INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL

We study the cost of shocks, that is, jump risk, with respect to reserve management when the reserve process is formulated as a drift‐switching jump diffusion with a reflecting barrier at 0. Inspired by the Brownian drift switching model, our model results in a more realistic dynamic behavior of international reserves than the buffer stock model. The new model can capture both the jump behavior in reserve dynamics and the leptokurtic feature of the increment distribution which has a higher peak and two asymmetric heavier tails than the normal distribution. Through the selection of an initial distribution that reflects certain steady state behaviors, the reserve process becomes a regenerative process. This selection enables us to derive a closed‐form expression for the total expected discounted cost of managing reserves, thus helping us to numerically find management strategies that minimize costs. The numerical results show that shocks at the reserve level have a significant effect on reserve management strategies and that model misspecification can result in nonnegligible additional costs.     

Evolutionary Stability in the Investment-Opportunism-Retaliation Game

Can economically efficient outcomes be obtained and sustained in the absence of externally enforced property rights? We study the evolutionary properties of a game that exhibits two well-defined Nash equilibria: one generates an inefficient outcome while the other set generates an efficient outcome supported by the potential for retaliation. Although standard forward-looking refinements eliminate the efficient equilibrium, neither equilibrium type satisfies strict evolutionary stability criteria. However, both types of equilibrium define strategies that are neutrally stable, which makes them vulnerable to drift in dynamic environments. We conduct computer simulation experiments in which players learn adaptively via a tournament selection mechanism called sophisticated experimentation. Our simulations demonstrate that while the system spends a disproportionately high proportion of time in the inefficient equilibrium set, the efficient equilibrium is pervasive as the system drifts back and forth between the equilibrium sets, never settling on one or the other.     

Wage drift and minimum contractual wage: Theoretical interrelationship and empirical evidence for Italy

A two-stage wage setting process whose outcomes are identified in the wage drift, at the local level, and in the tariff wage, at the central level, is analyzed. The impact of insider and outsider factors in each stage of the bargaining process is investigated both theoretically and empirically for Italy. In the light of its extreme policy relevance, particular attention is devoted to the analysis of the interrelationships between the wage drift and the tariff wage. Panel data estimation carried out on a sample of 105 Italian three-digit industries and 41 contract groups, reveals that: (1) Insider factors (productivity, inventories and the insider workers power) are important determinants of the wage drift while outsider factors (aggregate wage and unemployment) have a prominent role in determining the tariff wage. (2) Wage drift and tariff wage are closely interrelated.     

R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation into biotech firms

I investigate the effects of R&D progress on the dynamics of stock price volatility and the post announcement drift to provide insights into whether or not and how capital markets react to corporate R&D progress in the context of the biotech industry. I find both stock price volatility and the post announcement drift decrease in R&D progress. More importantly, the decrease is proportional to the increase in the drug development success rate driven by R&D progress. Findings suggest that R&D progress conveys useful risk-relevant information, and plays an important role in explaining stock price volatility change and market anomalies.     

Conditional Persistence of Earnings Components and Accounting Anomalies

We suggest that the failure of investors to distinguish between an earnings component's autocorrelation coefficient (unconditional persistence) and the marginal contribution of that component's persistence to the persistence of earnings (conditional persistence) provides a partial explanation of post‐earnings‐announcement drift, post‐revenue‐announcement drift, and the accrual anomaly. When the conditional persistence of revenue surprises is high (low) relative to its unconditional persistence, both the post‐earnings‐announcement drift and the post‐revenue‐announcement drift are high (low), because investors’ under‐reaction to revenues and earnings is stronger when the persistence of revenue surprises is more strongly associated with the persistence of earnings surprises. Also, the mispricing of accruals decreases substantially when the conditional persistence of accruals is high relative to its unconditional persistence, because investors’ over‐reaction to accruals is mitigated when the persistence of accruals is indeed more strongly associated with the persistence of earnings. Our findings also suggest that financial analysts’ failure to distinguish between unconditional and conditional persistence of revenues and accruals results in more biased revenue and earnings predictions.     

Strategic Drift and Strategic Crisis Management of Organization

The research reports how the choice of the organization behavior--strategic drift can lead to strategic crisis as a form of manifestation of a deepening organizational crisis. The research questions whose solution is sought are connected with the relation of strategic drift--strategic crisis--strategic crisis management, in terms of whether the errors in the process of strategic management lead to organizational crises. The results of the historical analysis of the theoretical research and practice in this field show the interdependence among these processes and the reasons for strategic crisis in support of the concept of strategic crisis management and its implementation in business. The study outlines the evolution of the theory of strategic drift, as well as opinions of various scientists on the types of crises, which are perceived as a uniform classification and universal interpretation of the term ＂strategic crisis＂. The organization＇s ＂strategic drift＂ leads to serious organizational crisis which first form that strategic crisis. Practice shows that the management of market leaders often leads to complacency, choosing strategy stability. Soon, as a result of aggressive strategies or implemented innovations of their competitors, they lose their competitive position.     

基于弹性分形维的开放式基金投资风格漂移研究

投资风格漂移的量化研究是规范基金产品设计与控制基金经理投资行为的关键环节。根据分形维和经济弹性定义,在分析业绩比较基准风格指数对基金业绩影响的基础上,给出了基金投资风格漂移的价格弹性分形维定义,并推导出该分形维数的计算公式:基金对数收益序列与比较基准风格指数对数收益序列的比值。以我国2003年成立的18只开放式基金为研究样本,测算出基金投资风格漂移的价格弹性分形维,实证结果表明:基金投资风格均发生了明显的漂移现象;根据价格弹性分形维与投资风格一致性基准线得到了基金投资风格漂移的阀值,为控制较严重的投资风格漂移现象提供了衡量标准。本文研究方法与结论对完善基金产品创新发行理念、提高基金市场的效率提供了决策依据,并为进一步量化我国开放式基金投资风格漂移风险提供了新的研究思路。     

浅谈任务管理系统中任务调度的实现

本文介绍了任务管理系统在业务管理平台中的应用,阐述了任务管理流程、批量任务队列和任务线程的概念,并侧重分析了任务分析器、队列管理器、任务接收器、任务管理池等各个部分在任务调度实现中所起到的作用,以及任务调度的具体流程和实现方法。     

中国开放式基金风格漂移与业绩相关性的实证研究

本文以中国开放式股票型和债券型基金为样本,通过对基金风格漂移程度的量化,检验了基金风格漂移、资金流波动、基金规模及基金费率与基金业绩之间的关系,结果表明,风格漂移的程度与基金的业绩呈正相关,但与资金流波动不相关;同时,基金规模与基金的业绩呈正相关,与费率呈负相关。     

冻结斜井流砂层段井壁壁后注浆技术的研究与应用

为了提高注浆加固体的承载性能和抗渗性能,本文从井壁壁后注浆技术的角度进行阐述。通过对李家坝煤矿的工程概况和施工现状进行分析,重点研究井壁壁后注浆技术方案与参数,进而为充填井壁、加固围岩提供参考依据。