Periodic strategies in optimal execution with multiplicative price impact

We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling decision times are modeled by the arrival times of a Poisson process. The criterion to be optimized consists in maximizing the expected net present value of the gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of the asset price.     

Domestic and Foreign Price/Marginal-cost Margins: an Application to Spanish Manufacturing Firms

The authors investigate the differences in margins of export and domestic markets for Spanish manufacturing firms in the period 1990 to 1997. They estimate jointly a multiproduct cost function, a variable factor share equation, and two price/marginal‐cost margin equations. The results indicate that the marginal cost of production sold in export markets is slightly greater than in domestic markets. At the same time, the price/marginal‐cost margins in export markets are smaller than in domestic markets. There is also strong evidence that margins are procyclical in domestic markets, but this evidence is less clear in foreign markets.     

Assessing academic department efficiency at a public university

The assessment of public universities has gained importance because of the demands from such state government bodies as the executive and the legislature. Public universities are increasingly being asked to account for how efficiently they have used diminishing state financial resources. Administrators thus have the responsibility of ensuring that the university's financial, human, and physical resources are allocated to academic departments in a manner that enhances the institution's efficiency. In this paper, data envelopment analysis (DEA) is proposed for evaluating the efficiency of academic departments at a public university. DEA provides a single measure of efficiency for each academic unit. It also identifies the causes behind the inefficiencies exhibited by poor performing units, as well as the changes that these units need to make in order to improve their efficiencies. Its usefulness as a planning tool is also discussed. Copyright © 2002 John Wiley & Sons, Ltd.     

Patients' rights and informed consent: Swedish experiences

Care and treatment must as far as possible be designed and conducted in consultation with the patient, who must be informed of his state of health and of the treatment methods available. This is what the Swedish Health and Medical Services Act prescribes. This principle is in accordance with modern consumer policy, but for several reasons the patient is not an ideal buyer. Unquestionably, the system is characterized by professional dominance. The professions are supported by a cultural climate where formal complaints are exceptional. A unilateral liability insurance, the No Fault Patient Insurance, covers every patient. It pays standard amounts in the event of mishaps or malpractice without raising any questions as to who is to blame. There are 5,000 complaints per year, and roughly half of these result in payment to the patient. Lack of information about risks in diagnosis or therapy are mentioned in about 10 percent of the complaints.

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Patientenrechte und informierte Zustimmung: schwedische Erfahrungen

Zusammenfassung Krankenbehandlung und Krankenversorgung muß so weit wie möglich in Abstimmung mit dem Patienten entwickelt und durchgeführt werden, der deshalb über seinen Gesundheitszustand und die verfügbaren Behandlungsmethoden unterrichtet werden muß. Dieses Prinzip findet sich im schwedischen Gesundheitsversorgungsgesetz. Das Prinzip entspricht moderner Verbraucherpolitik, obwohl der Patient aus verschiedenen Gründen ein schlechter Käufer ist. Das Gesundheitssystem wird von der Dominanz der Professionen, insbesondere der Ärzte gekennzeichnet. Die Situation wird durch eine kulturelle Einstellung gegenüber Ärzten stabilisiert, wonach förmliche Beschwerden die Ausnahme sind. Deshalb wurde in Schweden eine Haftpflichtversicherung für Behandlungsfehler und Arzneimittelschäden eingerichtet. Sie ersetzt jedem Patienten ohne Rücksicht auf den Verschuldensnachweis die von ihm erlittenen Gesundheitsschäden. Ungefähr 5,000 Beschwerden werden in Schweden jährlich registriert, wovon die Hälfte in Schadenersatzzahlungen an Patienten resultieren. Informationsmängel bei der Aufklärung über Diagnose- oder Therapierisiken machen 10 Prozent der Fälle aus. Weiterhin beschäftigt sich der Aufsatz mit der Notwendigkeit informierter Zustimmung des Patienten im Rahmen von klinischen Versuchen.

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Edgar Borgenhammar is Professor of Health Services Management at the Nordic School of Public Health, Box 12 133, S-402 42 Gothenburg, Sweden.     

Capacity precommitment and price competition yield the Cournot outcome

We introduce a simple model of oligopolistic competition where firms first build capacity, and then, after observing the capacity decisions, choose a reservation price at which they are willing to supply their capacities. This model describes many markets more realistically than the model of Kreps and Scheinkman [Kreps, D., Scheinkman, J., 1983. Quantity precommitment and Bertrand competition yield Cournot outcomes. Bell J. Econ. 14, 326–337]. We show that in this new model every pure strategy equilibrium yields the Cournot outcome, and that the Cournot outcome can be sustained by a pure strategy subgame perfect equilibrium.     

