ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS

In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists a numeraire and an equivalent probability measure for which the normalized (by the numeraire) price processes of traded securities are supermartingales. Also, the tightest arbitrage bounds that can be inferred on the price of a contingent claim without knowing agents'preferences are equal to its largest and smallest expected normalized payoff with respect to the supermartingale measures. In the case where the underlying security price follows a diffusion process and where short selling is possible but costly, we derive partial differential equations that must be satisfied by the arbitrage bounds on derivative securities prices, and we determine optimal hedging strategies. We compute the arbitrage bounds on common securities numerically for several values of the borrowing and short-selling costs and show that they can be quite sharp.     

Benchmarking by State Space Models

We have a monthly series of observations which are obtained from sample surveys and are therefore subject to survey errors. We also have a series of annual values, called benchmarks, which are either exact or are substantially more accurate than the survey observations; these can be either annual totals or accurate values of the underlying variable at a particular month. The benchmarking problem is the problem of adjusting the monthly series to be consistent with the annual values. We provide two solutions to this problem. The first of these is a two-stage method in which we first fit a state space model to the monthly data alone and then combine the results obtained at this stage with the benchmark data. In the second solution we construct a single series from the monthly and annual values together and fit a state space model to this series in a single stage. The treatment is extended to series which behave multiplicatively. The methods are illustrated by applying them to Canadian retail sales sereis.     

Impact of e-procurement: Experiences from implementation in the UK public sector

The advent of the Internet as a business systems platform has been a catalyst for major changes in the operation and status of organizational procurement. Early e-procurement literature forecast significant improvements in procurement costs, an improving status of the purchasing function, and changes to the structure of supply markets. Our study seeks to evaluate the validity of these forecasts through the development of a structural model of the ‘e-procurement effect’. This model is intended to define the dynamics of the e-procurement process in an organization and provide a foundation for a research stream into the transformational effect of e-procurement deployment.

The article presents the evaluation of e-procurement implementation and operation from an 18-month study of e-procurement deployment across nine UK public sector organizations. The article explores five key themes in e-procurement, namely system specification, implementation management, changes to organizational characteristics, changes in total acquisition costs, and changes to governance structures.

Our analysis suggests that the proposed structural model of the e-procurement effect is broadly applicable and that many of the previous claimed benefits in the literature can be realized. We also contend that an important variable for the success of e-procurement adoption is to address the internal service quality attributes of e-procurement processes—a topic which offers significant scope for future research.     

仿真技术在物流配送中的实际应用

为了使物流配送成本降低到最少,现利用仿真技术（extendsim6.0版）来实现物流配送作业中资源的合理利用和优化,从而降低作业成本。通过建立仿真模型,并多次的运行后输出数据,如：平均队长（Ave length）、平均等待时间（AveWait）以及每个资源的有效利用率（Utilization）。对以上数据进行分析和研究进而设计出最优的资源利用及合理分配的方案。     

Did nordic countries recognize the gathering storm of World War II? Evidence from the bond markets

This paper analyzes and compares different ways of assessing how people perceived impending threats of war in the past. Conventional Nordic historiography of World War II claims there were few, if any, people in the Nordic countries who perceived a significantly increased threat of war between 1938 and early 1940. At the same time, historical methods face problems when it comes to capturing the often tacitly held beliefs of a large number of people in the past. In this paper, we analyze these assessments by looking at sudden shifts in sovereign debt yields and spreads in the Nordic bond markets at that time. Our results suggest that Nordic contemporaries indeed perceived significant war risk increases around the time of major war-related geopolitical events. While these findings question some—but not all—of standard Nordic World War II historiography, they also demonstrate the value of analyzing historical market prices to reassess the often tacitly held views and opinions of large groups of people in the past.     

LTE系统中利用信道估计的天线端口数检测算法

长期演进(LTE）系统中使用多输入多输出(MIMO)技术来改善通信质量并提升信道容量。天线端口数通过循环冗余校验（CRC）掩码的方式隐含于物理广播信道（PBCH）中，遍历1、2、4三种天线端口数情况，分别作为PBCH解码配置，以CRC校验通过并且PBCH解码成功作为确定天线端口数的标志，从而造成冗余计算和时延的产生。为此，提出了一种基于信道估计的天线端口数检测算法，利用正交频分复用（OFDM）调制的LTE信号在空口环境中受频偏和时延影响，造成信道估计结果相位的线性累加，再通过线性回归方程的门限匹配，解决天线端口数检测中频偏影响大、计算量过多和盲检等问题。理论分析和仿真结果表明，该算法复杂度低、时延小，且在残余频偏较大时具有较高的正确率。     

投资、结构转型与劳动生产率增长

本文基于中国投资与消费的产业增加值构成差别显著的事实,在多部门一般均衡模型中引入投资的产业构成,研究了投资影响结构转型和劳动生产率增长的经济机制。本文理论模型能够很好拟合中国非农业增加值比重和就业比重的增长趋势。对模型进行的反事实数值模拟表明,中国投资的产业构成变化对结构转型和劳动生产率增长的影响显著,但投资率波动的影响相对较小;不同部门生产投资品的相对技术是影响投资的产业构成变化的主要因素。     

Trade law and trade flows

This paper develops and estimates a model to study the effect of improving the quality of commercial trade law on trade flows. We focus on improvements aimed to privately resolve disputes among trading partners: international commercial arbitration and conciliation. The main novelty of the model is to explicit the balance between the contractual quality of importer and exporter (contractual distance) in an environment with informational frictions (contractual noise). Using a structural gravity estimation with high-dimensional fixed effects, the main contribution of the empirical exercise is to confirm previous results and unravel new traits that align with our theoretical results. Arbitration has a moderate and positive effect on exports that increases (decreases) with the contractual quality of the exporter (importer) and the remoteness of markets. The effects of conciliation are similarly positive, but only for similar trading partners with high levels of income. Results also suggest both domestic trade law reform and international treaties have a positive effect on trade, with a stronger effect of the latter.     

EMU and trade: A PPML re-assessment with intra-national trade flows

This paper examines the EMU effect on trade for the eleven early joiners and Greece relying for the first time on data that include both international and intra-national trade flows, in line with all the microfoundations of the structural gravity model of trade. We find that the overall EMU impact on trade is positive between its members and, specially, for trade between members and non-members. Interestingly, we further show that the effect of the EMU on bilateral trade remarkably differs across countries. For Ireland, Belgium–Luxembourg, Spain, Portugal and Austria, we find robust evidence that EMU has boosted trade both with other members and with third countries, while for Finland, France, Germany, Italy and the Netherlands, the results suggest that only trade with third countries has been enhanced by the EMU. Greece is the only country that shows a negative impact in trade with other EMU members and no effect in trade with non-members. Finally, the results across countries according to the direction of the trade flows (exports versus imports) do not show significant differences in any case.