Estimating profit efficiency among South African retail firms using stochastic frontier approach

This paper analyses profit efficiency of selected retail firms in South Africa over the 2005–2006 period. A stochastic frontier analysis method is used. The 24 retail firms covered are ranked in terms of their efficiency performance over this period. Their efficiencies have also been tracked over time. Approximately 50% of the firms are estimated to have profit efficiency estimates higher than the average estimated for the sampled firms. The top 10 firms are performing significantly better than the average profit efficiency of 0.39. The profit efficiency of the top three firms is more than double the observed average profit efficiency performance of the sampled retail firms. However, the bottom 50% of the retail firms has performed poorly.     

敏捷农产品物流网络可靠性研究

物流网络的可靠性是衡量农产品物流能否及时顺利地完成指定任务的重要指标。在实际网络中每条边的容量都可以取不同的值或失效,状态是随机的。对于易腐性的农产品来说,物流网络的可靠性就更为重要了。文章提出用随机流网络来模拟农产品物流网络,并加上时间的限定来体现敏捷性的要求,用在最小割集基础上的一种简单的方法来评价敏捷农产品物流网络的可靠性。     

双模非高斯噪声背景下级联双稳态随机共振信号检测

针对随机共振(SR)以高斯噪声为研究背景的局限性,为了分析非高斯噪声对级联随机共振的影响且验证在双模非高斯噪声中级联随机共振的降噪及波形整形特性的可靠性,提出了级联双稳随机共振系统在双模非高斯情况下的微弱信号检测方法。输入信号在进行信号检测过程中,首先把概率密度函数作为随机共振现象的衡量指标,然后当系统处于最佳随机共振状态时,分析了非高斯参数、相关时间及噪声强度之间的关系。最后通过仿真证实,与一级SR相比,二级SR的噪声强度和相关时间的可用范围随着非高斯参数的减少不仅会得到增大,而且滤波特性、信号检测效果得到明显提高。     

Cost Efficiency Analysis of Local Commercial Banks in Taiwan

This study uses a stochastic frontier analysis (SFA) model to evaluate the relative cost efficiency of commercial banks in Taiwan in the wake of liberalization. The model is estimated using data made available through Taiwan's Banking Bureau and Financial Supervisory Commission. With data from before and after the 2008 financial crisis, our central result is that banks affiliated with bank holding companies (BHC) have become increasingly more efficient. While unaffiliated banks have generally increased their efficiency, they have not kept pace with respect to efficiency gains. Secondary findings are that, independent of ownership structure, both balance sheet and income statement composition affect efficiency. In particular, bank efficiency increases with growth in loans and capital prices. We also find evidence that labor productivity is a key explanatory factor behind efficiency differences across banks. As a result, a policy recommendation is made that banks invest in maximizing worker productivity. Finally, in addition to the insights gained from this study we contribute to the general literature on both bank efficiency and the use of the SFA model by applying it to new data in a new setting.     

The critical realist conception of open and closed systems

The critical realist (CR) conception of open and closed (O&C) systems is not about systems: it is about (ir)regularities in the flux of events and states of affairs. It has recently been criticised on the grounds that critical realists (CRs) should take on board ideas about the general nature of systems; recognise that genuinely open social systems would be impossible; avoid polarities or dualisms where either there are event regularities and open systems, or there are no event regularities and closed systems and accept partial regularities and partially open systems; and understand that orthodox economics is not based upon event regularities, laws or Humean empiricism. The objective of this paper is to ‘take stock’ of these recent criticisms.     

Equity-linked annuities with multiscale hybrid stochastic and local volatility

In recent times, hybrid underlying models have become an industry standard for the pricing of derivatives and other problems in finance. This paper chooses a hybrid stochastic and local volatility model to evaluate an equity-linked annuity (ELA), which is a sort of tax-deferred annuity whose credited interest is linked to an equity index. The stochastic volatility component of the hybrid model is driven by a fast mean-reverting diffusion process while the local volatility component is given by the constant elasticity of variance (CEV) model. Since contracts of the ELA usually have long maturities over 10 years, a slowly moving factor in the stochastic volatility of stock index is expected to play a significant role in the valuation of the ELA, and thus, it is added to the aforementioned model. Based on this multiscale hybrid model, an analytic approximate formula is obtained for the price of a European option in terms of the CEV probability density function and then the result is applied to the value of the point-to-point ELA. The formula leads to the dependence structure of the ELA price on the fast and slow scale stochastic volatility and the elasticity of variance.     

Cost efficiency in Bangladesh banking: does financial reform matter?

This article estimates the cost efficiency of the commercial banks of Bangladesh in the context of financial reform. Employing the single-stage stochastic frontier analysis (SFA) model, the study uses a unique balanced panel data set comprising bank-level annual data from the dominant commercial banks in Bangladesh for the period 1983–2012. The results show that bank cost has fallen due to financial deregulation. Our results from the data envelopment analysis do not vary significantly that we obtained from the SFA. In addition, the presence of politically linked directors on the bank board has an adverse effect on efficiency. These findings suggest that further reforms aiming at removing all sorts of political influence should continue to ensure competitive environment in order to achieve cost efficiency in the financial sector of the country.     

Second‐Order Discrimination and Generalized Lorenz Dominance

We propose a definition of second‐order discrimination that does not require the reference distribution to first‐order dominate the comparison one, and allows rankings of discrimination patterns when both the reference and the comparison distributions differ. It involves comparing the probabilities that randomly selected individuals in the reference and comparison distributions belong to subgroups having the same cumulative mean income, yields orderings of distributions equivalent to those from generalized Lorenz dominance, and allows orderings of discrimination patterns, partial or complete, across pairs of distributions. We compare discrimination against U.S. seniors (inter‐distributional inequality between seniors and non‐seniors) by ethnicity.     

Are long-run output growth rates falling?

This paper studies the evolution of long-run output and technical progress growth rates in the G-7 countries during the post-war period by considering the concept of the natural rate of growth. We use time-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with the possible endogeneity problem in the econometric models. Our results show a significant decline in long-run growth rates that is not associated with the detrimental effects of the Great Recession, and that the rate of growth of technical progress appears to be behind the slowdown in long-run GDP growth.     

基于傅里叶逆变换的土石混合体模型生成研究

针对土石混合体结构模型内部块石形态过于简单且无法对模型本身参数进行敏感性分析的现状,提出了一种新的土石混合体结构模型生成方法。首先,采用回归分析法建立傅里叶描述因子和块石形状参数之间的函数关系式,并通过傅里叶逆变换法生成具有特定形状的块石轮廓。接着,基于各粒径块石组面积相等的原则,推导出了指定面积级配曲线下各粒径组块石的个数,并利用拟采样法得到各块石对应的面积。再次,根据包围盒相交判定原理等,提出了块石相交判定算法,实现了块石的随机投放。最后,改变土石混合体模型结构参数,如含石量、粒径级配曲线和块石空间方向角等,生成具有特定块石形状的土石混合体随机结构模型并进行可行性验证。验证表明:该法可以重构出具有特定形状特征的块石轮廓,能生成满足计算精度要求的土石混合体随机结构模型,这为后续进行含石量、粒径级配曲线和块石形状等参数对土石混合体材料性能影响规律研究奠定了基础。