Implied volatility surfaces and market activity over time

An impressive body of the literature has investigated the patterns of changes in implied volatilities across strike prices and maturities. Although such studies try to explain the existence of the volatility skew and term structure, they remain silent about the evolution of the volatility surface as time goes by and market variables move. Relying on a technique of signal processing called Independent Component Analysis, we extract volatility modes that account for most of the variations in the shape of the surface. We then relate the magnitude of volatility changes along those modes to market activity.     

The Role of Quantitative and Qualitative Network Effects in B2B Platform Competition

This article aims at investigating how quantitative and qualitative (indirect) network effects impact pricing and trading decisions on a Business‐to‐Business marketplace. Using an original data set collected on MFG.com, one of the most prominent B2B platforms in the U.S.A., we find that the market share of a marketplace depends on both the quantity and quality of suppliers, but that quality effects tend to substitute for quantity effects as the size of the marketplace increases. These results suggest that while the quantity of suppliers on board is crucial during the early stage of a marketplace, supplier quality matters much more in the mature stage. Copyright © 2013 John Wiley & Sons, Ltd.     

Synchronization of Innovation and Vehicle Projects: Proposal of a Management Tool at Renault SAS

The success of a vehicle on the market depends on its price, reliability, and attractiveness; for the latter, innovations are the key elements in the differentiation from competitors. Managing the processes of selecting and integrating innovation projects into vehicle projects is therefore crucial. This article presents a management tool that aims at managing the interplay between innovation projects and vehicle projects. The objectives are to increase and optimize the amount and value of innovation projects integrated into vehicle projects. The tool, called “Profilor,” is based on the concept of intrusiveness, which is presented from a theoretical and empirical point of view.     

The Hidden Structural Features of the Fiscal Rule: A European Saga

This paper addresses the question of the reform of the Stability and Growth Pact (SGP). More and more authors and policymakers are bringing to light the negative impacts of the European deficit rule on the countries and their ability to respond asymmetric economic shocks, and some are asking for a redefinition of the pact. If the focus of the SGP is only fiscal, and two of the biggest countries in Europe have failed to abide by the pact since its implementation, it seems clear that the SGP needs at least a re-examination. Yet, on the contrary, if we introduce into the analytical framework the SGPs impacts on the European Unions structural policies, the conclusions are far different. Abolishing the SGP could hinder the presently up-to-date convergence prospective. This paper proposes a theoretical analysis of the SGP that emphasizes a new feature of the SGP: a strong incentive to structural reforms.The author would like to thank the participants of the International Atlantic Economic Conference in Quebec City (Oct. 16–19, 2003) for their helpful comments, Kenneth Donahue, and two anonymous referees. The usual caveat applies.     

Technical analysis profitability when exchange rates are pegged: A note

Abstract

This note extends earlier results which concluded that generally technical analysis trading rules were profitable when applied to several US dollar exchange rates. These results were linked to the presence of long swings in the dollar series, and here, it is tested whether they still hold in a different setting, with a quasi-fixed exchange rate system. Applying non-parametric and parametric tests to the main European currencies does not allow to confirm, in this case, the profitability of these rules. These results strengthen the likelihood of the hypothesis of a causal link from the exchange rate DGP to the profitability of technical analysis trading rules, as already highlighted in several articles.     

The Pluralist Theory of Ethics Programs Orientations and Ideologies: An Empirical Study Anchored in Requisite Variety

We propose, in this article, a pluralistic theory of ethics programs orientations, empirically derived from the statistical analysis of responses to an ad hoc questionnaire on organizational ethics practices. The results of our research identify six different orientations to ethics programs, corresponding to as many types of organizational ethics practices. This model goes beyond the traditional opposition between a compliance orientation, focused on the regulation of behavior and the detection of deviance, and a values-based orientation, which is said to be more reflective and enabling, and allows for a more sophisticated understanding of the composition of ethics programs. Drawing from the theory of requisite variety, we suggest that these six orientations are not to be considered in opposition but rather as complementary and even synergistic. In doing so, this pluralism has the potential to counter the potential deleterious effects of dominant logics and ideologies in organizations. Our model thus allows for a more empirical analysis of organizational ethics practices and programs and provides a new analytical framework for research and practice in considering the principle of requisite variety in ethics management. This represents, in our opinion, a contribution to the advancement of knowledge and practice in organizational ethics.     

The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

We examine the unconditional distribution of the realized variance of three European stock market indexes obtained from intraday transaction prices. We find that they share common distributional features: a significant mass close to zero, a sharp decrease afterwards and a significant right tail. Their important differences, however, compel us to model them non-parametrically through lognormal kernel estimators. We then move to the analysis of their dependence structure and find strong evidence of asymmetry. Hence, unlike common practice, we resort to non-exchangeable copula models. Such a characterization also allows us to assess the direction of greater contamination among stock market variances.     

Banking on the principles: Compliance with Basel Core Principles and bank soundness

This study finds that banks receive more favorable Moody's financial strength ratings in countries with better compliance with Basel Core Principles related to information provision. The results are robust to controlling for broad indexes of institutional quality, macroeconomic variables, sovereign ratings, and reverse causality. Compliance with other Core Principles does not affect ratings robustly. Measuring bank soundness through Z-scores yields broadly similar results for advanced and emerging markets. Countries aiming to upgrade banking regulation and supervision should consider giving priority to information provision over other elements of the core principles.