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.     

THE RETURNS TO ENDOGENOUS HUMAN CAPITAL IN PAKISTAN'S RURAL WAGE LABOUR MARKET

This paper estimates the private returns to human capital in Pakistani rural labour markets. The rich data used permit inclusion of several dimensions of human capital and control for endogeneity resulting from investment in human capital. The results suggest that, without data on determinants of human capital, it would not be possible to disentangle the separate effect of each dimension of human capital on wage differentials nor to distinguish human capital explanations for wage differentials from signalling and credentialist models. With control for endogeneity of human capital and selectivity into wage employment, cognitive achievement, but not schooling attainment separate from cognitive achievement nor long-run health status, affects wage differentials.     

Data sources for managerial economists

Most people think they know what market research is, and generally have a picture of a girl with a clip-board asking about voting intentions. In fact, the term ‘market research’ covers a widely varied family of activities, using different techniques to achieve different purposes. This paper describes the various combinations of research types into which a survey can fall (large sample/small sample, quantitative/qualitative, industrial/consumer, etc.) and discusses the strengths and weaknesses of the different methodologies. It then provides information about the size and structure of the market research industry in the United Kingdom.     

Public choice interpretations of distributional preference

This essay examines, from the perspective of both economics and ethics, the logical foundations of income transfers in a democratic society that allocates resources, in the large, through free markets. Such transfers, enacted through the public choice process, modify the market-determined distribution of income, as a reflection of the distributional preferences of the members of a society. Both constitutional and post-constitutional explanations of redistributions are considered. A discussion of recent experimental evidence of distributional preferences leads into a critique of simple equality, built on Michael Walzer's distinction between monopoly and dominance, as a criterion of distributive justice.