Learning,information processing and order submission in limit order markets

By introducing a genetic algorithm learning with a classifier system into a limit order market, this paper provides a unified framework of microstructure and agent-based models of limit order markets that allows traders to determine their order submission endogenously according to market conditions. It examines how traders process and learn from market information and how the learning affects limit order markets. It is found that, measured by the average usage of different group of market information, trading rules under the learning become stationary in the long run. Also informed traders pay more attention to the last transaction sign while uninformed traders pay more attention to technical rules. Learning of uninformed traders improves market information efficiency, but not necessarily when informed traders learn. Opposite to the learning of informed traders, learning makes uninformed traders submit less aggressive limit orders and more market orders. Furthermore private values can have significant impact in the short run, but not in the long run. One implication is that the probability of informed trading (PIN) is positively related to the volatility and the bid-ask spread.     

The impact of individual investor trading on information asymmetry in the Korean stock market

This paper examines the impact of individual investor trading on information asymmetry in the market. In particular, we examine the relationship between the trading volume by individual investors and the corresponding bid-ask spread in the Korean stock market, where the majority of the trading activity is driven by individual investors and therefore information asymmetry can be evident. We find that high trading activity by individual investors increases the bid-ask spread in a short investment horizon, suggesting that individual investors, as uninformed and unsophisticated traders, amplify the degree of information asymmetry in the market through trading.     

Anomalies in emerging markets: The case of Mexico

In this article we explore the relationship between 19 of the most common anomalies reported for the US market and the cross-section of Mexican stock returns. We find that 1-month stock returns in Mexico are robustly predicted only by 3 of the 19 anomalies: momentum, idiosyncratic volatility, and the lottery effect. Momentum has a positive relation with future 1-month returns, while idiosyncratic volatility and the lottery effect have a negative relation. For longer horizons of 3 and 6 months, only the 3 most important factors in the US market predict returns: size, book-to-market, and momentum.     

The effect of earnings forecast precision on firm value and insider trading under voluntary disclosure in Taiwan

Taiwan changed its earnings forecast policy from mandatory to voluntary disclosure in 2005. In this study, the inferences of voluntary earnings forecast are examined based on forecasts issued by listed firms. This study suspects that insiders have a temptation to strategically manipulate financial forecast information to influence markets and thus receive extra rents. Under the new earnings forecast disclosure policy, the number of disclosing firm decreases but the precision of earnings forecast increases. The empirical result from dynamic panel data evidences the forecast error of voluntary disclosure may negatively impact firm values. Furthermore, there is a positive relationship between insiders＇ trading profit and manipulation of earnings forecasts. As volatility in insider manipulation increases, it is difficult for the investors to predict the real intention of insiders, and insiders may achieve greater benefits from trading. This study also observes that many listed companies hold investor conferences to provide earnings guidance in Taiwan. The reason may be that investor conference is more flexible and has less forecast error cost than the formal financial forecast. This study provides important insights into earnings forecast policy in emerging markets. The competent authority should improve corporate governance and develop monitoring functions to abate forecast manipulation.     

Models of optimal contract in lending: Evaluating the impact of diversified versus focused policies on riskiness of borrower base

Empirical studies on bank lending policies have offered contradictory results regarding the impact of each of the two distinct lending policies of focused and diversification on riskiness of lender’s borrower base. This study first constructs a general model of contracts for lending under asymmetric information and characterizes the equilibrium outcomes under each of the two lending policies. It then demonstrates that the relative preferences of borrower groups towards bank loan plays a key role in determining if a lending policy switch between the two policies increases or decreases the riskiness of the bank’s borrower base. The results offer a rational explanation for the existing contradictory results in the empirical literature.     

仓库管理信息系统数据结构的合理设计

企业仓库管理信息系统是企业管理信息系统中涉及数据存储量最大、数据处理次数最多和对数据准确性要求最高的系统,其数据文件或数据库结构的设计直接影响系统的处理效率和响应速度。本文以数据结构规范化理论为基础,讨论了企业仓库管理信息系统数据结构的合理设计问题。     

The use of biodata for employee selection: Past research and future directions

Although biodata has been shown to be one of the best predictors of employee performance and turnover, a number of important issues remain unresolved (e.g., how broadly or narrowly should biodata be defined?). This paper has three main objectives. The first objective is to provide a selective but representative review of the research that has been conducted on the use of biodata for employee selection. The second objective is to constructively critique this research. This critique is intended to highlight deficiencies of this research that may limit the conclusions that should be drawn. The paper's third objective is to stimulate important future research on biodata that avoids the limitations of past research.     

