Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity.     

360°绩效考核方法研究

通过不同的考评主体对客体进行评价,360°绩效考核能够为企业提供可靠、科学的绩效考核结果.文章在对360°绩效考核方法进行分析的基础上,引用案例,分析了中国企业文化因素对实施360°绩效考核的影响以及在实施过程中建立文化支持体系的重要性.     

Effectiveness of promotional premiums: The moderating role of affective state in different contexts

This research explores the influence of affective state on ad and product judgments for advertising that features promotional offers of high and low price value. Consistent with expectations, Study 1 found that for happy participants, high‐price value premiums generated higher ad believability ratings, which in turn enhanced ad and brand attitudes. For sad participants, however, the positive effects of high‐price value premiums were attenuated due to message believability discounting. It is proposed that the moderating influence of affective state on responses to ads featuring premiums should be more likely to emerge when attention to premiums is high, as in situations where ads feature less important product attributes or when consumers plan to purchase a product. Study 2 found that the interaction between affective state and premium value was significant when ads featured less important product attributes, but not when they featured important product attributes. Study 3 found that the interaction was significant for participants who intended to purchase the product in the near future, but not for those who did not have purchase intentions. © 2009 Wiley Periodicals, Inc.     

Detecting log-periodicity in a regime-switching model of stock returns

Log-periodic precursors have been identified before most and perhaps all financial crashes of the Twentieth Century, but efforts to statistically validate the leading model of log-periodicity, the Johansen–Ledoit–Sornette (JLS) model, have generally failed. The main feature of this model is that log-harmonic fluctuations in financial prices are driven by similar fluctuations in expected daily returns. Here we search more broadly for evidence of any log-periodic variation in expected daily returns by estimating a regime-switching model of stock returns in which the mean return fluctuates between a high and a low value. We find such evidence prior to the two largest drawdowns in the S&P 500 since 1950. However, if we estimate a log-harmonic specification for the stock index for the same time periods, fixing the frequency and critical time according to the results of the regime-switching model, the parameters do not satisfy restrictions imposed by the JLS model.     

基于自适应控制的区域生态经济协调发展构想

借鉴自适应控制理论的基本思想,建立了包括区域生态经济系统、协调发展评价系统、决策机构及调节系统4大基本要素组成的区域生态经济协调发展总体框架,它具有反馈作用,能根据区域生态经济系统的实际情况自动调节和控制其协调状况,并就此提出了区域生态经济管理的新理念,最后给出相应的建议。     

从对冲套利看可转债资产替换

在缺乏卖空机制的环境下，可转债相对价值的实现将主要来源于转债与股票之间的资产替换。尤其是在杠杆放大的资产替代策略下，可转债投资的盈利模式将出现根本性变化，股票价格的波动成为影响策略应用效果的最重要因素。本从对冲套利的角度，通过对等额和杠杆放大资产替换策略的模拟与分析，就资产替换策略的应用环境、杠杆选择与实证效果等问题进行了较为详尽的研究。     

Avoiding arbitrary exclusion restrictions using ratios of reduced-form estimates

We show how to obtain coherent structural-form (SF) exclusion restrictions using the reduced-form (RF) parameter ratios. It will be shown that an over-identified SF corresponds to a group of regressors sharing the same RF ratio value; those regressors should be excluded jointly from the SF. If there is no group structure, then the SF is just-identified; in this case, however, it is no longer clear which regressor should be excluded. Hence, just-identified SF’s are more arbitrary than over-identified SF’s in terms of exclusion restrictions. This is in stark contrast to the notion that the former is less arbitrary than the latter, because the former excludes fewer regressors. We formalize these points, and then suggest to find the number of modes in the estimated RF ratios as a way to find groups in the ratios. For this purpose, an informal graphical method using a kernel nonparametric method and a formal modality test are employed. An empirical example with selling price in a residential real estate market and duration on the market as two endogenous variables is provided. The authors are grateful to the editor and two anonymous referees for their comments