Innovation and Product Development Strategies in the Italian Motorcycle Industry

The motorcycle industry in Italy offers fertile ground for anyone interested in developing a better understanding of the role innovation plays in enhancing a firm's competitive position. This industry includes both domestic and Japanese firms, with companies ranging from high-volume manufacturers to specialty or niche producers. Firms trying to gain a competitive edge in this crowded field must contend with not only advances in product and process technology, but also the whims of fashion. In a survey of top-level marketing and product development managers from eight leading firms in the Italian motorcycle industry, Moreno Muffatto and Roberto Panizzolo explore the innovation models these firms employ to enhance their competitive position. Their study has the following objectives: categorizing the various competitors in terms of their product and market strategies and their product development and innovation strategies; highlighting differences between the methods of Italian and Japanese firms competing in this market; analyzing the relationships between firms, as well as the roles suppliers play in the various innovation strategies; and identifying the various organizational models employed by the firms in this industry. Different product and market strategies are identified on the basis of three variables: total production volume, the number of different products offered, and the number of different engine capacities offered. Using these variables, the companies in the study are categorized as volume producers, specialists, or niche specialists. The firms are further differentiated on the basis of the relative emphasis each places on product technology and design, product innovation, product variety, and time-based competition. In the firms studied, partnerships play a key role in new product development. Nearly every firm participates in joint projects, most often involving development of either an entire vehicle or an engine. Other partnerships involve firms in countries that offer emerging markets for the motorcycle industry. Organizational structures and strategies employed by the volume producers in this study include: the large product leader, who oversees concept definition and product planning; the project leaders group, which coordinates all phases of development, including activities assigned to external groups; the project managers matrix, a matrix organizational structure with a strong product orientation; and the business unit program manager, who oversees all projects within an independent business unit.     

HOW CAN PUBLIC SPENDING HELP YOU GROW? AN EMPIRICAL ANALYSIS FOR DEVELOPING COUNTRIES

Although many studies indicate that both the level and composition of public spending are significant for economic growth, the results in the empirical literature are mixed. This paper suggests that the country sample selection and expenditure classification are important in explaining these conflicting results. The empirical analysis shows that the link between growth and public spending, especially its core component, is strong only for countries with macroeconomic stability and fast GDP per capita growth dynamics, which are also capable of using public funds for productive purposes.     

Improving an outpatient clinic utilization using decision analysis-based patient scheduling

This study presents a predictive model to be used in scheduling patients in an urban outpatient clinic. The model is based upon actual patient characteristics from a physical therapy clinic within an urban health and wellness center situated in a public university. A number of reported patients' characteristics such as age, education level, distance from the clinic, historical attendance records, etc. were examined to determine if they significantly impacted the patients' missing scheduled appointments (no-shows.) Decision tree analysis was used to develop a model that assessed the likelihood of a patient's no-show, using key patient characteristics and attendance records. Such a model can be used to assist with scheduling patients in an outpatient clinic, while attempting to increase the clinic's overall utilization. Four tree growing criteria were examined to develop the model with the strongest predictive power. Predictive power of each method was assessed by using the entire dataset as well as using split sampling. The results were then compared with those of a Bayesian networks model and a neural networks model. In addition, the trade-off between the selected decision tree model's predictive power versus simplicity of the associated classification rules was examined. We also assessed the impact of various levels of overbooking on the clinic's utilization when using patients' schedules based on the predictive model.     

Country of Origin Labeling and Structural Change in U.S. Imports of Canadian Cattle and Beef

Mandatory country of origin labeling (COOL) has become a thorny issue in U.S.–Canada bilateral trade relations. We undertake an ex post investigation of the impact of the law on U.S. imports of Canadian beef, feeder, and fed cattle. Using a partial equilibrium framework, we derive U.S. import demand equations for Canadian cattle and beef, and employ the Bai and Perron (1998, 2003) procedure for detecting multiple structural breaks with break points being endogenously determined. We find evidence that COOL may have caused significant structural change in U.S. imports of Canadian feeder and fed cattle. L’étiquetage du pays d'origine obligatoire est devenu un sujet épineux des relations commerciales entre le Canada et les États‐Unis. Dans la présente étude, nous effectuons une analyse ex post des répercussions de la Loi sur les importations américaines de viande de b?uf, de bovins d'engraissement et de bovins finis. À l'aide d'un modèle d’équilibre partiel, nous avons dérivé des équations de demande d'importation de bovins et de viande de b?uf de la part des États‐Unis et nous avons utilisé les tests de Bai et Perron (1998, 2003) pour déceler les ruptures structurelles multiples, dont les points de rupture ont été déterminés de façon endogène. Les résultats de notre étude montrent que l’étiquetage du pays d'origine peut avoir causé un changement structurel considérable sur les importations de bovins d'engraissement et de bovins finis.