A model of vertical integration and investment in generation capacity in electricity markets: The case of the bidding game

The aim of this work is to assess the impact of (partial) vertical integration between generators and retailers on generation capacity choice and its subsequent welfare consequences. We present a framework in which final demand is perfectly inelastic and stochastic. Nevertheless, wholesale demand is elastic because of the existence of outside opportunities (mainly international transmission capacity). The model is a three-stage game. Neither transmission nor retail costs are taken into account.

In the first stage of the game, generators choose capacity only knowing distribution of demand and thus maximizing their expected profit. The second stage of the game represents the competition for market share between retailers in a market where consumers have switching costs. The former face unknown demand and maximize their utility based on two factors: the expected profit and a risk element. Finally, generators submit bid functions to the system operator given known demand and maximizing their profit during the last stage of the game. Retailers and generators interact in the wholesale market, which is cleared by the system operator whose function is to match supply (represented by the bids of the generators) and demand through a system of single price auctions. The wholesale market is the only means to buy and sell energy; there are no bilateral contracts between firms, except if they are vertically integrated.

We compare fully disintegrated and partially vertically integrated structures using a comparative statics approach. In this paper, the analysis will focus on the last stage of the game: the bidding game. We find that partial vertical integration between generators and retailers tends to lower wholesale prices but not unambiguously. Depending on which firm (vertically integrated or disintegrated generator) has installed the higher capacity and depending on level of demand, prices can stay unchanged or even rise.     

Basel III liquidity rules: The implications for bank lending growth in Africa

This paper examines the possible loan growth effect of the Basel III NSFR and LCR requirements in Africa and seeks to determine whether the different regions of the continent are affected differently. The paper also offers what is possibly the first investigation of how the interaction between the performance of loan portfolios and the new Basel III liquidity requirements might shape bank loan growth rates. Using a dataset of 361 commercial banks across 38 African countries over the 2005–2015 period, our static and dynamic panel analyses show that both the NSFR and the LCR exert significant positive effects on bank loan growth rates. The results also reveal that the NSFR reduces the impact of the negative effect of poor performance of loan portfolios on bank loan growth rates. Compliance with the Basel III liquidity rules in Africa is therefore likely to have beneficial impacts on policies intended to increase bank lending in the continent.     

物联网经济下的会计信息使用 ——以海尔共赢增值表为例

会计信息是一项重要的公司治理机制。然而,在新经济与新技术的驱动下,传统业态的模式变革对单纯财会信息的治理功能提出了挑战,管理会计信息日益受到社会各界的关注。从物联网经济的特征分析入手,系统阐述物联网技术驱动下企业商业模式变革对会计信息使用的深刻影响,突出了以海尔共赢增值表为代表的管理会计信息载体在物联网经济下企业内部治理实践中的重要作用,并以此为探索或践行物联网业务模式的众多企业提供一定的借鉴与参考。     

The impact of institutional change on forecast accuracy: A case study of budget forecasting in Washington State

This paper explores the relationship between institutional change and forecast accuracy via an analysis of the entitlement caseload forecasting process in Washington State. This research extends the politics of forecasting literature beyond the current area of government revenue forecasting to include expenditure forecasting and introduces an in-depth longitudinal study to the existing set of cross-sectional studies. Employing a fixed-effects model and ordinary least squares regression analysis, this paper concludes that the establishment of an independent forecasting agency and subsequent formation of technical workgroups improve forecast accuracy. Additionally, this study finds that more frequent forecast revisions and structured domain knowledge improve forecast accuracy.     

Partnerships in Local Government: The case of transition support services for young people with learning disabilities

Abstract

This paper examines a type of partnership that is formed to deliver transition support services for young people with learning disabilities. What makes transition partnerships instructive for partnership research is that they are constituted between statutory and non-statutory agencies across a wide range of service sectors. Transition for this population group with its specific needs has often been described as a ‘wicked problem’. The paper suggests that a split between strategic and operational levels of partnership work adversely affects policy implementation and contributes to the inability of stakeholders to bring about improved outcomes for service users.     

A multi-criteria expert decision system for investment decisions: The case of commercial real estate investments in China

Consistent with the rapid growth of the Chinese economy and its commercial real estate (CRE) market, evaluating CRE investments in China is becoming an important application area where a multi-criteria expert decision system can make a significant contribution. We used a multi-criteria expert decision system to evaluate ten actual CRE investments in China. Based on thirty-one industry experts, we identified key decision factors to consider when evaluating different CRE investment projects and determined their importance weights. We then evaluated whether or not the ten CRE investment projects were considered to be successful, taking into account the unique characteristics of each CRE investment project. We finally compared the evaluations for the ten cases with their actual performance using four different performance indicators. The results showed that the evaluations had at least 87.5% accuracy across four different performance indicators. As probably one of the first systematic and in-depth scholarly studies to evaluate CRE investment projects in China, this study contributes to a better understanding of such evaluations and helps CRE investors evaluate CRE investment projects in a more informed fashion.     

