A non-arbitrage liquidity model with observable parameters for derivatives

We develop a parameterised model for liquidity effects arising from the trading in an asset. Liquidity is defined via a combination of a trader's individual transaction cost and a price slippage impact, which is felt by all market participants. The chosen definition allows liquidity to be observable in a centralised order-book of an asset as is usually provided in most non-specialist exchanges. The discrete-time version of the model is based on the CRR binomial tree and in the appropriate continuous-time limits we derive various nonlinear partial differential equations. Both versions can be directly applied to the pricing and hedging of options; the nonlinear nature of liquidity leads to natural bid-ask spreads that are based on the liquidity of the market for the underlying and the existence of (super-)replication strategies. We test and calibrate our model set-up empirically with high-frequency data of German blue chips and discuss further extensions to the model, including stochastic liquidity

Putting the Lid on Lobbying: Tariff Structure and Long-Term Growth when Protection is for Sale

It has long been recognized that a country's tariffs are the endogenous outcome of a rent-seeking game whose equilibrium reflects national institutions. Thus, the structure of tariffs across industries provides insights into how institutions, as reflected in tariff policies, affect long-term growth. We start with the commonplace perception among politicians that protection of skill-intensive industries generates a growth-enhancing externality. Modifying the Grossman-Helpman protection for sale model to allow for this, we make two predictions. First, a country with good institutions will tolerate high average tariffs provided tariffs are biased towards skill-intensive industries. Second, there need not be any relationship between average tariffs and good institutions. Using data for 17 manufacturing industries in 59 countries over approximately 25 years, we find that average tariffs are uncorrelated with output growth and that the skill-bias of tariff structure is positively correlated with output growth. We interpret this to mean that countries grow faster if they are able and willing to put a lid on the rent-seeking behaviour of special interest lobby groups. We show that our results are not compatible with explanations that appeal to (1) externalities per se, (2) initial industrial structure that is skewed towards skill-intensive industries, or (3) the effects of broader institutions such as rule of law and control of corruption.

A Novel Method for Epileptic Seizure Detection Using Coupled Hidden Markov Models

We propose a novel Coupled Hidden Markov Model to detect epileptic seizures in multichannel electroencephalography (EEG) data. Our model defines a network of seizure propagation paths to capture both the temporal and spatial evolution of epileptic activity. To address the intractability introduced by the coupled interactions, we derive a variational inference procedure to efficiently infer the seizure evolution from spectral patterns in the EEG data. We validate our model on EEG aquired under clinical conditions in the Epilepsy Monitoring Unit of the Johns Hopkins Hospital. Using 5-fold cross validation, we demonstrate that our model outperforms three baseline approaches which rely on a classical detection framework. Our model also demonstrates the potential to localize seizure onset zones in focal epilepsy.Comment: To appear in MICCAI 2018 Proceeding

New product technology, accumulation, and growth

This paper asks whether new technological capacity for producing and exporting additional products provides incentives for greater capital accumulation, without being fully reflected in a higher rate of total factor productivity (TFP) growth. Using a highly disaggregated data set of each country's trade flows into the United States, the author constructs a direct and independent measure of technological improvements for each country over time based on the number of new product varieties exported to the United States. The author shows, in a panel data setting, that acquiring the technological capacity for producing new products stimulates more rapid capital accumulation in developing countries, even after holding fixed the rate of TFP growth. His findings provide evidence against the alternative view that technological improvements are essentially unimportant: a view based on the findings of Young (1995) and others that instances of spectacular economic growth have been associated with unspectacular rates of TFP growth. The author provides a model to show how an expansion in the technological capacity for producing additional products can lead to more rapid factor accumulation, without necessarily improving measured TFP. His findings suggest that while rapid accumulation of physical and human capital may have characterized the East Asian growth experience, these gains were stimulated by stellar improvements in technological capacity.Economic Theory&Research,Economic Growth,Markets and Market Access,Investment and Investment Climate,Inequality

Religious Movements and the Adoption of New Media: The Internet Used by Hizbut Tahrir Indonesia After Disbanded

This paper aims to examine the religious movement of Hizbut Tahrir Indonesia (HTI) when adopting new media in its movement activities in Indonesia. The research in this paper uses a qualitative method with data collection through online observation of the HTI website, Media Umat www.mediaumat.id. This research found that HTI as a religious movement also adopted the internet in its movement activities just like other religious movements, namely NU and Muhammadiyah. HTI's use of the internet also refutes the argument that the internet is incompatible with religion, which is based more on secularization arguments. The internet in fact provides new opportunities that are positively welcomed by the religious community, which makes it part of its culture according to its needs and interests. This religious response can be seen in HTI's use of the internet which can be categorized into three forms: ideological, polemical and contextual. All these forms of internet use show the positive impact of the internet for religion and the ability of religion to become part of modernity for its interests and needs by adapting the internet as a product of modernity