Contextualising Mobile Presence with Digital Images

A series of Swarm mobile phone prototypes have been developed in response to the user needs identified in a three-year empirical study of young people’s use of mobile phones. The prototypes take cues from user led innovation and provide multiple avatars that allow individuals to define and manage their own virtual identity. This paper briefly maps the evolution of the prototypes and then describes how the pre-defined, color coded avatars in the latest version of the Swarm are being given greater context and personalization through the use of digital images

The Mobile Phone as a Globalising Artefact

This paper presents the findings from a qualitative study of mobile phones and youth culture in Melbourne, Australia. The focus is on how the social dynamic resulting from the use of such communications tools has created a paradigm shift that has changed the nature of inter-human relations. Mobile facilitated interaction is driving a fundamental change in social mores with respect to engagement and commitment, to notions of fluid time versus fixed time and ultimately to urban mobility. Connectivity is becoming central to what it means to have a social identity and users are responding to this by merging bits of data to create their ‘ideal digital self’ through which they communicate socially. This calls into question the nature of ‘digital identity’, indicating it is not only about how much information can be restricted, but rather, what is revealed. While the results are based on a localized study, it is proposed that this phenomenon is happening across societies and that mobile phones themselves are becoming the globalizing icon of youth culture in the early 21st Century

Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality

The authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using data on the SP 500 and the FTALL-Share, it is shown that the US displays infinite degree stochastic dominance over the UK

Bayesian Analysis of the Black-Scholes Option Price

This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option. Expressions for the density of the option price conditional on the sample estimates of volatility and on the asset price respectively, are also derived. Numerical results are presented to compare how the dispersion of the option price changes in the transition from prior to posterior information, where information may be price or sample variance or both

Modeling style rotation: switching and re-switching

The purpose of this paper is to investigate the dynamics and statistics of style rotation based on the Barberis-Shleifer model of style switching. Investors in stocks regard the forecasting of style-relative performance, especially style rotation, as highly desirable but difficult to achieve in practice. Whilst we do not claim to be able to do this in an empirical sense, we do provide a framework for addressing these issues. We develop some new results from the Barberis-Shleifer model which allows us to understand some of the time series properties of style relative price performance and determine the statistical properties of the time until a switch between styles. We apply our results to a set of empirical data to get estimates of some of the model parameters including the level of risk aversion of market participants

Are there bubbles in the art market? The detection of bubbles when fair value is unobservable

The purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices as deviations from fair value. We assess whether it is meaningful to define a fair value of art and conclude that it is very challenging empirically to implement any definition. We then treat fair value as zero in one instance and unobservable in the other case and in both cases provide evidence of bubbles in the art market

Improved testing for the efficiency of asset pricing theories in linear factor models

This paper suggests a refinement of the standard T2 test statistic used in testing asset pricing theories in linear factor models. The test is designed to have improved power characteristics and to deal with the empirically important case where there are many more assets than time periods. This is necessary because the case of too few time periods invalidates the conventional T2. Furthermore, the test is shown to have reasonable power in cases where common factors are present in the residual covariance matrix

The properties of double-blind Dutch auctions in a clearing house; some new results for the Mendelson Model

In this paper, we re-examine Mendelson’s model for the equilibrium price of a double-blind Dutch auction with Poisson-distributed stochastic demand and supply. We present a number of new results. We focus on the various ways that demand and supply cross. We identify four different categories of crossing, extending Mendelson’s results which are based on a single category of crossing. Secondly, conditioning on quantity, we derive the joint distribution of the relevant demand and supply prices associated with such two-sided markets originally described by Bohm-Bawerk (1891). The distributional result is extended to the case where the limit orders on different sides of the market arrive at different rates. Finally, we derive the distributional properties of the price elasticities

Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts

Individuals, endowments and trusts face uncertain lifetimes. When the planning horizon of an entity is stochastic and Pareto distributed, hyperbolic discounting and time-varying consumption rates are optimal. We derive expressions for the optimal rate of consumption (draw-down) from wealth for family trusts facing positive probabilities of extinction at each generation. Using birth statistics for the UK, we compute family extinction probabilities and show that they are well-approximated by a Pareto distribution, hence family trusts will discount hyperbolically. Numerically optimised consumption paths for family trusts with CRRA preferences are decreasing but always higher than for infinitely-lived trusts.family extinction; hyperbolic discounting; inter-temporal choice