The Heisenberg picture in the analysis of stock markets and in other sociological contexts

We review some recent results concerning some toy models of stock markets. Our models are suggested by the discrete nature of the number of shares and of the cash which are exchanged in a real market, and by the existence of conserved quantities, like the total number of shares or some linear combination of the cash and the shares. This suggests to use the same tools used in quantum mechanics and, in particular, the Heisenberg picture to describe the time behavior of the portfolio of each trader. We finally propose the use of this same framework in other sociological contexts.     

Portfolio flows and the US dollar–yen exchange rate

This paper investigates the effects of portfolio flows on the US dollar–Japanese yen exchange rate changes over the period 1988:01–2011:04. Using a time-varying transition probability Markov-switching framework, the results suggest that the impact of portfolio flows on the dollar–yen exchange rate changes is state-dependent. In particular, the results show that portfolio inflows from Japan toward the US, more than monetary variables, strengthen the probability of remaining in the dollar–yen appreciation (low volatility) state. Therefore, credit controls on the flows can be used as a policy tool to pursue economic and financial stability.     

Modelling tourism flows through gravity models: a quantile regression approach

Gravity models are widely used to study tourism flows. The peculiarities of the segmented international demand for agritourism in Italy are examined by means of a novel approach: a panel data quantile regression. We characterize the international demand for Italian agritourism with a large data set, by considering data of 33 countries of origin, from 1998 to 2010. Distance and income are the major determinants, but we also found that mutual agreements and high urbanization rates in countries of origin are associated with larger flows of incoming tourists.     

Transatlantic Trade-Offs in the Age of Balanced Budgets and European Monetary Union

We develop a model of monetary and fiscal policies appropriate for considering U.S.-European policy interactions in an era of near-balanced budgets and European monetary union. We study the determinants of policy trade-offs and incentives for central banks and governments across the Atlantic. Smaller, more open economies face more favorable trade-offs, since openness enhances policy effectiveness via the exchange-rate channel. Changes in Europe's monetary arrangements do not affect U.S. trade-offs, although they alter the trade-offs facing European policy-makers. Fiscal trade-offs depend crucially on the extent to which fiscal policy is distortionary. Changes in taxes and spending move both employment and inflation in the desired direction following a worldwide supply shock when spending is financed with distortionary taxes.     

Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances

Abstract

We show that the only coherent distortion risk measure that is consistent with respect to 3-convex order and hence with stochastic dominance of order 3 is the expected value, thus generalizing previous results of Hurlimann and solving a problem posed by Yamai and Yoshiba.     

Free‐riding in multi‐party alliances: The role of perceived alliance effectiveness and peers' collaboration in a research consortium

Research summary : Multi‐party alliances rely on partners' willingness to commit and pool their efforts in joint endeavors. However, partners face the dilemma of how much to commit to the alliance. We shed light on this issue by analyzing the relationship between partners' free‐riding—defined as their effort‐withholding—and their perceptions of alliance effectiveness and peers' collaboration. Specifically, we posit a U‐shaped relationship between partners' subjective evaluations of alliance effectiveness and their free‐riding. We also hypothesize a negative relation between partners' perceptions of the collaboration of peer organizations and their free‐riding. Results from a mixed‐method study—combining regression analysis of primary data on a major inter‐organizational research consortium and evidence from two experimental designs—support our hypotheses, bearing implications for the multi‐party alliances literature. Managerial summary : Free‐riding is a major concern in multi‐party alliances such as large research consortia, since the performance of these governance forms hinges on the joint contribution of multiple partners that often operate according to different logics (e.g., universities, firms, and government agencies). We show that, in such alliances, partners' perceptions have relevant implications for their willingness to contribute to the consortium's shared goals. Specifically, we find that partners free‐ride more—that is, contribute less—when they perceive the effectiveness of the overall alliance to be either very low or very high. Partners also gauge their commitment to the alliance on the perception of the effort of their peers—that is, other organizations similar to them. These findings provide managers of multi‐party alliances with additional levers to motivate partners to contribute fairly to such joint endeavor. Copyright © 2015 John Wiley & Sons, Ltd.     

Pricing options under stochastic volatility: a power series approach

In this paper we present a new approach for solving the pricing equations (PDEs) of European call options for very general stochastic volatility models, including the Stein and Stein, the Hull and White, and the Heston models as particular cases. The main idea is to express the price in terms of a power series of the correlation parameter between the processes driving the dynamics of the price and of the volatility. The expansion is done around correlation zero and each term is identified via a probabilistic expression. It is shown that the power series converges with positive radius under some regularity conditions. Besides, we propose (as in Alós in Finance Stoch. 10:353–365, 2006) a further approximation to make the terms of the series easily computable and we estimate the error we commit. Finally we apply our methodology to some well-known financial models.      

Model for evaluating the environmental sustainability of energy projects

This article focuses on the problem of assessing the environmental sustainability of energy projects. For this purpose an original model, which is based on various indicators that measure the environmental sustainability of energy projects, has been developed. This model, so called index of environmental sustainability of energy projects (IESEP), can be used in scenario comparison, while measuring the effectiveness of the proposed alternatives. Finally, an example of how to use this model is provided by analyzing alternatives to ameliorate the environmental sustainability of a hydroelectric project. In doing so, it is possible to show the usefulness of this model when used as a decision making tool for energy planners.     

Optimal regulation under imperfect enforcement: Permits,tickets, or both?

Economic activity is often regulated through both permits and tickets (subsequent inspections). We study the effectiveness of such policies where corruption and an underground economy make enforcement imperfect. In the theoretical model, asymmetric information justifies regulatory action which is enforced by corruptible bureaucrats. We find that regulation through permits alone is useless when corruption exists, while tickets still offer some benefit. Surprisingly, we also find that a system with both permits and tickets achieves welfare that is higher than that which can be achieved with only tickets—that combining the two mechanisms has an effect that is greater than the “sum of the parts.”