Computing systemic risk using multiple behavioral and keystone networks: The emergence of a crisis in primate societies and banks

What do the behavior of monkeys in captivity and the financial system have in common? The nodes in such social systems relate to each other through multiple and keystone networks, not just one network. Each network in the system has its own topology, and the interactions among the system’s networks change over time. In such systems, the lead into a crisis appears to be characterized by a decoupling of the networks from the keystone network. This decoupling can also be seen in the crumbling of the keystone’s power structure toward a more horizontal hierarchy. This paper develops nonparametric methods for describing the joint model of the latent architecture of interconnected networks in order to describe this process of decoupling, and hence provide an early warning system of an impending crisis.     

A group MCDA method for aiding decision-making of complex problems in public sector: The case of Belo Monte Dam

We review the applications of Multiple Criteria Decision Analysis (MCDA) methods in energy sector and in Environmental Impact Assessment (EIA), finding a gap on the non-use of specific methods that deal with divergent opinions, such as a group MCDA method. This way we suggest the application of a group MCDA method to demonstrate how it may be used for aiding group decision-making in public sector. Aiming at analyzing the aforementioned problem, we simulate the choosing of the construction alternatives of Belo Monte Dam. The power plant project was marked by several conflicts among stakeholders due to the generation of diversified environmental, social and economic impacts. The results show that a group MCDA method may be used to aid public sector in the analysis of complex problems, by dividing them into several parts, allowing, therefore, a transparent decision-making process, as well as to solve gaps in the EIA methods.     

Application of an Analytic Hierarchy Process (AHP) in the GIS interface for suitable fire site selection: A case study from Kathmandu Metropolitan City,Nepal

Kathmandu Metropolitan City, the capital city of Nepal, is prone to different types of disasters. Fire disaster is one of the most recurring in the city. Due to haphazard urbanization, poor fire services, few and old fire engines, insufficient skilled human resources combined with narrow road lanes, clustered households increase the fire vulnerability in Kathmandu Metropolitan City. This paper documents the fire station suitability zonation mapping in Kathmandu Metropolitan City using Group Decision Making Process (GDMP) in the GIS interface. Four different selection criteria factors such as distance from roads, land cover, distance from rivers and population density are considered for analysis and the Analytic Hierarchy Process (AHP) is used for Group Decision Making Process (GDMP). The results reveal that only 13.46% of the study area is highly suitable for fire station location. Hence, the fire station suitability zonation map is trustworthy and can be used for the construction of new fire stations in Kathmandu Metropolitan City.     

The differential effects of work- and family-oriented women-friendly HRM on OC and OCB: the case for single female employees in Hong Kong

Research on women-friendly HRM often presumes working women are homogeneous in their wants and needs of organizational support. Few such studies have examined how female employees of different marital and parental statuses might perceive women-friendly HRM differently. This study categorizes organizational womenfriendliness into two aspects, namely work- and family-oriented, and explores if the two types of organizational support are equally important to single working women who do not have children. The effects of work- and family-oriented women-friendly policies on their job attitudes and organizational behaviours were examined. It was found that workoriented policies had a positive impact on single female employees' level of affective commitment and altruistic behaviours. In contrast, family-oriented policies were positively related to continuance commitment. Neither of the two sets of policies had any effect on compliant behaviours. The results highlight the importance of a careful examination of the demography of the workforce in trying to devise effective women-friendly organizational strategies and HR policies.     

The cultural characteristic of individualism/collectivism: A comparative study of implications for investment in operations between emerging Asian and industrialized Western countries

This study provides insight into the importance of national culture, investment in operations, and performance in the context of emerging Asian economies with a collectivist orientation, which are compared to industrialized Western nations with an individualist orientation. Hypotheses are developed and tested based on the cultural concept of individualism/collectivism, the theory of performance frontiers, and the extent of economic development. More specifically, data collected from 639 manufacturing plants in nine countries are used to first assess the influence of the cultural trait of individualism/collectivism on the extent of investment in structural assets (specifically: physical and capital-based) and infrastructural assets (specifically: team-based methods and improvement programs). Second, the influence of the extent of economic development on these investment factors is measured. Third, evidence is provided supportive of the theory of performance frontiers, and the nature of resource investments in the context of the cultural construct of individualism/collectivism. And fourth, support is provided for the efficacy of this theory, as well as for its compatibility and association with the resource-based view of the firm. Overall, this study makes important contributions to both theory and practice, and provides evidence for the role played by the cultural characteristic of individualism/collectivism in determining plant level investment outcomes in emerging Asian economies.