Monitoring the foreign exchange rate benchmark fix

ABSTRACT

We develop a Manipulation Index (ManIx) that captures the potential manipulation intention of dealers during the World Markets/Reuters (WMR) benchmark (London Close) period at 4 pm London time through a unique algorithm and simulation. The application of this model (using a dataset with dealers’ identities) can identify banks that are prone to potential manipulative behavior. The results concerning the identified banks are validated by the regulatory investigations. Implementation of this algorithm allows regulators better direct their limited resources towards more targeted in-depth investigation.     

Effects of individual resources and team-member exchange on service quality

While workplace resources are generally viewed as positively affecting performance, some studies indicate that not all resources increase performance. This study addresses the controversial disparate effects of workplace resources on performance by exploring functionally classified workplace resources in self-managing service teams and their relative impacts on team service quality. Considering membership dynamics and consequences between members, a field experiment was conducted in a cafeteria, with data collected through a working diary for workplace resources and a customer survey to evaluate service quality. Results suggest that efficacy-resources in self-managing teams should be controlled with caution as they may adversely affect team service quality. Supporting the person–situation interactionism perspective, workplace resources interact dynamically with individual employees and with situations. Esteem-resources were found to increase team service quality, while team-member exchange not only improved team service quality but also moderated the impact of esteem-resources on team service quality.     

Linking performance drivers in production planning and inventory control to process choice

This study investigates how process choice relates to production planning and inventory control decisions. We empirically examine the validity of deductively derived patterns about these types of decisions. More importantly, we look for normative insights by exploring how production planning and inventory control decisions affect operations performance. Our findings show that production line and continuous flow plants use more of a level production strategy, and carry less raw material and work-in-process inventory. The performance drivers for these plants, through which the operations function excels, are effective utilization of equipment, reduced finished goods inventory, and reduced setup down time. To gain forward demand visibility and batching economies, job and batch shops rely much more on backlogs in their planning process. These plants use more of a production chase strategy and position inventory lower in the bills of materials. Four performance drivers for top-performing job and batch shops are to find ways that better anticipate customers' orders, have a more responsive chase strategy, carry less raw material or purchased inventory, and shorten production planning horizon, partly through less reliance on backlogs. It is intriguing that top-performing plants not only do the expected things, given their choice of process, but also excel in selected dimensions—some of which fit the profile normally associated with a different process choice. To monitor and continuously improve operations, evaluation ‘scorecards’ should pay particular attention to performance drivers, which change depending on the plant's process choice.     

Hydrological Drought Assessment in Northwestern Iran Based on Streamflow Drought Index (SDI)

Drought is a natural and worldwide phenomenon that occurs when water availability is significantly below normal levels during a significant period of time and cannot meet demand. This work focused on the hydrologic drought defined by the streamflow drought index (SDI) for overlapping periods of 3, 6, 9 and 12 months at 14 hydrometric stations in the northwest of Iran over the period 1975–2009. It was found that some of the streamflow volume series did not follow the normal distribution. The ability of the log-normal, exponential and uniform probability distributions was examined in order to choose the most suitable distribution, and the log-normal distribution was used to fit the long-term streamflow data. The results of the hydrological drought analysis based on the SDI showed that almost all the stations suffered from extreme droughts during the study period. Additionally, extreme droughts occurred most frequently in the last 12 years from 1997–1998 to 2008–2009.     

Evaluation of suspended load transport rate using transport formulas and artificial neural network models （Case study： Chelchay Catchment）＊

Accurate estimation of sediment load or transport rate is very important to a wide range of water resources projects. This study was undertaken to determine the most appropriate model to predict suspended load in the Chelchay Watershed, northeast of Iran. In total, 59 data series were collected from four gravel bed-rivers and a sand bed river and two depth integrating suspended load samplers to evaluate nine suspended load formulas and feed forward backpropagation Artificial Neural Network (ANN) structures. Although the Chang formula with higher correlation coefficient (r = 0.69) and lower Root Mean Square Error (RMSE = 0.013) is the best suspended load predictor among the nine studied formulas, the ANN models significantly outperform traditional suspended load formulas and show their superior performance for all statistical parameters. Among different ANN structures two models including 4 inputs, 4 hidden and one output neurons, and 4 inputs, 4 and one hidden and one output neurons provide the best simulation with the RMSE values of 0.0009 and 0.001, respectively.     

