Multiple agency perspective, family control, and private information abuse in an emerging economy

Using a comprehensive sample of listed companies in Hong Kong this paper investigates how family control affects private information abuses and firm performance in emerging economies. We combine research on stock market microstructure with more recent studies of multiple agency perspectives and argue that family ownership and control over the board increases the risk of private information abuse. This, in turn, has a negative impact on stock market performance. Family control is associated with an incentive to distort information disclosure to minority shareholders and obtain private benefits of control. However, the multiple agency roles of controlling families may have different governance properties in terms of investors’ perceptions of private information abuse. These findings contribute to our understanding of the conflicting evidence on the governance role of family control within a multiple agency perspectiv

Reconstructing dynamical networks via feature ranking

Empirical data on real complex systems are becoming increasingly available. Parallel to this is the need for new methods of reconstructing (inferring) the topology of networks from time-resolved observations of their node-dynamics. The methods based on physical insights often rely on strong assumptions about the properties and dynamics of the scrutinized network. Here, we use the insights from machine learning to design a new method of network reconstruction that essentially makes no such assumptions. Specifically, we interpret the available trajectories (data) as features, and use two independent feature ranking approaches -- Random forest and RReliefF -- to rank the importance of each node for predicting the value of each other node, which yields the reconstructed adjacency matrix. We show that our method is fairly robust to coupling strength, system size, trajectory length and noise. We also find that the reconstruction quality strongly depends on the dynamical regime

The signalling channel of Central Bank interventions:modelling the Yen/US dollar exchange rate

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of the central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999--2011 on the yen/US dollar dynamics

Collective Decision Dynamics in the Presence of External Drivers

We develop a sequence of models describing information transmission and decision dynamics for a network of individual agents subject to multiple sources of influence. Our general framework is set in the context of an impending natural disaster, where individuals, represented by nodes on the network, must decide whether or not to evacuate. Sources of influence include a one-to-many externally driven global broadcast as well as pairwise interactions, across links in the network, in which agents transmit either continuous opinions or binary actions. We consider both uniform and variable threshold rules on the individual opinion as baseline models for decision-making. Our results indicate that 1) social networks lead to clustering and cohesive action among individuals, 2) binary information introduces high temporal variability and stagnation, and 3) information transmission over the network can either facilitate or hinder action adoption, depending on the influence of the global broadcast relative to the social network. Our framework highlights the essential role of local interactions between agents in predicting collective behavior of the population as a whole.Comment: 14 pages, 7 figure

Size-Dependent Surface Plasmon Dynamics in Metal Nanoparticles

We study the effect of Coulomb correlations on the ultrafast optical dynamics of small metal particles. We demonstrate that a surface-induced dynamical screening of the electron-electron interactions leads to quasiparticle scattering with collective surface excitations. In noble-metal nanoparticles, it results in an interband resonant scattering of d-holes with surface plasmons. We show that this size-dependent many-body effect manifests itself in the differential absorption dynamics for frequencies close to the surface plasmon resonance. In particular, our self-consistent calculations reveal a strong frequency dependence of the relaxation, in agreement with recent femtosecond pump-probe experiments.Comment: 8 pages + 4 figures, final version accepted to PR

Information and ambiguity: herd and contrarian behaviour in financial markets

“The final publication is available at Springer via http://dx.doi.org/10.1007/s11238-012-9334-3”The paper studies the impact of informational ambiguity on behalf of informed traders on history-dependent price behaviour in a model of sequential trading in nancial markets. Following Chateauneuf, Eichberger and Grant (2006), we use neo-additive capacities to model ambiguity. Such ambiguity and attitudes to it can engender herd and contrarian behaviour, and also cause the market to break down. The latter, herd and contrarian behaviour, can be reduced by the existence of a bid-ask spread.Research in part funded by ESRC grant RES-000-22-0650

Size-dependent Correlation Effects in Ultrafast Optical Dynamics of Metal Nanoparticles

We study the role of collective surface excitations in the electron relaxation in small metal particles. We show that the dynamically screened electron-electron interaction in a nanoparticle contains a size-dependent correction induced by the surface. This leads to new channels of quasiparticle scattering accompanied by the emission of surface collective excitations. We calculate the energy and temperature dependence of the corresponding rates, which depend strongly on the nanoparticle size. We show that the surface-plasmon-mediated scattering rate of a conduction electron increases with energy, in contrast to that mediated by a bulk plasmon. In noble-metal particles, we find that the dipole collective excitations (surface plasmons) mediate a resonant scattering of d-holes to the conduction band. We study the role of the latter effect in the ultrafast optical dynamics of small nanoparticles and show that, with decreasing nanoparticle size, it leads to a drastic change in the differential absorption lineshape and a strong frequency dependence of the relaxation near the surface plasmon resonance. The experimental implications of our results in ultrafast pump-probe spectroscopy are also discussed.Comment: 29 pages including 6 figure

Epidemic processes in complex networks

In recent years the research community has accumulated overwhelming evidence for the emergence of complex and heterogeneous connectivity patterns in a wide range of biological and sociotechnical systems. The complex properties of real-world networks have a profound impact on the behavior of equilibrium and nonequilibrium phenomena occurring in various systems, and the study of epidemic spreading is central to our understanding of the unfolding of dynamical processes in complex networks. The theoretical analysis of epidemic spreading in heterogeneous networks requires the development of novel analytical frameworks, and it has produced results of conceptual and practical relevance. A coherent and comprehensive review of the vast research activity concerning epidemic processes is presented, detailing the successful theoretical approaches as well as making their limits and assumptions clear. Physicists, mathematicians, epidemiologists, computer, and social scientists share a common interest in studying epidemic spreading and rely on similar models for the description of the diffusion of pathogens, knowledge, and innovation. For this reason, while focusing on the main results and the paradigmatic models in infectious disease modeling, the major results concerning generalized social contagion processes are also presented. Finally, the research activity at the forefront in the study of epidemic spreading in coevolving, coupled, and time-varying networks is reported.Comment: 62 pages, 15 figures, final versio

Common Scaling Patterns in Intertrade Times of U. S. Stocks

We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function of intertrade times may be fit by a Weibull distribution; (ii) when appropriately rescaled the probability densities of all companies collapse onto a single curve implying a universal functional form; (iii) the intertrade times exhibit power-law correlated behavior within a trading day and a consistently greater degree of correlation over larger time scales, in agreement with the correlation behavior of the absolute price returns for the corresponding company, and (iv) the magnitude series of intertrade time increments is characterized by long-range power-law correlations suggesting the presence of nonlinear features in the trading dynamics, while the sign series is anti-correlated at small scales. Our results suggest that independent of industry sector, market capitalization and average level of trading activity, the series of intertrade times exhibit possibly universal scaling patterns, which may relate to a common mechanism underlying the trading dynamics of diverse companies. Further, our observation of long-range power-law correlations and a parallel with the crossover in the scaling of absolute price returns for each individual stock, support the hypothesis that the dynamics of transaction times may play a role in the process of price formation.Comment: 8 pages, 5 figures. Presented at The Second Nikkei Econophysics Workshop, Tokyo, 11-14 Nov. 2002. A subset appears in "The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium", editor H. Takayasu (Springer-Verlag, Tokyo, 2003) pp.51-57. Submitted to Phys. Rev. E on 25 June 200