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Articles on this Page
- 12/27/16--17:45: _Speculation and Pow...
- 12/27/16--17:46: _Crisis' Heritage Ma...
- 12/27/16--17:47: _A Proposal to Exten...
- 12/27/16--17:48: _Bayesian Semi-param...
- 12/27/16--17:49: _Understanding the I...
- 12/27/16--17:50: _A Generalized Popul...
- 12/27/16--17:51: _The prevalence of c...
- 12/27/16--22:28: _Securing the Future...
- 12/27/16--22:29: _Securing the Future...
- 12/27/16--22:30: _The AICPA Audit Com...
- 12/27/16--22:31: _The AICPA Audit Com...
- 12/27/16--22:32: _Statement on Auditi...
- 12/27/16--22:33: _Government Auditing...
- 12/27/16--22:34: _Audit Guide: Analyt...
- 12/27/16--22:35: _Audit and Accountin...
- 12/27/16--22:37: _Advertising by Desi...
- 12/28/16--03:37: _The Enduring Adviso...
- 12/28/16--03:38: _Developing Cultural...
- 12/28/16--03:39: _The Empowered Manag...
- 12/28/16--08:26: _The Durability of F...
- 12/27/16--17:45: Speculation and Power Law. (arXiv:1612.08705v1 [q-fin.ST])
- 12/27/16--22:30: The AICPA Audit Committee Toolkit: Private Companies, 2nd Edition
- 12/27/16--22:31: The AICPA Audit Committee Toolkit: Public Companies, 3rd Edition
- 12/27/16--22:33: Government Auditing Standards and Single Audits: Audit Guide
- 12/27/16--22:34: Audit Guide: Analytical Procedures
- 12/27/16--22:35: Audit and Accounting Guide: Employee Benefit Plans
- 12/28/16--08:26: The Durability of First Impressions: Amazing Findings
It is now well established empirically that financial price changes are
distributed according to a power law, with cubic exponent. This is a
fascinating regularity, as it holds for various classes of securities, on
various markets, and on various time scales. The universality of this law
suggests that there must be some basic, general and stable mechanism behind it.
The standard (neoclassical) paradigm implies no such mechanism. Agent-based
models of financial markets, on the other hand, exhibit realistic price
changes, but they involve relatively complicated, and often mathematically
intractable, mechanisms. This paper identifies a simple principle behind the
power law: the feedback intrinsic to the very idea of speculation, namely
buying when one expects a price rise (and selling when one expects a price
fall). By this feedback, price changes follow a random coefficient
autoregressive process, and therefore they have a power law by Kesten theorem.
This paper intends to present the opportunities emerging for the national
economy, out of the financial crisis. In particular the management of those,
which arise from the commercial real estate owned property sector, defined by
the author as crisis heritage management. On one hand, as real estate property
prices are subject of wide fluctuations, the longer possession of such assets
can seriously impact the financial condition of the already shattered financial
institutions, but on the on other - with the help of professional and proactive
management, and the right kind of attitude by all the stakeholders, the
heritage left out of the financial collapse, can not only help stabilize the
system - bringing liquidity into it, but can also support its healthy corporate
governance in the long-term. The properties themselves (business buildings,
warehouses, retail-and-office spaces), being an object of optimization of
maintenance costs, re-engineering, intensive marketing, as a result of the
crisis, can serve as a solid base for number of new and profitable business and
investment opportunities, described in the article, as a proof of the healing
effect of the financial crisis and the second chance it gives.
Expected utility theory (EUT) is widely used in economic theory. However, its
subjective probability formulation, first elaborated by Savage, is linked to
Ellsberg-like paradoxes and ambiguity aversion. This has led various scholars
to work out non-Bayesian extensions of EUT which cope with its paradoxes and
incorporate attitudes toward ambiguity. A variant of the Ellsberg paradox,
recently proposed by Mark Machina and confirmed experimentally, challenges
existing non-Bayesian models of decision-making under uncertainty. Relying on a
decade of research which has successfully applied the formalism of quantum
theory to model cognitive entities and fallacies of human reasoning, we put
forward a non-Bayesian extension of EUT in which subjective probabilities are
represented by quantum probabilities, while the preference relation between
acts depends on the state of the situation that is the object of the decision.
