Electronic limit order book and order submission choice around macroeconomic news

We investigate the dynamics of the displayed part of the Island ECN limit order book for the equity-index-linked securities market around macroeconomic news releases. Our results indicate that the quality of the electronic market, measured by spread and depth, deteriorates during the releases. Furthermore, they show that traders appear to switch to more aggressive strategies as early as 3 min before an announcement and are most aggressive within the first minute after the announcement. Also, there is a noticeable difference in the response of the limit order book to the macroeconomic news during pre-market hours relative to regular trading hours.     

Optimal and Approximate Policies for Inventory Systems With Order Crossover

A common assumption in inventory analysis is that replenishment orders arrive in the same sequence in which they were placed. In practice, however, a variety of factors may cause orders to arrive out of sequence, a phenomenon known as order crossover. This article analyzes a periodic‐review inventory system for a single item with discrete variable demand and discrete variable and long lead‐times (relative to the review period). Under such a scenario, multiple orders are simultaneously outstanding, and orders may arrive in a different sequence than placed. If such order crossover occurs, traditional inventory analysis overstates expected shortages and standard inventory control policies are no longer optimal. This article discusses why orders may cross over in practice and investigates the implications of order crossover to inventory management policies. We investigate the cost performance of optimal policies under order crossover and also suggest approximate policies which are easier to compute and implement. Both the optimal and approximate policies take advantage of detailed real‐time information about the status of pending orders and goods in transit, and hence in a majority of cases perform better than commonly used policies which do not incorporate such information.     

Economic Integration and Public Provision of Education

This paper develops a model of fiscal competition in public provision of a private good: education. In this framework, the welfare enhancing effects of public education provision are shown to be reduced by increased student mobility when, like in the EU, countries are unable to set differentiated fees to foreign students. Indeed, the threat of attraction of foreigners who free-ride on the national education system may induce suboptimal levels of public education provision when (price) discrimination is forbidden. Alternatively, countries may try to escape regulation and avoid equal treatment of foreign students. The paper provides some empirical evidence of the existence of a fiscal externality in education at the EU level.     

Effects of Presentation Order on Product Evaluation: An Empirical Analysis

There are a number of consumer behaviour theories regarding the importance of the first stimulus and of a reference point in buying decision-making. However, there are not many empirical analyses, and they usually consider only hypothetical situations and payoffs. This paper aims to fill the gap by providing an empirical analysis for the effects of presentation order, using data collected in a natural setting. Two different personal computers are considered and evaluated along with the perceptions of price, quality, and price–quality relationship; evaluations are compared when the presentation order changes. The results confirm that the first alternative is more likely to be preferred; however, presentation order effects are not the same for all elements and show a relative rigidity for price perception. Managerial implications and issues for future research are highlighted.     

OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow N is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, whereby N is a Markov‐modulated compound Poisson process are also considered. We derive and compare the properties of the various cases and illustrate our results with computational examples.     

基于灰色关联度的多目标电力建设工程投资决策研究

项目投资决策系统是一个典型的灰色系统，它具有灰色系统信息部分不确定性的特点。将灰色系统理论与层次分析法（AHP）进行有机地结合，用加权灰色关联度分析方法建立模型并计算判断矩阵，为决策者提供一种有效的决策方法。应用灰色关联分析方法处理电力建设项目投资决策问题，考虑不同因素的重要程度，运用AHP方法对其进行赋权，根据得到的加权灰色关联度值的大小对备选方案进行优选，使电力建设项目投资方案决策过程更具有科学性。     

基于自组织理论的供应链协同管理

实现节点企业之间的协同发展是供应链管理的核心目标,而自组织原理又作为协同学中的核心内容,能为供应链的协同发展提供重要的理论支撑。正是以自组织理论为研究出发点,根据自组织演化的一般规律特点,再结合供应链管理的系统特性,深入地分析了供应链如何通过自组织进程来实现协同管理目标的基本过程,对于供应链协同管理能起到一定的理论借鉴作用。     

Inflation, Price Level and Hybrid Rules under Inflation Uncertainty

The performance and robustness of optimised interest rate rules are analysed in a New Keynesian model estimated for the euro area economy. In particular, we examine the properties of rules responding to inflation, the price level, or a combination of the two (a hybrid rule). All the rules also respond to the output gap. The optimal hybrid rule is only marginally superior when there is no model uncertainty. When there is uncertainty about the degree of inflation persistence, the inflation rule is the most robust rule and the performance of the other two rules deteriorates. However, all the rules perform well if the true degree of inflation persistence turns out to be less than policymakers’ estimate.     

城市生态学视野下的动态适度人口规模——兼论上海人口发展的基本态势

提出城市适度人口规模不是一个静态的数值 ,而是动态的过程。不是一个先验的数值 ,而是系统决定的综合结果。建立了一个适度人口规模的概念性框架 ,即EFL模型 ,就是说合理和适度的人口规模是与之相联系的资源环境因素、功能和经济方式、空间区位状态共同决定的结果。生态系统的变动 ,综合决定了一定时期、一定标准下的城市人口适度规模 ,并决定了这一适度规模的变化趋势。基于这一思路 ,讨论了影响上海人口规模变动的积极因素和阻碍因素 ,从资源环境变化、城市功能变化和城市空间变化三个方面对上海适度人口规模的变动趋势作了基本判断 ,提出上海人口规模将出现先上升再下降的趋势。根据动态适度人口规模的观点 ,对城市人口综合调控和城市管理的有关问题提出了一些建议。     

敏感性物资采购决策的确定

传统采购的目的就是为了填充库存,状态固定,方法简单。但是在实际的生产中,某些敏感性原物料,由于其状态的随机性,而使采购决策成为多阶段决策过程。文中以航空公司采购燃油为例展示针对敏感性物料的采购决策的确定。