基于模糊信息分配理论的短期股价涨跌模式识别

基于分形市场假说的股价并不完全反映所有信息的观点,认为历史股价信息是不完备的群体型模糊信息,提出了线性信息分配条件下的信息守恒定理,建立了基于模糊信息分配理论的短期股价涨跌预测的模糊模式识别模型,通过对上证综合指数日线数据的短期预测,表明该模型具有能够动态捕捉股价短期分布特征、有效描述股价序列内蕴的短期非线性因果关系,进而具有较高的股价涨跌识别精度,并提出了金融市场收益率可能性分布的概念.     

Transfer of risk in the newsvendor model with discrete demand

In this paper we consider the transfer of risk in a newsvendor model with discrete demand. We view the newsvendor model as a leader/follower problem where the manufacturer (leader) decides the wholesale price and the retailer (follower) decides the quantity ordered. Taking a Pareto-optimal contract as a starting point, the manufacturer wishes to design a real option contract to enhance profits. A new real option contract is said to be feasible if both parties' expected profit is at least as great as in the original contract. When demand is discrete, there are usually infinite feasible contracts that yield maximum expected profits to the manufacturer. In the paper we show that either all, some or none of these real option contracts offer an improved position for the retailer.     

Redistributed Manufacturing and the Impact of Big Data: A Consumer Goods Perspective

Abstract

Digitalization and the growth of big data promise greater customization as well as change in how manufacturing is distributed. Yet, challenges arise in applying these new approaches in consumer goods industries that often emphasize mass production and extended supply chains. We build a conceptual framework to explore whether big data combined with new manufacturing technologies can facilitate redistributed manufacturing (RDM). Through analysis of 24 consumer goods industry cases using primary and secondary data, we investigated evolving manufacturing configurations, their underlying drivers, the role of big data applications, and their impact on the redistribution of manufacturing. We find some applications of RDM concepts, although in other cases existing manufacturing configurations are leveraged for high volume consumer goods products through big data analytics and market segmentation. The analysis indicates that the framework put forward in the paper has broader value in organizing thinking about emerging interrelationships between big data and manufacturing.     

Minimum Wage Effects on Labor Market Outcomes under Search,Matching, and Endogenous Contact Rates

Building upon a continuous‐time model of search with Nash bargaining in a stationary environment, we analyze the effect of changes in minimum wages on labor market outcomes and welfare. Although minimum wage increases may or may not lead to increases in unemployment in our model, they can be welfare‐improving to labor market participants on both the supply and demand sides of the labor market. We discuss identification of the model using Current Population Survey data on accepted wages and unemployment durations, and show that by incorporating a limited amount of information from the demand side of the market it is possible to obtain credible and precise estimates of all primitive parameters. We show that the optimal minimum wage in 1996 depends critically on whether or not contact rates can be considered to be exogenous and we note that the limited variation in minimum wages makes testing this assumption problematic.     

中国股票市场主要转折点的识别:基于改进的小波领袖法与逼近技术的贝叶斯法

在探讨单重分形模型与以小波领袖法为代表的多重分形模型的内在联系的基础上,分析了小波领袖法的内在缺陷并提出了改进方法,并利用Monte Carlo模拟比较了传统的小波领袖法和改进的小波领袖法的效果;在改进的小波领袖法的框架下,利用基于逼近技术的贝叶斯法估计了上证指数收益率序列的多重分形谱及有关参数。理论分析表明,在传统小波领袖法中,小波母函数"能量和为1",这与经典的R/S法以及实际股票市场的实际情况都不相符,且会严重低估标度指数。实证表明,改进的小波领袖法克服了对标度指数的低估效应和对多重分形谱估计值的扭曲;在利用改进的小波领袖法刻画股票市场的波动性后,基于逼近技术的贝叶斯估计法不仅减少了需要估计的参数,而且准确识别了我国股票市场长期趋势发生变化的主要转折点,结果也非常稳健。     

Two-agent scheduling of time-dependent jobs

We consider the problem of scheduling deteriorating jobs or shortening jobs with two agents A and B. We are interested in generating all Pareto-optimal schedules for the two criteria: (1) the total completion time of the jobs in A and the maximum cost of the jobs in B, and (2) the maximum cost of the jobs in A and the maximum cost of the jobs in B. We show that all Pareto-optimal schedules for both problems can be generated in polynomial time, whether the jobs are deteriorating or shortening.     