We show that the benefits of using the quantum theoretical framework enables
the modeling of the Ellsberg and Machina paradoxes, as the representation of
ambiguity and behavioral attitudes toward it. The theoretical framework
presented here is a first step toward the development of a `state-dependent
non-Bayesian extension of EUT' and it has potential applications in economic
A new model framework called Realized Conditional Autoregressive Expectile
(Realized-CARE) is proposed, through incorporating a measurement equation into
the conventional CARE model, in a manner analogous to the Realized-GARCH model.
Competing realized measures (e.g. Realized Variance and Realized Range) are
employed as the dependent variable in the measurement equation and to drive
expectile dynamics. The measurement equation here models the contemporaneous
dependence between the realized measure and the latent conditional expectile.
We also propose employing the quantile loss function as the target criterion,
instead of the conventional violation rate, during the expectile level grid
search. For the proposed model, the usual search procedure and asymmetric least
squares (ALS) optimization to estimate the expectile level and CARE parameters
proves challenging and often fails to convergence. We incorporate a fast random
walk Metropolis stochastic search method, combined with a more targeted grid
search procedure, to allow reasonably fast and improved accuracy in estimation
of this level and the associated model parameters. Given the convergence issue,
Bayesian adaptive Markov Chain Monte Carlo methods are proposed for estimation,
whilst their properties are assessed and compared with ALS via a simulation
study. In a real forecasting study applied to 7 market indices and 2 individual
asset returns, compared to the original CARE, the parametric GARCH and
Realized-GARCH models, one-day-ahead Value-at-Risk and Expected Shortfall
forecasting results favor the proposed Realized-CARE model, especially when
incorporating the Realized Range and the sub-sampled Realized Range as the
realized measure in the model.
This paper investigates the impact of dark pools on price discovery (the
efficiency of prices on stock exchanges to aggregate information). Assets are
traded in either an exchange or a dark pool, with the dark pool offering better
prices but lower execution rates. Informed traders receive noisy and
heterogeneous signals about an asset's fundamental. We find that informed
traders use dark pools to mitigate their information risk and there is a
sorting effect: in equilibrium, traders with strong signals trade in exchanges,
traders with moderate signals trade in dark pools, and traders with weak
signals do not trade. As a result, dark pools have an amplification effect on
price discovery. That is, when information precision is high (information risk
is low), the majority of informed traders trade in the exchange hence adding a
dark pool enhances price discovery, whereas when information precision is low
(information risk is high), the majority of the informed traders trade in the
dark pool hence adding a dark pool impairs price discovery. The paper
reconciles the conflicting empirical evidence and produces novel empirical
predictions. The paper also provides regulatory suggestions with dark pools on
current equity markets and in emerging markets.
Measures of wealth and production have been found to scale superlinearly with
the population of a city. Therefore, it makes economic sense for humans to
congregate together in dense settlements. A recent model of population dynamics
showed that population growth can become superexponential due to the
superlinear scaling of production with population in a city. Here, we
generalize this population dynamics model and demonstrate the existence of
multiple stable equilibrium points, showing how population growth can be
stymied by a poor economic environment. This occurs when the goods and services
produced by the city become less profitable due to a lack of diversification in
the city's economy. Then, relying on critical slowing down signals related to
the stability of an equilibrium point, we present an algorithm for engineering
regime shifts such that a city at a stable equilibrium point may continue to
grow again. The generality of the model and the algorithm used here implies
that the model and algorithm need not be restricted to urban systems; they are
easily applicable to other types of systems where the assumptions used are
We study adaptive learning in a typical p-player game. The payoffs of the
games are randomly generated and then held fixed. The strategies of the players
evolve through time as the players learn. The trajectories in the strategy
space display a range of qualitatively different behaviors, with attractors
that include unique fixed points, multiple fixed points, limit cycles and
chaos. In the limit where the game is complicated, in the sense that the
players can take many possible actions, we use a generating-functional approach
to establish the parameter range in which learning dynamics converge to a
stable fixed point. The size of this region goes to zero as the number of
players goes to infinity, suggesting that complex non-equilibrium behavior,
exemplified by chaos, may be the norm for complicated games with many players.
