No-arbitrage under a class of honest times

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit with bounded risk (NUPBR) and additional progressive information generated by a random time. This study complements the one of Aksamit et al. (Finance Stoch. 21:1103–1139, 2017) in which the authors have studied similar topics for the model stopped at the random time, while here we deal with the question of what happens after the random time. Given that the existing literature proves that NUPBR is always violated after honest times that avoid stopping times in a continuous filtration, we propose here a new class of honest times for which NUPBR can be preserved for some models. For these honest times, we obtain two principal results. The first result characterizes the pairs of initial market and honest time for which the resulting model preserves NUPBR, while the second result characterizes honest times that do not affect NUPBR of any quasi-left-continuous model (i.e., in which the asset price process has no predictable jump times). Furthermore, we construct explicitly local martingale deflators for a large class of models.     

Market making with minimum resting times

We show how the supply of liquidity in order-driven markets is affected if limit orders (LOs) are forced to rest in the limit order book for a minimum resting time (MRT) before they can be cancelled. The bid-ask spread increases as the MRT increases because market makers (MMs) increase the depth of their LOs to protect them from being picked off by other traders. We also show that the expected profits of the MMs increase when the MRT increases. The intuition is as follows. As the MRT increases, there are two opposing forces at work. One, the longer the MRT, the more likely the LOs are to be filled and, on average, shares are sold at a loss. Two, because the depth of the posted LOs increases, the probability that the LO is picked off by other traders before the end of the MRT decreases. The net effect is that a longer MRT leads to a higher expected profit. We also show that the depth of LOs increases when the volatility of the price of the asset increases. Also, the depth of LOs increases when the arrival rate of market orders increases because it is less likely that LOs will be picked off by the end of the MRT. Finally, our model also makes predictions about the overall liquidity of the market. We show that MMs choose to supply the minimum amount of shares per LO allowed by the exchange because expected profits are maximised when liquidity provided is lowest.     

是信托责任，不是诚实信用责任

诚实信用是我们社会所需要的,对于券商来说,忠于客户不仅需要诚实信用,而且应该是一种责任,是一种信托责任。请看     

How to have an honest conversation about your business strategy

Too many organizations descend into underperformance because they can't confront the painful gap between their strategy and the reality of their capabilities, their behaviors, and their markets. That's because senior managers don't know how to engage in truthful conversations about the problems that threaten the business--and because lower-level managers are afraid to speak up. These factors lie behind many failures to implement strategy. Indeed, the dynamics in almost any organization are such that it's extremely difficult for senior people to hear the unfiltered truth from managers lower down. Beer and Eisenstat present the methodology they've developed for getting the truth about an organization's problems (and the truth is always embedded within the organization) onto the table in a way that allows senior management to do something useful with it. By assembling a task force of the most effective managers to collect data about strategic and organizational problems, the senior team sends a clear message that it is serious about uncovering the truth. Task force members present their findings to the senior team in the form of a discussion. This conversation needs to move back and forth between advocacy and inquiry; it has to be about the issues that matter most; it has to be collective and public; it has to allow employees to be honest without risking their jobs; and it has to be structured. This direct feedback from a handful of their best people moves senior teams to make changes they otherwise might not have. Senior teams that have engaged in this process have made dramatic changes in how their businesses are organized and managed--and in their bottom-line results. Success that begins with honest conversations begets future conversations that further improve performance.     

金融监管要升级

近年来,伴随金融创新而出现的互联网金融等非传统金融机构发展迅猛,由此带来的监管不匹配导致的金融风险也在不断增加。对此,全国政协常委、上海市政协副主席、民建中央副主席周汉民呼吁：金融监管该升级了。     

General equilibrium with heterogeneous participants and discrete consumption times

The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and provides an explicit constructive algorithm for determining the state price density process. The convergence of the algorithm is proven. Interest rates and their behavior are given as a function of economic variables.     

Postnormal times revisited

Postnormal times (PNT) have been characterised by complexity, chaos and contradictions. But PNT theory has come under criticism for (allegedly) suggesting that ‘the world has entered an Omega phase’, using Alliterative Logic, and being western in nature. This paper answers some of the critics of PNT, provides further evidence of postnormal phenomenon, and examines the current trends that are taking us towards a postnormal ‘extended present’. Finally, it explores what PNT implies for futures studies and what it means to ‘be postnormal’.     

Hard markets,hard times: On the inefficiency of the CAT bond market

This study explores the existence of inefficiencies in catastrophe (CAT) bond secondary markets by investigating the impact of sponsor characteristics on the CAT bond premium. We show that the CAT bond market does not satisfy the demand for catastrophe risk transfer efficiently by revealing a significant effect of sponsor-related factors on the CAT bond premium. This inefficiency is particularly surprising given that a CAT bond isolates the insured risk from other sponsor-related risks through a special purpose vehicle. Remarkably, this inefficiency is even present among non-indemnity CAT bonds, which determine the payout through a mechanism that is exogenous to the sponsor. Our findings also reveal that sponsor-related pricing inefficiencies vary over time and are more relevant during hard and neutral phases compared to soft market phases. Among the sponsor-related determinants of the CAT bond premium are the sponsor's tenure, market coverage, rating, credit default swap spread, and his ability to issue innovative “on the run” CAT bonds.     

