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     

美、德农业社会化服务提供的启示

美国的农业社会化服务主要由三个部分组成：农业公共服务体系、集体农业服务体系和私人农业服务体系。公司＋农场、公司＋农户以及合作供销是美国农业社会化服务的三种形式。德国的农业社会化服务体系在于农业专业合作社组织的成功发展,尤其是健全的农村金融服务体系,由一个具有三级层次结构的分权型组织组成,通过立法和提供一些优惠政策,政府在服务体系中起了重要作用。我国农业社会化服务体系的组成和服务形式与美、德十分相似,在推动农村经济发展方面却有一定差异,美国和德国农业社会化服务的经验对中国农业社会化服务的发展具有重要启示。     

中国金融业分业经营与混业经营研究

实践表明，混业经营有助于增强金融机构的国际竞争力，促进一国经济的发展，目前已成为全球金融业发展的趋势。就我国而言，从长远的角度来看，混业经营是金融业的必然选择，但短期内尚不具备过渡的条件。由于我国已加入WTO，所以目前应抓住机遇，采取相应的对策，为将来混业经营作好准备。     

干预行为——经济法中的“法律行为”

在我国法学界,"法律行为"有两种不同含义,一是民法上的含义,意指意思效果行为。这也是法律行为的原初含义。另一是法理学上的含义,意指具有法律效果的行为。经济法的法律行为应采何意?从相关的论述看,多是在法理学意义上使用的。笔者之见,法律行为应回归其原初含义,而最能反映经济法特征的法律行为就是"干预行为",即公共经济组织的"公意"表示及执行行为,包括宏观调控和市场规制行为。     

简释可持续发展成本

可持续发展观要求我们对成本概念进行正确的理解，已经付出的资源代价是成本，应该付出但尚未付出、迟早要付出的资源代价也应该理解为成本，这是对可持续发展成本理解的基础。可持续发展成本主要是由自然生态成本和人文生态成本构成。重视可持续发展成本核算是优化资源环境的需要、完善国民经济核算体系的需要以及正确计算产品成本的要求。构建可持续发展成本核算体系应从自然生态成本核算体系和人文生态成本核算体系两个子系统进行构建。     

现代就业指导和高等教育教学与大学生就业关系的思考

随着我国社会经济和高等教育的快速发展，毕业生就业工作从工作理念、工作思路、工作内容和方法等方面发生了根本性的变化．同时高等教育的战略和战术的转变，关系到中国经济建设和社会的繁荣发展，涉及到高等教育办学方向的确定、办学理念的更新、办学模式的变革、教学内容与方法的革新和培养途径多样等问题．     

劳动合同法实施对民营企业劳动关系的影响

规范劳动合同,是合理配置劳动力资源,稳定劳动关系,促进社会生产力永续健康发展的重要手段。《劳动合同法》颁布前,由于劳动法及相关的法律规章规定得过于原则,劳动合同制度落实得并不理想,尤其是民营企业存在不少问题。即将生效实施的《劳动合同法》,强化了书面劳动合同形式,扩大了无固定期限劳动合同及经济补偿金的适用,增加了许多法律责任的规定,必将对民营企业劳动关系发挥重大影响,促进稳定规范和谐劳动关系的建立,有力推动和谐社会的建设。     

Financial Development and Economic Growth: Empirical Evidence from Six MENA Countries

This paper examines the causal relationship between financial development and economic growth for six Middle Eastern and North African countries (Algeria, Egypt, Israel, Morocco, Syria, and Tunisia), within a quadvariate vector autoregressive framework. We employ four different measures of financial development and apply the augmented vector autoregression vector (VAR) methodology of Toda and Yamamoto to test for Granger causality. Our empirical results strongly support the hypothesis that finance leads to growth in five out of the six countries. Only in Israel could weak support be found for causality running from economic growth to financial development but no causality in the other direction. These findings suggest the need to accelerate the financial reforms that have been launched since the mid 1980s and to improve the efficiency of these countries’ financial systems to stimulate saving/investment and, consequently, long‐term economic growth.