Investment strategies in the long run with proportional transaction costs and a HARA utility function

We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the restriction to a utility function with hyperbolic absolute risk aversion (HARA) enable us to evaluate interval investment strategies. It is shown that the optimal interval strategy is also optimal among a wide family of strategies and that it is optimal also in a time changed model in the case of logarithmic utility.     

Pairs trading based on statistical variability of the spread process

This research proposes a new non-parametric approach to pairs trading based on renko and kagi constructions which originated from Japanese charting indicators and were introduced to academic studies by Pastukhov. The method exploits statistical information about the variability of the tradable process. The approach does not find a long-run mean of the process and trade towards it like other methods of pairs trading. The only assumption we need is that the statistical properties of the spread process volatility remain reasonably constant. The theoretical profitability of the method has been demonstrated for the Ornstein–Uhlenbeck process. Tests on the daily market data of American and Australian stock exchanges show statistically significant average excess returns ranging from 1.4 to 3.6% per month and annualized Sharpe ratio from 1.5 to 3.4.     

Performance-weighted ensembles of random forests for predicting price impact

For any large player in financial markets, the impact of their trading activity represents a substantial proportion of transaction costs. This paper proposes a novel machine learning algorithm for predicting the price impact of order book events. Specifically, we introduce a prediction system based on ensembles of random forests (RFs). The system is trained and tested on depth-of-book data from the BATS and Chi-X exchanges and performance is benchmarked using ensembles of other popular regression algorithms including: linear regression, neural networks and support vector regression. The results show that recency-weighted ensembles of RFs produce over 15% greater prediction accuracy on out-of-sample data, for 5 out of 6 timeframes studied, compared with all benchmarks. Feature importance ranking is used to explore the significance of various market features on the price impact, finding them to be highly variable through time. Finally, a novel procedure for extracting the directional effects of features is proposed and used to explore the features most dominant in the price formation process.     

加强医药营销专业实践性教学的思考

医药营销专业是个刚兴起不久的专业,在培养目标、课程体系建设、教学方式等还处在探索阶段.本文通过确定培养应用型人才的目标定位,论证了加强医药营销专业实践性教学的必要性,分析了目前医药营销专业实践性教学的现状,探讨了加强医药营销专业实践性教学的对策.     

‘Taking on almost everyone?’ Migrant and employer recruitment strategies in a booming labour market

This paper explores the recruitment strategies of employers in the Irish Celtic Tiger boom labour market. It explores Irish employers' turn towards immigrants rather than pursuing other strategies such as raising productivity or mobilising alternative sources of labour. It demonstrates that during the boom years a more casualised approach to recruitment was favoured, privileging soft skills and competencies above credentialised skills. Immigrants became the employees of choice, not least because of issues of costs and obedience, but also because they brought new skills, in particular soft skills. Indeed, employers in some sectors developed a categorical preference for migrant workers as they recruited for attitude, work ethic and potential.     

MNC's competitive strategies,experiences, and staffing policies for foreign affiliates

This study investigates the relationship between the strategic role of a multinational corporation's (MNC) foreign affiliates and its international staffing policy. Specifically, this study examines how an MNC's decision on expatriation is affected by strategic roles assigned to foreign affiliates: global integration of activities versus local market seeking. An empirical study is conducted using a sample of 808 foreign affiliates of Japanese firms. The research findings suggest that strategic roles of foreign affiliates alone may not adequately explain the international staffing policies of Japanese MNCs. Rather, we found a significant moderating effect of international as well as host country experience on staffing practices for foreign affiliates. While the staffing policies of MNCs striving for improving global efficiency of their operation are moderated by both international and host country experience, those seeking a specific local market position are influenced only by host country experience.     

Research technology organisations as leaders of R&D collaboration with SMEs: role,barriers and facilitators

Research technology organisations or RTOs have attracted academic interest in the last decade due to their role as technology transfer agents and R&D collaborative leaders for firms and especially for small and medium enterprises (SMEs). Although their role within the diversity of specialised structures in generating R&D for industry in National Innovation Systems is recognised, there are scarce publications in relation to their strategies, performance or characteristic, as leaders of R&D collaboration with SMEs. The aim of this work is to identify the role, barriers and facilitators for RTOs performance as well as to develop a contingency relationship between industry environment, strategy, organisational structure and other factors for successful technology transfer from technology organisations to SMEs. This research is based on a field study conducted on 14 technology organisations based in the Valencia region, working with various industry sectors.     

建构主义视角下的招商外宣英译

吕俊教授提出的建构主义翻译观认为,翻译活动是不同文化间的互动和交流,而不仅仅是语言文本间的转换;其旨在寻求文化间如何成功进行知识的传播与交流。招商外宣英译是指以成功实现招商引资为目的,把与招商有关的各种信息从中文翻译成英文。本文以建构主义翻译观为理论基础,结合招商外宣英译的特点,探讨该理论在招商外宣英译活动中的指导作用。     

基于价值链理论的旅游产业发展分析——以山东沂源为例

旅游业是一个以游客行为为中心的特殊产业,其竞争焦点已从价格转向价值,基于价值链理论分析旅游产业发展具有很强的适用性。山东沂源具有丰富的旅游资源,旅游产业发展初见成效。本丈以产业价值链视角透析沂源旅游,发现其存在旅游产业链价值节点少、价值链过于松散、价值链扩张力小、辅助价值链服务质量低等问题,根据沂源实际情况提出促进旅游产业价值链升级的发展对策。