Towards a resilience management framework for complex enterprise systems upgrade implementation

The lack of knowledge of how resilience management supports enterprise system (ES) projects accounts for the failure of firms to leverage their investments in costly ES implementations. Using a structured-pragmatic-situational (SPS) case study research approach, this paper reports on an investigation into the resilience management of a large utility company as it implemented an ES upgrade. Drawing on the literature and on the case study findings, we developed a process-based resilience management framework that involves three strategies (developing situation awareness, demystifying threats, and executing restoration plans) and four organisational capabilities that transform resilience management concepts into practices. We identified the crucial phases of ES upgrade implementation and developed indicators for how different strategies and capabilities of resilience management can assist managers at different stages of an ES upgrade. This research advances the state of existing knowledge by providing specific and verifiable propositions for attaining a state of resilience, the knowledge being grounded in the empirical reality of a case study. Moreover, the framework offers ES practitioners a roadmap to better identify appropriate responses and levels of preparedness.     

Good governance,innovation, economic growth and the stock market turnover rate

This study is primarily aimed at testing the theory of good governance in the group of eight developing Islamic countries. Using a panel data regression model, we examined the data to determine the relationship between political economy and economic development of eight countries, for the period 2005 to 2014. The results show a significant positive correlation between the rule of law, corruption control with economic growth and stock market turnover rate proxy. The examination through an artificial neural network resulted in a higher determination coefficient and less average standard error. This, in turn, reveals that the fitting power and efficiency of this method is higher than the panel data regression model. Furthermore, the findings of this study suggest that the application of good governance theory calls for more inquiry.     

The reaction of emerging market credit default swap spreads to sovereign credit rating changes

This paper examines the effect of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies’ CDS premiums. We find that positive events have a greater impact on CDS markets in the two-day period surrounding the event, and are more likely to spill over to other emerging countries. Alternatively, CDS markets anticipate negative events, and previous changes in CDS premiums can be used to estimate the probability of a negative credit event. The transmission mechanisms for positive events are the common creditor and competition in trade markets.     

Return generating processes of long-term bonds and measurement of risk: Theory and empirical tests

Using a continuous-time framework, Kazemi (1992) shows that changes in prices of long-term bonds could be perfectly correlated with changes in the representative investor's marginal utility of wealth. Therefore, the equilibrium expected excess return on any security would be proportional to its covariance with changes in prices of long-term bonds. The present paper first extends the above result to a discrete time framework and shows that there are significant differences between the continuous time and discrete time versions of the model. Second, we test an empirical implication of this result; the evidence supports the theoretical model.     

Effect of vegetated-banks on local scour around a wing-wall abutment with circular edges

Failure of bridges due to local scour in the vicinity of bridge abutments is a common occurrence. In this study, experiments under two different channel conditions were conducted to assess the impacts of vegetation on channel banks on local scour around a wing-wall abutment with circular edges. Some experiments were conducted in channel with vegetation on channel banks, and other experiments in channel without vegetation on channel bank. The flow velocity and Reynolds stress distributions in scour holes around a wing-wall abutment with circular edges were compared under these 2 different channel conditions. Results reveal that the vegetated-banks can reduce the time for achieving the equilibrium condition from 17 h to 9 h. Also, vegetated-bank channels can result in a significant decrease in the maximum scour depth from 0.084 m（for bare channel bank） to 0.00032 m. Additionally, around the abutment, vegetated-banks play a significant role in diminishing the Reynolds stress（RS） near the bed and removing negative values in RS distribution by weakening unfavorable pressure gradient and down-flow in the upstream of abutment.