Noise Trading and the Management of Operational Risk; Firms,Traders and Irrationality in Financial Markets*

abstract Efficient market models cannot explain the high level of trading in financial markets in terms of asset portfolio adjustment. It is presumed that much of this excessive trading is irrational ‘noise’ trading. A corollary is that there must either be irrational traders in the market or rational traders with irrational aberrations. The paper reviews the various attempts to explain noise trading in the finance literature, concluding that the persistence of irrationality is not well explained. Data from a study of 118 traders in four large investment banks are presented to advance reasons why traders might seek to trade more frequently than financial models predict. The argument is advanced that trades do not simply occur in order to generate profit, but it does not follow that such trading is irrational. Trading may generate information, accelerate learning, create commitments and enhance social capital, all of which sustain traders' long term survival in the market. The paper treats noise trading as a form of operational risk facing firms operating in financial markets and discusses approaches to the management of such risk.     

The dynamics of moonlighting in Russia1

This paper uses the Russian Longitudinal Monitoring Survey (RLMS) to analyse the dynamics of moonlighting by the working‐age population. We find that moonlighting is transitory and that a desire to switch jobs expressed in the past is positively related to moonlighting in the present and to actual job changes in the future. We also find that workers who moonlighted as self‐employed in the past represent 26.5 percent of the new self‐employed. These results suggest that moonlighting in Russia can be seen as an effective incubator for setting up new self‐employed businesses, thereby providing long‐term benefits for the economy.     

Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals

Portfolio value‐at‐risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems. The PVAR estimation method proposed in this article combines generalized Pareto distribution tails with the empirical density function to model the marginal distributions for each asset in the portfolio, and a copula model is used to form a joint distribution from the fitted marginals. The copula–mixed distribution (CMX) approach converges in probability to the true marginal return distribution but is based on weaker assumptions that may be appropriate for the returns data found in practice. CMX is used to estimate the joint distribution of log returns for the Taiwan Stock Exchange (TSE) index and the associated futures contracts on SGX and TAIFEX. The PVAR estimates for various hedge portfolios are computed from the fitted CMX model, and backtesting diagnostics indicate that CMX outperforms the alternative PVAR estimators. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:997–1018, 2006     

自适应调制与编码系统及其在WCDMA中的应用

本文主要讨论自适应调制与编码系统(Adaptive Modulation and Coding system）的原理，介绍AMCS实现的几个关键技术，包括RCPT（速率适配凿孔turbo）码、高阶调制、H-ARQ和MIMO（多输入多输出）系统。介绍了在WCDMA的高速下行分组接入业务（HSDPA）中使用的自适应调制编码机制，并讨论了可能增加的设备复杂度。     

东北亚区域经济合作与中小企业

随着区域经济一体化的迅速发展，中小企业在东北亚区域经济合作中正发挥着日益重要的作用。     

第三部门的发展与政府改革的互动

第三部门的兴起被认为是二战以来的世界社会范围内一场重要的变革,对此,有学者评价认为,“我们是置身于一场全球性的‘社团革命’之中,历史将证明这场革命对20世纪后期世界的重要性丝毫不亚于民族国家的兴起对19世纪后期世界的重要性。”[1]考察建国以来我国第三部门的发展历程     

以人为本建设区队打造煤矿和谐环境

区队是煤矿的基本生产单位,煤矿建设和谐矿区首先应从区队人手。近年来,郑州煤电股份公司超化煤矿面对复杂多变的内外形势,始终贯彻以人为本理念,坚持以科学发展观为指导,围绕区队“人”字做文章,调动了方方面面的积极性,为企业发展奠定了坚实的基础,整个矿区呈现出了职工生活温馨和谐、安全生产稳步发展的好局面。一、深入区队了解人从实际出发谋划工作,按实际需要开展工作,以实际效果检验工     

优秀生英语学习成功之道

本文通过对两位在各自班上学习名列榜首韵优秀学生访谈调查发现，影响他们选择学习英语和学习成绩的主要因素是“喜欢英语”和“就业需要”；学习和使用英语时，他们主要关注语言形式：英语学习70％靠课堂；使用母语翻译策略场合达50％；把握课程学习要求很重要。     

亚洲货币一体化的前景分析

从国际货币体系改革的大趋势——区域性货币一体化入手，分析亚洲货币一体化的现状，认为创造亚洲的共同货币——亚元是亚洲货币一体化的理想选择。并阐述亚洲货币一体化仍然要大致经历欧洲货币一体化所走过的几个阶段。分析中国在东亚货币一体化进程中的地位和作用。     

我国企业重组改革三十年理论研究述评

改革开放三十年来,我国企业重组改革作为企业经营战略的一种重要形式,对提高企业核心竞争力、实现发展大企业和大集团战略、调整产业结构等发挥了重要作用。对指导企业重组改革实践的理论创新进行梳理和述评,对指导未来企业重组的实践具有重要的理论及现实意义。