study also examines the different preferences of Malaysian and international Airbnb users and the changing patterns of the top six service quality attributes during a five-year period. The findings reveal that Malaysian Airbnb users care more about the appearance and location of the property, and international Airbnb users pay more attention to whether the property can accommodate a group of people. In addition, communication with the host is found to play an increasingly important role in Airbnb users’ lodging experiences.     

Becoming a tree when I will be dead? Why not! Generation X,Y and Z,and innovative green death practices

Within the theoretical field of ethical consumption, the study focuses on consumer behavior and innovative green death practices. While scarcely investigated in the marketing and consumer behavior research domains, at least four main reasons spur to consider the funeral industry as an interesting subject of enquiry: i) the sector boasts of a significant economic relevance; ii) it is extremely impactful from an environmental and social point of view; iii) it is witnessing interesting innovative processes in the direction of social and environmental sustainability; iv) consumer movements are rising all over the world asking for more sustainable death practices. Thus, adopting an augmented version of the theory of planned behavior (TPB), which includes individuals’ environmentally responsible consumption, and egoistic and altruistic environmental concern, the study investigates behavioral intention to adopt innovative green death practices (a green funeral) of people belonging to three different generations: X, Y, and Z. A purposive sample of 627 Italian people participated in an online the survey. Collected data were analyzed adopting an ordinal logit model. The results confirm the TPB predictive power also in the field of green funeral behavioral intention. Furthermore, environmentally responsible consumption and environmental concern – even though only in its altruistic component – positively influence behavioral intention, and generation exerts a moderating effect among the examined constructs. Overall, the research attempts to enrich the literature on ethical consumption by exploring the underinvestigated phenomenon of buying behavior of unsought and end-of-life products, that of green funerals, and provide managerial recommendations to funeral service sellers.     

Asset pricing and energy consumption risk

This paper proposes energy consumption in the US as a new measure for the consumption capital asset pricing model. We find that (i) industrial energy growth produces reasonable values for the relative risk aversion coefficient and the implied risk-free rate; (ii) compared to alternative consumption measures, industrial energy performs well in explaining the cross-sectional variation in stock returns with the lowest implied risk aversion and pricing errors; (iii) the industrial energy consumption risk model performs equally well as the Fama–French three-factor model in the cross-sectional asset pricing tests; and (iv) total energy consumption risk is priced in the presence of the Fama–French factor risks.     

浅谈铁路建设项目资格预审申请文件、商务标编写方法及建议

2014年以来,铁路固定资产投资每年基本稳定在8000亿元左右,对施工企业而言,要抓住当前的有利机会,争取更多的施工任务。结合当前铁路建设项目资格预审及招标的特点,简要介绍资格预审申请文件、商务标的编写方法,提出相关建议,以期为从业人员提供借鉴。     

Linking of sample data to small areas

We consider methods for estimating the means of survey variables in domains of a finite population, where sample sizes are too small to obtain reliable direct estimates. We construct generalized compositions from the direct and traditional design-based synthetic estimators and propose the methodology for evaluating their coefficients. This methodology measures similarities among sample elements and estimates of the domain means. We propose the compositions for two cases of auxiliary information: domain-level characteristics are available; true means of auxiliary variables are available for the estimation domains, and unit-level auxiliary vectors are known for the sample elements. In the simulation study, we show where the generalized compositions improve the traditional synthetic and composite estimators.     

Foreign direct investment and economic growth: Is more financial development better?

We investigate the extent to which an increase in financial development affects the positive effect of foreign direct investment on economic growth. Although the financial sector is beneficial for economic growth, the effect of further financial development on growth is found to become insignificant. Using a dynamic panel threshold model on 62 middle- and high-income countries spanning the period 1987–2016, we re-examine the possible nonlinearity between finance, foreign direct investment, and growth. Consistent with the “vanishing effect” of financial development, we find significant evidence that foreign direct investment fosters growth in general, but the growth effect of foreign direct investment becomes negligible when the ratio of private sector credit to gross domestic product exceeds 95.6%. This finding is robust to different econometric methods, various subsamples and interaction analyses, and distinct financial development indicators.