How do stakeholder interactions influence national food security policy in the Caribbean? The case of Saint Lucia

Increasingly, multi-stakeholder processes have been recognized as being necessary to the development of public policies seeking to promote systemic innovation in response to complex and multidimensional challenges, such as household food security, rural development, and environmental change. Saint Lucia, a small island developing state located in the Caribbean, has been grappling with a wide range of agriculture, food and nutrition security challenges with varying degrees of policy success. Recognizing the significance of the challenge, this paper explores the nature of the stakeholder interactions surrounding the development of Saint Lucia’s 2009–2015 National Agricultural Policy and considers some of the implications for food and agriculture-related policy outcomes. Results reveal a general lack of supportive conditions for effective multi-stakeholder processes, including low stakeholder participation levels, conflicting roles of different forms of social capital in the interactions between stakeholders, and missing “boundary” organizations capable of facilitating a transition towards more flexible and adaptive institutions, enhanced knowledge exchange and learning, and greater trust among stakeholders in the policy network. Future avenues for research and development are subsequently identified.     

Towards a geography of tourism

This paper traces the development of geographical interest in tourism during the past half century and examines the range and scope of the geography of tourism. The available literature is reviewed and suggestions are made regarding possible research aveneus and theoretical developments. Six major areas of interest are identified: spatial aspects of supply, spatial aspects of demand, the geography of resorts, patterns of movements and flows, the impact of tourism, and models of tourist space. Through an emphasis on spatial interaction an attempt is made to provide some cohesion and synthesis for this body of knowledge which constitutes the basis of the geography of tourism.     

Quantification of the high level of endogeneity and of structural regime shifts in commodity markets

We propose a “reflexivity” index that quantifies the relative importance of short-term endogeneity for several commodity futures markets (corn, oil, soybean, sugar, and wheat) and a benchmark equity futures market (E-mini S&P 500), from mid-2000s to October 2012. Our reflexivity index is defined as the average ratio of the number of price moves that are due to endogenous interactions to the total number of all price changes, which also include exogenous events. It is obtained by calibrating the Hawkes self-excited conditional Poisson model on time series of price changes. The Hawkes model accounts simultaneously for the co-existence and interplay between the exogenous impact of news and the endogenous mechanism by which past price changes may influence future price changes. Our robustness tests show that our index provides a ‘pure’ measure of endogeneity that is independent of the rate of activity, order size, volume or volatility. We find an overall increase of the reflexivity index since the mid-2000s to October 2012, which implies that at least 60–70 percent of commodity price changes are now due to self-generated activities rather than novel information, compared to 20–30 percent earlier. While our reflexivity index is defined on short-time windows (10–30 min) and thus does not capture long-term memory, we discover striking coincidence between its dynamics and that of the price hikes and abrupt falls that developed since 2006 and culminated in early 2009.     

Computing the finite-time expected discounted penalty function for a family of Lévy risk processes

Ever since the first introduction of the expected discounted penalty function (EDPF), it has been widely acknowledged that it contains information that is relevant from a risk management perspective. Expressions for the EDPF are now available for a wide range of models, in particular for a general class of Lévy risk processes. Yet, in order to capitalize on this potential for applications, these expressions must be computationally tractable enough as to allow for the evaluation of associated risk measures such as Value at Risk (VaR) or Conditional Value at Risk (CVaR). Most of the models studied so far offer few interesting examples for which computation of the associated EDPF can be carried out to the last instances where evaluation of risk measures is possible. Another drawback of existing examples is that the expressions are available for an infinite-time horizon EDPF only. Yet, realistic applications would require the computation of an EDPF over a finite-time horizon. In this paper we address these two issues by studying examples of risk processes for which numerical evaluation of the EDPF can be readily implemented. These examples are based on the recently introduced meromorphic processes, including the beta and theta families of Lévy processes, whose construction is tailor-made for computational ease. We provide expressions for the EDPF associated with these processes and we discuss in detail how a finite-time horizon EDPF can be computed for these families. We also provide numerical examples for different choices of parameters in order to illustrate how ruin-based risk measures can be computed for these families of Lévy risk processes.     

Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube

We propose a novel time-changed Lévy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spanning the financial crisis of 2007–2010. We find that, even during this period, neither market is as fragmented as suggested by the previous literature.     

Computing the Gerber–Shiu function by frame duality projection

Inspired by some works of Kirkby, J. L. [2015. Efficient option pricing by frame duality with the fast Fourier transform. SIAM Journal on Financial Mathematics 6(1), 713–747; 2016. An efficient transform method for Asian option pricing. SIAM Journal on Financial Mathematics 7(1), 845–892], we present a systematic study on effectively computing the Gerber–Shiu function in the Lévy risk model, where the frame duality projection is used for approximation. By introducing an auxiliary function, we provide a smooth extension of the Gerber–Shiu function, which has closed-form Fourier transform and is differentiable over the whole real line under some conditions. The objective function is approximated by its frame duality projection onto a Riesz basis, and the projection coefficients are readily computed by the fast Fourier transform algorithm. Error analysis is made and the effectiveness of our results will be further illustrated in the numerical experiments.     

Business models and the managerial sensemaking process

This study examines the managerial sensemaking process around business models. Drawing on fieldwork, this study introduces a model to describe how managerial sensemaking occurs around business model development and use. This study shows that managerial sensemaking around business models occurs through a mutually co‐constituted process, a separate yet shared process, or a combination of them resulting from an interplay between sensemaking and sensegiving activities. To facilitate their sensemaking around business models, managers draw on several schemas. Over time, some schemas underlying business models remain unchanged, while others change in varying degrees.     

Some issues in blockchain for accounting and the supply chain,with an application of distributed databases to virtual organizations

This paper reviews some recent blockchain‐based applications for information capture, distribution and preservation. As part of that review, this paper examines two key concerns with current blockchain designs for accounting and supply chain transactions: data independence and multiple semantic models for the same information distribution problem. Blockchain applications typically integrate database, application and presentation tiers all in the same ledger. This results in a general inability to query information in the ledger and other concerns. Further, since most applications appear to be private blockchain applications, there is a concern of agents needing to accommodate multiple blockchains depending on who their trading partners are and what they request. Finally, this paper uses a distributed database to design a ‘blockchain‐like’ system for virtual organizations.     

Interaction processes in long-term relationships in the metal mining industry: Longitudinal case studies of capital equipment buying

This study investigates the development of the relationships between customers and suppliers of capital equipment in the mining industry. The interorganizational relationships were characterized along three sets of variables: context, task characteristics, and interaction processes. Longitudinal case study research was conducted, and four long-term relationships in the Portuguese metal mining industry were investigated. The domesticated nature of the market, compatibility of partners' objectives and strategies, and the choice of a direct channel are significant driving forces for the establishment and development of these relationships. Well-driven interaction processes were found determinant to relationship development and outcomes. Particularly, the extent of supplier-based adaptations and scope of after-sales agreements are core to relationship development and continuity.     

Luck versus skill over time: time-varying performance in the cross-section of mutual fund returns

ABSTRACT

Using returns histories spanning January 1984 to October 2014 of 5785 actively managed US closed-end equity mutual funds, we address the ‘thorny problems’ highlighted by Fama and French (The Journal of Finance, 2010, vol. 65, p. 1925) that arise due to their resampling procedure. This prevents them from capturing time variation in the parameters of equilibrium asset pricing models. These problems are addressed by combining innovative procedures which allow for testing of multiple break dates on fund-specific parameters along with cross-section bootstraps that remain valid in the presence of time-varying parameters. We find that substantial proportion – 8% – of the estimated versions of the asset pricing model have significant changes in their parameters. The effects of this time variation on the cross-section distribution of the risk-adjusted performance measure are significant and substantially increase centiles of the right tail of this distribution when compared to those produced without time-varying parameters. Our evidence regarding the lack of actively managed US equity mutual funds that generate excess returns is significantly weaker than those of Fama and French but our results do not overturn their pessimistic conclusion regarding the lack of skilled managers. We do find, unlike Fama and French, that managers generating negative returns are just unlucky but have no skill.