虚拟化时代来临

由于新业务不断涌现,数据中心虚拟化应运而生。虚拟化和多核技术使得企业可以在现有机房放入更多服务器和存储设备。此外,目前数据中心内部大量的CPU、服务器、存储和网络设备也对机房的电力和制冷管理提出了新的挑战,能源的压力使得数据中心的能源消耗备受关注。     

Welcome to postnormal times

All that was ‘normal’ has now evaporated; we have entered postnormal times, the in-between period where old orthodoxies are dying, new ones have not yet emerged, and nothing really makes sense. To have any notion of a viable future, we must grasp the significance of this period of transition which is characterised by three c's: complexity, chaos and contradictions. These forces propel and sustain postnormal times leading to uncertainty and different types of ignorance that make decision-making problematic and increase risks to individuals, society and the planet. Postnormal times demands, this paper argues, that we abandon the ideas of ‘control and management’, and rethink the cherished notions of progress, modernisation and efficiency. The way forward must be based on virtues of humility, modesty and accountability, the indispensible requirement of living with uncertainty, complexity and ignorance. We will have to imagine ourselves out of postnormal times and into a new age of normalcy—with an ethical compass and a broad spectrum of imaginations from the rich diversity of human cultures.     

商机也产生于智库

中国在“一带一路”战略实施的过程中应把握哪些原则？智库应在其间发挥哪些作用？智库应该为中国企业“走出去”提供哪些切实可行的服务？为此,《国际融资》杂志记者独家专访了全国人大常委会委员、外事委员会副主任委员,中国社会科学院蓝迪国际智库项目专家委员会主席赵白鸽。     

央行廉政文化支撑反腐倡廉工作机制的实践思考

央行廉政文化是通过廉政理念与价值的准则,以信仰的、规范的、环境的、行为的文化表现形式,实现央行廉政文化在履行央行职责过程中的功能与作用。本文着力提出央行廉政文化建设当前和今后一段时期的目标与趋势及实现这一目标的具体构想。     

非常时期见精神——行业抗非典实录

今春以来,一场突如其来的非典疫情席卷我国,横 行肆虐,严重威胁每一个人的身体健康和生命安全,也 打乱了我们正常的工作和生活秩序。在严峻的考验面 前,注册会计师行业、注册资产评估师行业的各级协会、 执业机构和广大从业人员,积极响应党和国家全民防治 非典的号召,与全国人民一道,同心协力,共抗非典,涌 现了许多感人事迹,充分体现了行业的团队精神和凝聚 力,展示了全行业的社会责任意识和奉献精神。 行业协会—关注行业 关爱会员 奉献社会 四月下旬,我国部分地区发生非典疫情后,根据中 央的部署…     

Leading in times of trauma

An employee is diagnosed with cancer or loses a family member unexpectedly. An earthquake destroys an entire section of a city, leaving hundreds dead, injured, or homeless. At time like these, managerial handbooks fail us. After all, leaders can't eliminate personal suffering, nor can they ask employees who are dealing with these crises to check their emotions at the door. But compassionate leadership can facilitate personal as well as organizational healing. Based on research the authors have conducted at the University of Michigan and the University of British Columbia's CompassionLab, this article describes what leaders can do to foster organizational compassion in times of trauma. They recount real-world examples, including a story of personal tragedy at Newsweek, natural disasters that affected Macy's and Malden Mills, and the events of September 11, 2001. During times of collective pain and confusion, compassionate leaders take some form of public action, however small, that is intended to ease people's pain and inspire others to act. By openly demonstrating their own humanity, executives can unleash a compassionate response throughout the whole company, increasing bonds among employees and attachments to the organization. The authors say compassionate leaders uniformly provide two things: a "context for meaning"--creating an environment in which people can freely express and discuss how they feel--and a "context for action"--creating an environment in which those who experience or witness pain can find ways to alleviate their own and others' suffering. A leader's competence in demonstrating and fostering compassion is vital, the authors conclude, to nourishing the very humanity that can make people--and organizations--great.     

Post-normal science in postnormal times

Post-normal science (PNS) was a herald of postnormal times. For Functowicz and Ravetz contemporary issues in which ‘facts are uncertain, values in dispute, stakes high and decisions urgent’ necessitate PNS. PNS deals with the postnormal character of contemporary challenges by bringing the contextualised insights of non-scientific stakeholders to bear through the formulation of ‘extended facts’. However, while the contextual content of ‘extended facts’ caters to the indeterminate character of postnormal issues this remains in tension with an implicit assumption that outcomes reflect the quality of the ‘facts’ informing them. This paper takes the claim that postnormal times involves ‘that we abandon…ideas of ‘control and management” seriously by arguing that science should be the servant of outcomes framed in, primarily, societal terms, rather than the other way around. This argument is illustrated using the example of fashioning an effective response to climate change.     

信息化时代的自助终端

随着银行信息化建设的不断发展，自助交易已经成为现代化商业银行服务客户的主要渠道。自助交易根据是否涉及现金可分为现金自助交易和非现金自助交易两类。其中现金自助交易设备（ATM、CDM、存取款一体机、外币兑换机等）应用已经进入成熟阶段，而非现金自助设备（自助终端）应用还处于发展阶段。本文针对自助终端系统的现状、需求进行分析，并由此对自助终端系统设计、建设、推广进行一些评析和展望。