Technicians, clients, and professional authority: structured interactions and identity formation in technical work

This ethnographic study of technicians in action supplements a structural analysis of technical labour by delineating the distinct occupational identities of different technicians through their framed interactions with their clients and professionals with whom they work. We suggest that educational reform predicated on a structural conception of technicians will fail to redress the impending technical skill shortages.     

Unlacing hypercube percolation: a survey

The purpose of this note is twofold. First, we survey the study of the percolation phase transition on the Hamming hypercube $\{0,1\}^{m}$ obtained in the series of papers (Borgs et al. in Random Struct Algorithms 27:137–184, 2005; Borgs et al. in Ann Probab 33:1886–1944, 2005; Borgs et al. in Combinatorica 26:395–410, 2006; van der Hofstad and Nachmias in Hypercube percolation, Preprint 2012). Secondly, we explain how this study can be performed without the use of the so-called “lace expansion” technique. To that aim, we provide a novel simple proof that the triangle condition holds at the critical probability.     

Scheduling with processing set restrictions: PTAS results for several variants

We consider multiprocessor scheduling to minimize makespan. Each job has a given processing time and in addition, a subset of machines associated with it, also called its processing set. Each job has to be assigned to one machine in its set, thus contributing to the load of this machine. We study two variants of this problem on identical machines, the case of nested processing sets, and the case of tree-hierarchical processing sets. In addition, we consider uniformly related machines with a special case of inclusive processing sets, which has a clear motivation. We design polynomial time approximation schemes for these three variants. The first case resolves one of the open problems stated in the survey by Leung and Li (2008).     

Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed

We use the founding of the Federal Reserve to identify the effects of a lender of last resort. We examine stock return and interest rate volatility during September and October, when markets were vulnerable because of financial stringency from the harvest. Stock volatility fell by 40% and interest rate volatility by more than 70% following the monetary regime change. The drop is insignificant if major panic years are omitted from the analysis, however. Because business cycle downturns occurred in the same year as financial crises, our results suggest that the existence of the Federal Reserve reduced liquidity risk.     

News implied volatility and disaster concerns

We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars, and financial crises. In US postwar data, periods when NVIX is high are followed by periods of above average stock returns, even after controlling for contemporaneous and forward-looking measures of stock market volatility. News coverage related to wars and government policy explains most of the time variation in risk premia our measure identifies. Over the longer 1890–2009 sample that includes the Great Depression and two world wars, high NVIX predicts high future returns in normal times and rises just before transitions into economic disasters. The evidence is consistent with recent theories emphasizing time variation in rare disaster risk as a source of aggregate asset prices fluctuations.     

A scaling limit for utility indifference prices in the discretised Bachelier model

Finance and Stochastics - We consider the discretised Bachelier model where hedging is done on a set of equidistant times. Exponential utility indifference prices are studied for path-dependent...