Is your firm poised for long-term success and viability? Do you even know what that looks like for your firm?read more...
Is your firm poised for long-term success and viability? Do you even know what that looks like for your firm?read more...
The AICPA Audit Committee Toolkit: Private Companies helps audit committees of private companies at all levels discover best practices for managing and incorporating their role within the organization. This toolkit takes the guesswork out of effectively establishing and managing an audit committee by furnishing you with dozens of useful tools and the most common forms for effective audit committee operation, as well as tools specially tailored forread more...
The 2014 edition of this popular product will help audit committees of public companies achieve best practices for managing and incorporating their role in the organization.read more...
As a result of its Clarity Project, the Auditing Standards Board (ASB) has issued Statement on Auditing Standards (SAS) No. 128, Using the Work of Internal Auditors, to supersede SAS No. 65, The Auditor's Consideration of the Internal Audit Function in an Audit of Financial Statements (AICPA, Professional Standards, AU sec. 322 and AU-C sec. 610), and amend:read more...
Fully updated for the OMB Uniform Guidance for federal awards.read more...
AICPA Audit Guides are developed and updated to provide guidance and tools for practitioners as they perform audit engagements.read more...
Considered the industry standard resource, this guide provides practical guidance, essential information and hands-on advice on the many aspects of accounting and authoritative auditing for employee benefit plans.read more...
Advertising by Design is the most comprehensive, up-to-date guide to concept generation and design for advertising. Step-by-step instructions and expert discussion guide you through the fundamentals, as you develop the deeper understanding that connects the dots and sparks your creativity. Interviews with leading creative directors provide a glimpse into the real-world idea generationread more...
The Enduring Advisory Firm is a book for the forward-thinking financial advisor. Financial advisement is traditionally a hands-on field, so few in the industry feel threatened by the shifting social and technological landscape. In this book, Mark Tibergienroutinely named one of the most influential people in the financial services worldand Kim Dellarocca make a compelling caseread more...
The notion of culturally relevant leadership learning builds upon the ideas of developing leader identity and leadership capacity of diverse students.Focusing on four areas of leadership learning: education, training, development, and engagement, this volume presents a model of culturally relevant leadership learning in order to develop all student leaders. It proposes infusing the leadership development process with an understanding of how systemicread more...
The Empowered Manager uncovers a roadmap to creating a more accountable culture in today's fragmented and virtual world. Bestselling author Peter Block is a true visionary: author of the classicread more...
Our parents often told us to work hard to make a positive first impression. They reminded us that first impressions matter a great deal, and that it's hard to recover from a bad start with someone. Well, it turns out that our parents were more right than we could have ever imagined. Let's take a look at some fascinating new research from Cornell Professor Vivian Zayas and her co-authors, Gul Gunaydin and Emre Selcuk. Their study is titled, "Impressions Based on a Portrait Predict, 1-Month Later, Impressions Following a Live Interaction.â They asked 55 research subjects to examine photographs of a woman with whom they were not acquainted previously. The scholars asked the individuals to record their impressions of the woman in the photograph. The researchers asked if the subjects would like to be friends with the woman. In addition, the research subjects rated the woman on personality attributes such as emotional stability, conscientiousness, extroversion, and openness to new experiences. In some photos, the woman smiled. In others, she presented a neutral expression on her face. Between one and six months later, these research subjects met the woman in person. Only four people remembered seeing the woman in the photographs. They were excluded from the study's subsequent analysis. What about the other 51 research subjects? Their initial impressions from those photographs shaped their impressions of the woman months later in the face-to-face interaction. Zayas told the Cornell Chronicle, "What is remarkable is that despite differences in impressions, participants were interacting with the same person, but came away with drastically different impressions of her even after a 20-minute face-to-face interaction."