基于非理性行为的羊群效应分析:一个简单模型

本文在序贯交易的框架内用一个简单的模型分析了证券市场上的非理性交易行为怎样引起交易者之间的羊群行为。研究结论表明:若证券市场上所有的参与者完全理性且风险中性,则市场上不会出现羊群交易行为;相反,即便在一维不确定性下,交易者的非理性交易行为可能引起羊群效应。     

Labor Market Intermediaries and the New Paradigm for Human Resources

Labor market intermediaries (LMIs) are entities that stand between the individual worker and the organization that needs work done. They include well-known operations such as executive search firms that act as brokers to fill jobs and temp agencies that lease labor to clients but also less familiar entities such as professional employer organizations (PEOs) that take on the legal obligations of employment for clients. LMI's mediate between individual workers and the organizations that need work done, shaping how workers are matched to organizations, how tasks are performed, and how conflicts are resolved [Autor, D.H. (2009). Studies of labor market intermediation: Introduction. In D. Autor (Ed.), Studies of labor market intermediation (pp. 1–26). Chicago, IL: University of Chicago Press]. They essentially disintermediate aspects of management that had been performed by employers. The growth and increasing prominence of LMI's is important for all research associated with the workplace because we can no longer do a study of “workers” in an organization and assume that they are all employees: Some may be temps under contract to an agency, some may be “employed” by a PEO, some may work for vendors. The reason that matters is because LMI's appear to alter attitudes and behaviors on all sides. For example, they change the bilateral, employee–employer relationship into a three-way “triangular” relationship. They may well create “dual allegiance” issues, where individuals feel ties to the search firm that placed them in their current job and their employer or the agency that employs them and the client on whose behalf they are currently working. Most fundamentally, they challenge the existing paradigms we have used to understand the workplace: Does “attraction–selection–attrition” have any relevance, for example, when employers hire temps placed by agencies into permanent jobs? What does career development mean when the person with the most influence over your next job is a search consultant? There is already an extensive literature on LMIs, but it is spread across disciplines and fields and mainly examines the labor market outcomes associated with the use of LMIs. The literature lacks a management voice. We know relatively little about the effects of LMIs on workplace attitudes and behaviors, the central focus of organizational behavior; about how LMIs and the associated rise of outside hiring change how we should think about topics such as recruiting and selection, a central concern of personnel psychology; we know even less about how LMIs change the way firms think about competencies and boundaries of the firm, central topics in strategy, when the firm's workforce is actually employed by another organization or when it can be reshuffled very quickly. We develop a taxonomy of LMIs and use it to classify the burgeoning but disjointed literature on LMIs across the social sciences. We classify LMIs in terms of three main attributes of human resource (HR) practices that they perform: Information Providers, Matchmakers, and Administrators. We describe first how LMI activities differ from HR management practices performed by employers in the traditional relationship. Second, we outline the existing research about how LMIs affect employment outcomes, such as access to employment, wages, work-related attitudes and behaviors, working conditions, and skill development. Finally, we highlight the implications of LMIs for management research, especially new, understudied research questions that need to be addressed.     

Local, regional, or global? Geographic orientation and relative financial performance of emerging market multinational enterprises

We extend the regional/global strategies literature by analyzing the relative performance of emerging market (EM) multinational enterprises (MNEs) based on their geographic orientation. We develop a framework showing that firms adopt three geographic orientations—local, regional, and global—and test our framework with the market penetration strategies (sales) of 701 MNEs from 28 EMs during 2000–2006. Our analysis shows that distinguishing among these three geographic segments is important, as not all of these geographic segments enhance firms’ financial performance relative to their industry: a combination of local and global orientations enhances while regional orientation reduces the relative financial performance of EM MNEs.     

Sustainability Through the Market: Making Markets Work for Everyone

Sustainable development is about ensuring a better quality of life for everyone, now and for generations to come. While sustainable production and consumption are essential, focusing on either of these alone risks ignoring the powerful market mechanisms that link them together, and which can promote sustainability. Effective markets provide choice, competition and innovation, all of which are needed if we are to improve quality of life. Today, however, markets are not working for everyone. One of the biggest barriers to achieving sustainability through the market is the fact that a large section of the global population does not have access to markets, due to poverty. Another factor is the lack of appropriate framework conditions in some markets. This article presents some to the attempts being made to improve lives “where there is no market”, and what is needed to achieve sustainability through the market, using examples from the World Business Council for Sustainable Development (WBCSD).     

