Stochastic volatility: A tale of co-jumps,non-normality,GMM and high frequency data

In this article we introduce a linear–quadratic volatility model with co-jumps and show how to calibrate this model to a rich dataset. We apply GMM and more specifically match the moments of realized power and multi-power variations, which are obtained from high-frequency stock market data. Our model incorporates two salient features: the setting of simultaneous jumps in both return process and volatility process and the superposition structure of a continuous linear–quadratic volatility process and a Lévy-driven Ornstein–Uhlenbeck process. We compare the quality of fit for several models, and show that our model outperforms the conventional jump diffusion or Bates model. Besides that, we find evidence that the jump sizes are not normally distributed and that our model performs best when the distribution of jump-sizes is only specified through certain (co-) moment conditions. Monte Carlo experiments are employed to confirm this.     

The paradoxes of risk management in the banking sector

This paper uses empirical evidence to examine the operational dynamics and paradoxical nature of risk management systems in the banking sector. It demonstrates how a core paradox of market versus regulatory demands and an accompanying variety of performance, learning and belonging paradoxes underlie evident tensions in the interaction between front and back office staff in banks. Organisational responses to such paradoxes are found to range from passive to proactive, reflecting differing organisational, departmental and individual risk culture(s), and performance management systems. Nonetheless, a common feature of regulatory initiatives designed to secure a more structurally independent risk management function is that they have failed to rectify a critical imbalance of power - with the back office control functions continuing to be dominated by front office trading and investment functions. Ultimately, viewing the 'core' of risk management systems as a series of connected paradoxes rather than a set of assured, robust practices, requires a fundamental switch in emphasis away from a normative, standards-based approach to risk management to one which gives greater recognition to its behavioural dimensions.     

Transferring knowledge across sub-genres of the ABC implementation literature

In the last decade, a continuous stream of empirical articles has investigated how various implementation process factors (including, top management support, adequate resources, and ABC training) influence ABC implementation success. However, at the same time, a growing number of researchers have criticised this ‘mainstream approach’ for, among other things, neglecting issues of power and politics and for viewing ABC implementations as something inherently positive. Based on Lukka and Granlund's [Lukka, K., Granlund, M., 2002. The fragmented communication structure within the accounting academia: the case of activity-based costing research genres. Acc. Organ. Soc. 27, 165–190] call for communication between various streams of ABC research, the purpose of this paper is to discuss how the ‘mainstream’ implementation literature may benefit from insights made in the politically oriented literature. A key conclusion is that such an analysis not only provides us with enriched explanations of the relatively strong and coherent findings in the ‘mainstream’ ABC implementation literature, but has also the potential to explain ‘unexpected’ and ‘contradictory’ results found in this stream of research. Based on these observations, a number of directions for future research are proposed.     

Regulating B2B online reverse auctions through voluntary codes of conduct

In response to real and perceived abuse by market makers, buyers, and sellers, some industry trade groups representing suppliers have developed voluntary codes of conduct, white papers, and other forms of guidance for online reverse auction participants. The intent of these guidelines is to improve both the reverse auction process and relationships between buyers and sellers. This paper examines the rationale for creating guidelines and codes of conduct, and examines their efficacy in regulating reverse auctions to achieve improved outcomes for market makers, buyers, and sellers. Data from primary and related secondary sources indicate that industry-specific codes of conduct and guidelines have not had a favorable impact.     

基于模糊决策理论的中国外汇储备币种结构研究

借鉴模糊决策理论的满意度概念,从理论上建立外汇储备币种结构选择的一般最优化模型,从实证上模拟在不同隶属函数参数和不同汇率路径假设下的中国外汇储备币种结构,并分析了收益率隶属函数参数和利率对中国外汇储备货币结构的影响.     

Derivatives pricing with marked point processes using tick-by-tick data

I propose to model stock price tick-by-tick data via a non-explosive marked point process. The arrival of trades is driven by a counting process in which the waiting time between trades possesses a Mittag–Leffler survival function and price revisions have an infinitely divisible distribution. I show that the partial-integro-differential equation satisfied by the value of European-style derivatives contains a non-local operator in time-to-maturity known as the Caputo fractional derivative. Numerical examples are provided for a marked point process with conditionally Gaussian and with conditionally CGMY price innovations. Furthermore, the infinitesimal generator of the marked point process derived to price derivatives coincides with that of a Lévy process of either finite or infinite activity.     

采用数据扩展技术在OFDM系统中实现不等错误保护传输

本文提出了采用数据扩展技术在正交频分复用(OFDM)系统中实现不等错误保护(UEP)传输的自适应调制算法.利用原始数据符号传输特性相同的特点,分别研究了以提高信道容量为目标,功率一定,最大化传输速率的不等错误保护UEP算法;以及以用户需求为目标,传输速率一定,最小化总功率的不等错误保护UEP算法.这两种算法均可根据待传输数据的要求,保证不同优先级数据的不同传输质量和不同传输速率.仿真结果表明,最大化传输速率UEP算法可以在速率最大化的同时,保证传输质量要求;最小化总功率UEP算法可以在最小化发射功率的前提下,保证传输质量要求.与传统OFDM系统中相应算法的比较结果可以看出,采用数据扩展技术可以大大降低算法复杂度,减少有关调制参数信息的传输,在实现UEP时,在性能和复杂度之间具有较好的折中,具有较高的实际应用价值.     

"不规则"联动汇率与股价的研究

本研究综述2000年以来的对汇率与股价关系研究的代表性文章,认为即便两者之间存在"不规则"性,但还是可以从"不规则"中寻找出相对规律。这就需要模型设定约束条件。不仅要考虑经济体(或国家)和地区的对外经济的开放度和金融市场的成熟度,而且还考虑汇率波动(风险贴水)与股市涨跌(引起货币需求变化)各自为对方扮演的角色(时间段上)。由于两个市场定价的内生性使得现在的理论模型都处于"过渡性"。未来的希望寄托在汇率的货币主义分析法与跨期国际资产定价模型的融合。在实证分析方面如何突破协整以及向量自回归之类的框框有待新的非线性工具的开发。     

Metamorphosis in hospitality: A tradition of sexual harassment

This study measures the incidence and tolerance of sexual harassment in hospitality in an effort to understand its causes. It examines the tradition of sexual behaviour in hospitality, exacerbated by hierarchical structures, the nature of hospitality work, the characteristics of typical front line workers, customers’ reduced sense of responsibility, and an emphasis on meeting customers’ needs. Customer contact is shown to be a key predictor of harassment, especially for young European women. The typical profiles of hospitality staff and the nature and traditions of the industry are considered important causes of harassment in hospitality.     

低综采工作面远距离供电及供液设计与应用

为了解决低综采工作面设备列车的布置及拉移等问题,设计了远距离供电及供液方案。从设备选择、电压损失及供电安全性等方面校验了远距离供电的可行性,从压力损失及压力脉动等方面校验了远距离供液的可行性。经实际效果检验,1600m远距离供电、1350m远距离供液安全可靠。