Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited

The purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5–8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique opportunity to examine extant behavioral hypotheses. Results confirm effects such as disposition and/or conservatism with the mispricing negatively related to past returns, but unrelated to future returns. Finally, an orderly weakening of the negative relation to past returns and behavioral effects is observed, suggesting that such effects will diminish as the market matures. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:218–243, 2009     

Tank failure modes and their consequences

The question of tank failure is addressed for both cryogenic (LFG) and atmospheric (Crude Oil) designs. An analysis of the consequences of an assumed axisymmetric mode of failure of a liquid storage tank is presented in an effort to answer the question.     

A new release of the ASTM CHETAH program for hazard evaluation: Versions for mainframe and personal computer

CHETAH, which stands for the Chemical Thermodynamic and Energy Release Program, was introduced in 1974. Since then, the CHETAH program has been widely used in the chemical industry for hazard evaluation. Although its chief aim is to predict deflagration/detonation potential from molecular structure, it can also be used to estimate heats of reaction, heat capacities, and entropies. One of the limitations of the original program was its rigid, punched card oriented format for data input and the lack of an overall hazard rating derived from the several hazard criteria. A new release of this program alleviates these shortcomings and includes other improvements. The main features of the new release are: 1) a totally interactive front end, 2) an interpreter subroutine which uses sophisticated pattern recognition techniques to combine the four hazard criteria into an overall hazard rating, 3) recognition of certain atomic groupings which are known to be sensitive, 4) correct handling of the symmetry number, and 5) an updated data bank. One of the most important features of this release is its availability in an IBM PC compatible version, making the program accessible to more users.     

AN ARBITRAGE INTERPRETATION OF CLASSICAL OPTIMIZATION

The paper mathematically develops the heuristic idea that the first-order necessary conditions for a classical constrained optimization problem are equivalent to a market being arbitrage-free - with the Lagrange multipliers being the arbitrage-free market prices. The arbitrage notions start with the multiplicative Kirchhoff's Voltage Law and then generalize to matrix algebra. The basic result shows the normalized arbitrage-free «market prices» (the Lagrange multipliers) resulting from a classical constrained optimizaton problem can always be obtained as a ratio of cofactors. The machinery also gives an economic interpretation of Cramer's Rule as a competitive equilibrium condition.     

The contribution of social tourism to sustainable tourism: a case study of seasonally adjusted programmes in Spain

Recent policy from the European Union has attempted to justify social tourism initiatives on the basis that they lead to a more sustainable tourism industry. However, the majority of latest research in the field has been focused on the benefits for participants, with the addition of some evidence on the economic impacts of such programmes on destinations, which have pointed towards sustainability outcomes including: a longer tourism season, more even spread of demand, and longer periods of employment for tourism workers. Yet there is a lack of direct evidence linking such programme to these outcomes. This paper aimed to explore this important disconnect between policy assumptions and evidence-based outcomes through an analysis of the deseasonalising effects of the Spanish social tourism programme for older people. The research found that this programme does have an effect on the seasonal nature of employment and economic activity in most regions studied, but that the huge volume of demand from international tourists in the high seasons masks the quantitative effects in the regions with the highest seasonal concentration of international tourists. Recommendations for policy and practice in sustainable tourism are made that are transferable to many countries and regions that adopt social tourism programmes.