A person-centered perspective in assessing career adaptability: Potential profiles,outcomes, and antecedents

This study explored the career adaptability profiles and corresponding characteristics with a person-centered method as well as the correlation between career adaptability and various antecedents such as supervisor feedback setting and person-organization (P–O) fit, and outcomes such as psychological safety and self-efficacy. We employed a convenience sampling technique to invite more than 1000 employees from five provinces in China in 2 studies. There are 535 valid questionnaires in Study 1 and 377 valid questionnaires in Study 2. We performed latent profile analysis (LPA) using Mplus 7.31. For the antecedents, we ran the three-step estimation (R3STEP) command. In terms of outcomes, Binary Coded Hexadecimal (BCH) analysis was conducted. LPA identified four career adaptability profiles, namely, optimal, high, moderate, and low career adaptability. The four different profiles varied in the level, but not the shape. These profiles were predicted by antecedents of supervisor feedback environment and P–O fit, and these profiles impacted psychological safety and self-efficacy. We used a new approach to better understand career adaptability under the framework of career construction theory. A person-centered method, compared with a variable-centered approach, can elucidate the interactions among four dimensions of career adaptability in an employee. Thus, we demonstrated that (1) various career adaptability profiles at work generally do not consistently occur, and (2) latent profiles can distinguish antecedents from outcomes.     

A MARKET UTILITY‐BASED MODEL FOR CAPACITY SCHEDULING IN MASS SERVICES

Only a small set of employee scheduling articles have considered an objective of profit or contribution maximization, as opposed to the traditional objective of cost (including opportunity costs) minimization. In this article, we present one such formulation that is a market utility‐based model for planning and scheduling in mass services (MUMS). MUMS is a holistic approach to market‐based service capacity scheduling. The MUMS framework provides the structure for modeling the consequences of aligning competitive priorities and service attributes with an element of the firm's service infrastructure. We developed a new linear programming formulation for the shift‐scheduling problem that uses market share information generated by customer preferences for service attributes. The shift‐scheduling formulation within the framework of MUMS provides a business‐level model that predicts the economic impact of the employee schedule. We illustrated the shift‐scheduling model with empirical data, and then compared its results with models using service standard and productivity standard approaches. The result of the empirical analysis provides further justification for the development of the market‐based approach. Last, we discuss implications of this methodology for future research.     

人力资本、制度与工资差别——对大城市二元劳动力市场的实证分析

本文利用上海市外劳及本地居民就业调查的有关数据,计量分析了外劳和本地居民构成的劳动力市场的基本结构,以阐明大城市二元劳动力市场的主要特征。本文的构成如下:首先,概要说明二元劳动力市场理论的基本思路,并在此基础上提出本文的理论假说和计量分析的框架;其次,简要说明本文使用的调查数据,定量描述劳动力市场的基本特征;再次,援用Mincer的工资函数理论,计量分析人力资本、户口制度等因素与工资的关系,旨在说明城市劳动力市场的二元性质,即外劳与本地居民的市场分割性和各阶层内部的竞争性;最后,总结实证分析的要点,指出近年出现的民工荒现象主要起因于劳动力市场的制度性分割,尤其是对农民工的就业和工资歧视。     

Exploring uncertainties in a marketplace for cloud computing: a revelatory case study

Today, highly standardized information technology (IT) resources such as storage and processing power are becoming available and affordable to all. Therefore, IT managers evermore focus on reducing the costs and risks that these resources entail rather than on the benefits or competitive edge they provide. A marketplace for cloud computing represents a promising alternative for obtaining standardized IT resources in a highly flexible and scalable manner. Based on a revelatory case study of a cloud market project, we show that uncertainties are prevalent in cloud markets and that the principal-agent theory is an adequate perspective to study and explain these uncertainties. By triangulating data from formal and informal interviews, documentations and project meetings, we develop a second-level contextual understanding of uncertainties in the relationships between market operator, cloud providers and users. Our analysis reveals that while cloud market operators have capabilities to mitigate uncertainties between cloud provider and user, they also cause new uncertainties from the cloud provider and user perspective. As an outcome, we present a framework that sheds light on the uncertainty trade-offs involved in the decision to adopt a cloud market by cloud providers and users.     

Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals

In this paper, we consider the basic problem of portfolio construction in financial engineering, and analyze how market-based and analytical approaches can be combined to obtain efficient portfolios. As a first step in our analysis, we model the asset returns as a random variable distributed according to a mixture of normal random variables. We then discuss how to construct portfolios that minimize the Conditional Value-at-Risk (CVaR) under this probabilistic model via a convex program. We also construct a second-order cone representable approximation of the CVaR under the mixture model, and demonstrate its theoretical and empirical accuracy. Furthermore, we incorporate the market equilibrium information into this procedure through the well-known Black-Litterman approach via an inverse optimization framework by utilizing the proposed approximation. Our computational experiments on a real dataset show that this approach with an emphasis on the market equilibrium typically yields less risky portfolios than a purely market-based portfolio while producing similar returns on average.     

