Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management

The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the Eurosystem’s national central banks, involves a periodic assessment of performance against a common benchmark, controlled by the ECB and subject to revision on a monthly basis. Monetary reward for the best performers is almost entirely absent, and compensation comes mainly as reputational credit following the transmission of the annual report to the Governing Council. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative risk in the second half of the year, in the same way as mutual fund managers. In the dollar case, risk-shifting is asymmetric: the adjustment to ranking is generally reduced or entirely offset if reserve managers have achieved a positive interim performance against the benchmark. Yen reserve managers that rank low show a tendency to increase effort, as proxied by portfolio turnover. We also find that reserve managers who ranked low in the previous year tend to reduce risk significantly. Our evidence is consistent with a reserve managers’ anecdote, according to which they obtain a concave reputational reward within their national central banks, which induces risk aversion and explains the observed low usage of the risk budget. Since reserve managers should have a comparative advantage over the tactical benchmark within a monthly horizon, possible enhancements to the design of the tournament are discussed. These might involve an increased reward for effort and performance by means of a convex scoring system linked to monthly, rather than annual, performance. JEL Classification: G11, E58, D81Delegated portfolio management, effort, Foreign reserves, incentives, tournament

Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management

The investment of the ECB reserves in US dollars and yen involves an annual performance assessment of portfolio managers, located in the Eurosystem’s national central banks. Employing new data on individual portfolios during 2002-2009, we study this peculiar tournament and show the existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative risk in the second half of the year, in the same way as mutual fund managers. In the dollar case the adjustment to ranking is reduced or offset if reserve managers have achieved a positive interim performance against the benchmark. Yen reserve managers that rank low show a tendency to increase effort, as proxied by portfolio turnover. Those who ranked low in the previous year tend to reduce risk significantly. Since reserve managers should have a comparative advantage over the benchmark within a monthly horizon, possible enhancements to the design of the tournament might involve an increased reward for effort and performance by means of a convex scoring system linked to monthly, rather than annual, performance.foreign exchange reserves, tournament, incentives, effort, portfolio management

Graph Variogram: A novel tool to measure spatial stationarity

Irregularly sampling a spatially stationary random field does not yield a graph stationary signal in general. Based on this observation, we build a definition of graph stationarity based on intrinsic stationarity, a less restrictive definition of classical stationarity. We introduce the concept of graph variogram, a novel tool for measuring spatial intrinsic stationarity at local and global scales for irregularly sampled signals by selecting subgraphs of local neighborhoods. Graph variograms are extensions of variograms used for signals defined on continuous Euclidean space. Our experiments with intrinsically stationary signals sampled on a graph, demonstrate that graph variograms yield estimates with small bias of true theoretical models, while being robust to sampling variation of the space.Comment: Submitted to IEEE Global Conference on Signal and Information Processing 2018 (IEEE GlobalSIP 2018), Nov 2018, Anaheim, CA, United States. (https://2018.ieeeglobalsip.org/

Improving classification accuracy of feedforward neural networks for spiking neuromorphic chips

Deep Neural Networks (DNN) achieve human level performance in many image analytics tasks but DNNs are mostly deployed to GPU platforms that consume a considerable amount of power. New hardware platforms using lower precision arithmetic achieve drastic reductions in power consumption. More recently, brain-inspired spiking neuromorphic chips have achieved even lower power consumption, on the order of milliwatts, while still offering real-time processing. However, for deploying DNNs to energy efficient neuromorphic chips the incompatibility between continuous neurons and synaptic weights of traditional DNNs, discrete spiking neurons and synapses of neuromorphic chips need to be overcome. Previous work has achieved this by training a network to learn continuous probabilities, before it is deployed to a neuromorphic architecture, such as IBM TrueNorth Neurosynaptic System, by random sampling these probabilities. The main contribution of this paper is a new learning algorithm that learns a TrueNorth configuration ready for deployment. We achieve this by training directly a binary hardware crossbar that accommodates the TrueNorth axon configuration constrains and we propose a different neuron model. Results of our approach trained on electroencephalogram (EEG) data show a significant improvement with previous work (76% vs 86% accuracy) while maintaining state of the art performance on the MNIST handwritten data set.Comment: IJCAI-2017. arXiv admin note: text overlap with arXiv:1605.0774

Pavlovian Processes in Consumer Choice: The Physical Presence of a Good Increases Willingness-to-Pay

This paper describes a series of laboratory experiments studying whether the form in which items are displayed at the time of decision affects the dollar value that subjects place on them. Using a Becker-DeGroot auction under three different conditions — (i) text displays, (ii) image displays, and (iii) displays of the actual items — we find that subjects' willingness-to-pay is 40-61 percent larger in the real than in the image and text displays. Furthermore, follow-up experiments suggest the presence of the real item triggers preprogrammed consummatory Pavlovian processes that promote behaviors that lead to contact with appetitive items whenever they are available

We, the Judges, and the Environment

This is the text of a speech given at the International Symposium on Environmental Courts and Tribunals, hosted by Pace Law School and the International Judicial Institute for Environmental Adjudication (IJIEA), on April 1, 2011, in White Plains, New York. Any annotations to the text of this speech have been added by the author in connection with its publication in this Special Edition

Laser induced modulation of the Landau level structure in single-layer graphene

We present perturbative analytical results of the Landau level quasienergy spectrum, autocorrelation function and out of plane pseudospin polarization for a single graphene sheet subject to intense circularly polarized terahertz radiation. For the quasienergy spectrum, we find a striking non trivial level-dependent dynamically induced gap structure. This photoinduced modulation of the energy band structure gives rise to shifts of the revival times in the autocorrelation function and it also leads to modulation of the oscillations in the dynamical evolution of the out of plane pseudospin polarization, which measures the angular momentum transfer between light and graphene electrons. For a coherent state, chosen as an initial pseudospin configuration, the dynamics induces additional quantum revivals of the wave function that manifest as shifts of the maxima and minima of the autocorrelation function, with additional partial revivals and beating patterns. These additional maxima and beating patterns stem from the effective dynamical coupling of the static eigenstates. We discuss the possible experimental detection schemes of our theoretical results and their relevance in new practical implementation of radiation fields in graphene physics.Comment: 12 pages, 5 figures. Accepted version for publication in Physical Review

Small Bowel Obstruction After FloSeal Use

The authors present a series of small bowel obstruction after FloSeal use and suggest prompt reexploration if early small bowel obstruction is found after FloSeal use for hemostasis