The optimal bid/ask spread in a Specialist System

In this work we propose a simple market model where some features of the Specialist System are analyzed. In particular, the specialist's obligation to display bid/ask quotes on the book within the bounds imposed by the Exchange is considered. The proposed model allows to analyze the effects of the specialist's interventions on the short term dynamics of bid/ask prices and address a relevant market design issue, that is determination and analysis of the optimal endogenous upper bound that - according to economic conditions - should be imposed by Stock Exchange on the quoted bid/ask spread. The institutional details are summarized in a few structural parameters and the focus is on the aggregate effects of excess demand/supply.     

Validating pharmaceutical product claims: questions a formulary committee should ask

Abstract

Claims, justifying the acceptance and placement of new products on health system formularies, are all too often presented in terms that are either unverifiable or only verifiable in a timeframe that is of no practical benefit to formulary committees. One solution is for formulary committees to request that (i) all predictive claims made should be capable of empirical testing and (ii) manufacturers in making submissions should be asked to submit a protocol that details how their claims are to be assessed. Evaluation of claims can provide not only a significant input to ongoing disease area and therapeutic reviews, but can also provide a needed link to comparative effectiveness research and value-based healthcare. This paper presents a set of protocol standards (PROST) together will questions that should be addressed in a protocol review.     

Asymmetries in bid and ask responses to innovations in the trading process

This paper proposes a new approach to jointly model the trading process and the revisions of market quotes. This method accommodates asymmetries in the dynamics of ask and bid quotes after trade-related shocks. The empirical specification is a vector error correction (VEC) model for ask and bid quotes, with the spread as the co-integrating vector, and with an endogenous trading process. This model extends the vector autoregressive (VAR) model introduced by Hasbrouck (Hasbrouck J (1991) Measuring the information content of stock trades. J Finance 46:179–207). We provide evidence against several symmetry assumptions, very familiar among microstructure models. We report asymmetric adjustments of ask and bid prices to trade-related shocks, and asymmetric impacts of buyer and seller-initiated trades. In general, buys are more informative than sells. The likelihood of symmetric quote responses increases with volatility. We show that our findings are robust across different model specifications, time frequencies, and trading periods. Moreover, we find similar asymmetries in markets with different microstructures.

近期实证研究对CAPM理论的质疑与一个模型修正

关于Sharpe的资本资产定价模型(CAPM),长期存在着实证研究对它的质疑,其原因主要是资本资产定价模型的一组假设条件过于苛刻而远离市场实际.自Fama以来至今,很多基于不同市场的实证研究都不能很好的支持Sharpe的CAPM模型理论.近期,美国New Orieans大学的Edward M·Miller将投资者的无偏估计这一条件放宽,通过对投资者之间关于收益估计偏离的分析,得到一种关于投资收益与股票价格变化的新解释,并初步将这种偏离进行量化后,给出了一个对Sharpe理论的修正模型.     

The Oaxaca decomposition generalized to a continuous group variable

Almost universally, the Oaxaca (1973) decomposition is used to compare the outcomes between two discrete groups, e.g., black and white. In many applications, however, groups are not readily divided into discrete bins. The purpose of this paper is to extend the Oaxaca decomposition to examine differences amongst groups that are most naturally modeled as at points in a continuum. The gap can vary by values of the group variable.     

对张华夏教授的“问题与评论”之答辩

我写此答辩，并非不喜欢张教授的评论。相反，我非常喜欢他提出问题并加以评论，因为一评一答，可以使理论更加清楚，也可以使其他的读者更易于深入了解我的统合效用主义理论。     

WTO与中国银行法变革的若干问题

我国银行法从文化观念、立法精神、具体法律制度等方面与WTO的原则存在不符之处。在我国银行法律制度中 ,应解决透明度、国民待遇、市场准入、混业经营及网络银行法制等问题。     

中部崛起问题的再思考

我国的中部地区东临我国经济发展速度最快的东部地区，西濒我国资源充裕经济贫困的西部地区，是连接我国东西部地区，对建立我国区域间良好的产业合作交流机制和实行区域经济协调发展战略有着重要作用的核心枢纽要地。对于中部地区来说，如何利用自己的区位优势来选择正确的发展战略，对于加快区内经济的发展以缩小地区经济发展上的差距是十分重要的。本文将利用研制的区域间投入产出模型，从实证角度研究中部与各区域的经济关系，对中部的崛起问题进行再思考。     

我国劳务合作应对俄罗斯入世的思考

作为世贸组织之外的最大经济体,俄罗斯加入世贸组织,形成开放的市场经济,已成为其振兴经济和富国强民的必然选择.2004年10月14日,中俄两国签署了《中华人民共和国与俄罗斯联邦关于俄罗斯加入世贸组织的市场准入协议》,这项协议有助于两国的产品与服务进入彼此的市场,并在WTO贸易规则下解决彼此的分歧并且展开战略协作,从而进一步提升两国经贸合作水平.     

对我国城市社区福利建设中几个相关问题的探讨

为解决传统社会福利制度运行中的诸多问题;为应对社会转型引发的社会福利供给与群众需求之间的矛盾;为营造构建和谐中国的良好社会环境,城市社区福利制度建设显得尤为重要和紧迫。但是就当前我国城市社区福利建设的现状来看,由于受到体制、观念、资金等多种因素的影响,它还面临着依托载体薄弱、发展后劲乏力、国家责任模糊、硬件设施配置不合理等诸多难题。因此,探讨和解决这些问题对于推进中国城市社区福利建设,无疑具有重要的理论价值和实践意义。