The dynamics of financial stability in complex networks

We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking regulation, the so called Merton-Vasicek model. Economic agents are attracted to each other to exchange `economic energy', forming a network of trades. When the capital level of one economic agent drops below a minimum, the economic agent becomes insolvent. The insolvency of one single economic agent affects the economic energy of all its neighbours which thus become susceptible to insolvency, being able to trigger a chain of insolvencies (avalanche). We show that the distribution of avalanche sizes follows a power-law whose exponent depends on the minimum capital level. Furthermore, we present evidence that under an increase in the minimum capital level, large crashes will be avoided only if one assumes that agents will accept a drop in business levels, while keeping their trading attitudes and policies unchanged. The alternative assumption, that agents will try to restore their business levels, may lead to the unexpected consequence that large crises occur with higher probability

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

Muscle fiber conduction velocity is more affected after eccentric than concentric exercise

It has been shown that mean muscle fiber conduction velocity (CV) can be acutely impaired after eccentric exercise. However, it is not known whether this applies to other exercise modes. Therefore, the purpose of this experiment was to compare the effects of eccentric and concentric exercises on CV, and amplitude and frequency content of surface electromyography (sEMG) signals up to 24 h post-exercise. Multichannel sEMG signals were recorded from biceps brachii muscle of the exercised arm during isometric maximal voluntary contraction (MVC) and electrically evoked contractions induced by motor-point stimulation before, immediately after and 2 h after maximal eccentric (ECC group, N = 12) and concentric (CON group, N = 12) elbow flexor exercises. Isometric MVC decreased in CON by 21.7 ± 12.0% (± SD, p < 0.01) and by 30.0 ± 17.7% (p < 0.001) in ECC immediately post-exercise when compared to baseline. At 2 h post-exercise, ECC showed a reduction in isometric MVC by 24.7 ± 13.7% (p < 0.01) when compared to baseline, while no significant reduction (by 8.0 ± 17.0%, ns) was observed in CON. Similarly, reduction in CV was observed only in ECC both during the isometric MVC (from baseline of 4.16 ± 0.3 to 3.43 ± 0.4 m/s, p < 0.001) and the electrically evoked contractions (from baseline of 4.33 ± 0.4 to 3.82 ± 0.3 m/s, p < 0.001). In conclusion, eccentric exercise can induce a greater and more prolonged reduction in muscle force production capability and CV than concentric exercis

A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc

Managing contested spaces: Public managers, obscured mechanisms and the legacy of the past in Northern Ireland

Societies emerging from ethno-political and inter-communal conflict face a range of complex problems that stem directly from the recent lived experience of bloodshed and injury, militarisation, securitisation and segregation. As institutional agents in such an environment, public managers perform the dual role of both interpreting public policy and implementing it within a politically contested space and place. In this article we address how managers cope with the outworking of ethno-nationalist conflict and peace building within government processes and policy implementation and contend this is a subject of emerging concern within the wider public administration, urban studies and conflict literature. Using data from a witness seminar initiative on the Northern Ireland conflict transformation experience, we explain how public sector managers make sense of their role in post-agreement public management and highlight the importance of three identified mechanisms; ‘bricolage’, ‘diffusion’ and ‘translation’ in the management of public sector organisations and urban spaces in a context of entrenched conflict and an uncertain path to peace

Multivariate FX models with jumps: triangles, Quantos and implied correlation

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives access to market consistent information on dependence between the relevant variables. A successful joint calibration to real market data is presented for the particular case of the Variance Gamma process

What we talk about when we talk about "global mindset": managerial cognition in multinational corporations

Recent developments in the global economy and in multinational corporations have placed significant emphasis on the cognitive orientations of managers, giving rise to a number of concepts such as “global mindset” that are presumed to be associated with the effective management of multinational corporations (MNCs). This paper reviews the literature on global mindset and clarifies some of the conceptual confusion surrounding the construct. We identify common themes across writers, suggesting that the majority of studies fall into one of three research perspectives: cultural, strategic, and multidimensional. We also identify two constructs from the social sciences that underlie the perspectives found in the literature: cosmopolitanism and cognitive complexity and use these two constructs to develop an integrative theoretical framework of global mindset. We then provide a critical assessment of the field of global mindset and suggest directions for future theoretical and empirical research

Internet-based medical education: a realist review of what works, for whom and in what circumstances

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Carry trades and global foreign exchange volatility

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess returns arising from popular strategies that borrow in low-interest rate currencies and invest in high-interest rate currencies, so-called `carry trades'. We find that high interest rate currencies are negatively related to innovations in global FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross-sectional excess returns in five carry trade portfolios. In turn, these results provide evidence that there is an economically meaningful risk-return relation in the FX market. Further analysis shows that liquidity risk also matters for expected FX returns, but to a lesser degree than volatility risk. Finally, exposure to our volatility risk proxy also performs well for pricing returns of other cross sections in foreign exchange, U.S. equity, and corporate bond markets

Problems with Using the Normal Distribution – and Ways to Improve Quality and Efficiency of Data Analysis

Background: The Gaussian or normal distribution is the most established model to characterize quantitative variation of original data. Accordingly, data are summarized using the arithmetic mean and the standard deviation, by x 6 SD, or with the standard error of the mean, x 6 SEM. This, together with corresponding bars in graphical displays has become the standard to characterize variation. Methodology/Principal Findings: Here we question the adequacy of this characterization, and of the model. The published literature provides numerous examples for which such descriptions appear inappropriate because, based on the ‘‘95 % range check’’, their distributions are obviously skewed. In these cases, the symmetric characterization is a poor description and may trigger wrong conclusions. To solve the problem, it is enlightening to regard causes of variation. Multiplicative causes are by far more important than additive ones, in general, and benefit from a multiplicative (or log-) normal approach. Fortunately, quite similar to the normal, the log-normal distribution can now be handled easily and characterized at the level of the original data with the help of both, a new sign, x /, times-divide, and notation. Analogous to x 6 SD, it connects the multiplicative (or geometric) mean x * and the multiplicative standard deviation s * in the form x * x /s*, that is advantageous and recommended. Conclusions/Significance: The corresponding shift from the symmetric to the asymmetric view will substantially increas