Corporate divestiture and performance: an institutional view

In this study, we investigate how the institutional environment affects shareholders’ reaction to a firm’s announcement of divestitures. Traditionally, divestiture research has adhered to a financial economics perspective, in which shareholders anticipate certain economic outcomes from corporate divestitures and react accordingly. However, this research has not delivered a distinct understanding of the performance effects of corporate divestitures. To structure and integrate previous work, we apply a neo-institutional perspective of the stock market. We argue that at certain times, the institutional support for corporate diversification is relatively low. During these periods, there is a high rate of divestitures. The high divestiture activity legitimizes this corporate action and leads to a positive reaction of the stock market to new divestiture announcements. This means that individual evaluations of the possible performance outcomes of divestments are not the only factor determining the stock market reaction to a corporate divestiture announcement. Rather, investors might consider the perceived institutionalization of this corporate action when making their purchasing decisions. Using a meta-analytical technique, we find support for our prediction that different performance effects of divestitures, as revealed by previous studies, can be attributed to different conditions of the macro-economic environment. We discuss the implications of this result for research and management practice.     

An Equilibrium Theory of Learning,Search, and Wages

We examine the labor market effects of incomplete information about the workers' own job‐finding process. Search outcomes convey valuable information, and learning from search generates endogenous heterogeneity in workers' beliefs about their job‐finding probability. We characterize this process and analyze its interactions with job creation and wage determination. Our theory sheds new light on how unemployment can affect workers' labor market outcomes and wage determination, providing a rational explanation for discouragement as the consequence of negative search outcomes. In particular, longer unemployment durations are likely to be followed by lower reemployment wages because a worker's beliefs about his job‐finding process deteriorate with unemployment duration. Moreover, our analysis provides a set of useful results on dynamic programming with optimal learning.     

Modeling market information processing in new product development: An empirical analysis

This research explores the antecedents and consequences of market information processing during the development process of new high-tech products. To this end, we develop and test a conceptual model for market information processing in three generic stages of the new product development (NPD) process (predevelopment, development and commercialization). In addition, we explore the relationships between market information processing, its antecedents, and product advantage and success. We test our model with responses from 166 NPD-managers in Dutch high-tech firms. The findings show that the market information processing variables are related differentially to new product outcomes, even when controlling for product advantage and product newness to the market. In addition, we found that companies can enhance market information processing for new high-tech products by influencing project priority and flexibility to new products, and by reducing interdepartmental conflict.     

A Portfolio Approach to Procurement Contracts

The purpose of this paper is to develop a general framework for supply contracts in which portfolios of contracts can be analyzed and optimized. We focus on a multi‐period environment with convex contract, spot market, and inventory holding costs. We specialize the model to the case of a portfolio consisting of option contracts. We characterize the optimal replenishment policy and show that it has a simple structure. Namely, the use of every different option contract and the spot market is dictated by a modified base‐stock policy. In addition, we derive conditions to determine when an option is relatively attractive compared to other options or the spot market. Finally, we present our computational study, where we report the sensitivity of the results to the parameters of the model. Our experiments indicate that portfolio contracts not only increase the manufacturer's expected profit, but can also reduce its financial risk.     

Market Orientation,Internal Process,and External Network: A Qualitative Comparative Analysis of Key Decisional Alternatives in the New Service Development*

Scholars from different disciplines acknowledge the importance of studying new service development (NSD), which is considered a central process for sustaining a superior competitive advantage of service firms. Although extant literature provides several important insights into how NSD processes are structured and organized, there is much less evidence on what makes NSD processes successful, that is, capable of contributing to a firm's sales and profits. In other words, which are the decisions that maximize the likelihood of developing successful new services? Drawing on the emerging “service‐dominant logic” paradigm, we address this question by developing an NSD framework with three main decisional nodes: market orientation, internal process organization, and external network. Using a qualitative comparative analysis technique, we discovered combinations of alternatives that maximize likelihood of establishing a successful service innovation. Specifically, we tested our NSD framework in the context of hospitality services and found that successful NSD can be achieved through two sets of decisions. The first one includes the presence of a proactive market orientation (PMO) and a formal top‐down innovative process, but the absence of a responsive market orientation. The second one includes the presence of both responsive and PMO and an open innovation model. No single element was a sufficient condition for NSD success, though PMO was a necessary condition. Several implications for theory and decision‐making practice are discussed on the basis of our findings.