DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING

I analyze the dynamic trading behavior of market participants by developing a bivariate modeling framework for describing the arrival process of buy and sell orders in a limit order book. The model contains an extended autoregressive conditional duration model with a flexible generalized Beta distribution to explain the duration process, combined with a dynamic logit model to capture the traders' order submission strategy. I find that the state of the order book as well as the speed of the order arrival have a significant influence on the order placement, inducing temporal asymmetric market movements.     

Optimal hedge ratios in the presence of common jumps

This study derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk. We find significant common jump components in the British pound spot and futures rates. The out‐of‐sample hedging exercises show that optimal hedge ratios which incorporate information from common jump dynamics substantially reduce daily and weekly portfolio risk. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:801–807, 2010     

For the Motion

The interest rate is one of the most important factors in farmers’ decision-making of borrowing and lending in the informal financial market in China. This paper explores the determinants of the interest rate with microfinance data. Results show that the income disparity, the relationship between borrowers and lenders, the usage of borrowing, and formal credit constraints are important factors affecting interest rates. More importantly, to borrow from those in the higher income hierarchy, farmers have to bear higher interest rates. We attribute this to different social capitals across income groups and higher default risks for the poor. This paper contributes to a better understanding of the informal financial market in rural China and sheds light on the mechanism of higher informal interest rate formation.     

我国西南地区旅游扶贫实施中应注意的若干问题

分析了旅游资源比较丰富的我国西南贫困地区旅游扶贫实施中应该注意的十大问题,包括实现多重目标的有机结合问题、旅游资源保护与开发的有机综合问题、旅游扶贫与小城镇开发建设有机整合问题、旅游扶贫与提升人力资源的有机会融合问题、旅游扶贫与旅游规划结合问题、旅游扶贫与其他扶贫方式结合问题、旅游扶贫理论与旅游扶贫实践结合问题、旅游扶贫的短期性的个别人收益与长期性的多数人受益结合问题、旅游扶贫与其他产业的共同发展结合问题、旅游扶贫和西部大开发结合起来等,为我国西南地区各级政府以及旅游部门有效开展旅游扶贫工作提供新思路。     

Indonesia's economic performance in comparative perspective and a new policy framework for 2049

This is the first paper of a planned ‘Indonesia 2049’ project, which asks how far Indonesia's economy will have developed 100 years after actual political independence in 1949. We compare dimensions of Indonesia's economy with those of two oil exporters (Mexico and Nigeria), three large populous developing economies (China, India and Brazil) and three Southeast Asian neighbours (Malaysia, Thailand and the Philippines). Under Soeharto, Indonesia's economic performance was better than it had been under Soekarno, and above the average of the eight comparator countries, but below that of the East Asian economies. Our view is that Susilo Bambang Yudhoyono's second administration must adopt a new economic policy framework to ensure successful transition to knowledge-based growth. This proposed new framework goes beyond the Washington Consensus of ‘getting prices right’ and ‘getting institutions right’ to include ‘getting the role of science right’ and ‘getting the conception of the reform process right’.     

A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk-Adjusted Performance of AI Trading Algorithms

The majority of existing artificial intelligence (AI) studies in computational finance literature are devoted solely to predicting market movements. In this paper we shift the attention to how AI can be applied to control risk-based money management decisions. We propose an innovative fuzzy logic approach which identifies and categorizes technical rules performance across different regions in the trend and volatility space. The model dynamically prioritizes higher performing regions at an intraday level and adapts money management policies with the objective to maximize global risk-adjusted performance. By adopting a hybrid method in conjunction with a popular neural network (NN) trend prediction model, our results show significant performance improvements compared with both standard NN and buy-and-hold approaches. Copyright © 2014 John Wiley & Sons, Ltd.     

Effects of perceptions on LMX and work performance: Effects of supervisors’ perception of subordinates’ emotional intelligence and subordinates’ perception of trust in the supervisor on LMX and, consequently, performance

There are few studies on how the perception of supervisors by their subordinates contributes to high-quality leader-member exchange (LMX). We thus propose that the trust perception of supervisors by their subordinates can help explain the development of high-quality LMX. Furthermore, the trust perception may interact with supervisor-rated emotional intelligence to influence the quality of LMX, and, consequently, work performance. Using a longitudinal study on a sample of 285 supervisor-subordinate dyads from a manufacturing firm in China, we found that (1) supervisor-rated emotional intelligence of subordinates (Time 1) positively predicts the quality of LMX (Time 2); (2) this relationship is stronger when subordinates highly trust their supervisors (Time 1); (3) LMX (Time 2) positively predicts work performance (Time 3); and (4) LMX (Time 2) fully mediates the interactive effect of emotional intelligence (Time 1) and trust in the supervisor (Time 1) on work performance (Time 3).     

Who is fit to serve? Person–job/organization fit,emotional labor,and customer service performance

This study investigates person–job (P–J) fit and person–organization (P–O) fit perceptions and relates these perceptions to employees' emotional labor and customer service performance. Data from a two‐point, time‐lagged study of 263 employees and 690 customers reveal that both P–J and P–O fit relate positively to deep acting and negatively to surface acting, in accordance with an emotional labor perspective. In addition, P–J and P–O fit are jointly associated with emotional labor, such that the positive link between P–J fit and deep acting is stronger, and the negative link between P–J fit and surface acting is weaker when P–O fit is high. Emotional labor partially mediates the interactive effects of P–J and P–O fit on service interaction quality and customer satisfaction; service interaction quality relates positively to customer satisfaction. These findings have multiple theoretical and practical implications.     

Exchange rate exposure and the use of foreign currency derivatives in the Australian resources sector

In this paper, we provide a re-examination of the exchange rate exposure and foreign currency derivative use by Australian resources firms in the 2006–2009 period which is characterized by increased volatility caused by the global financial crisis. In particular, we consider the interaction of a resources firm's exchange rate risk exposures, foreign currency derivative use and the global financial crisis simultaneously. Conforming to expectations, our results indicate that more companies are significantly exposed to exchange rate risk since the onset of the financial crisis. However, there is a lack of evidence that the use of foreign currency derivative is more effective in alleviating exchange rate exposures during the crisis as opposed to the pre-crisis period.