A note on arbitrage-free asset prices with and without personal income taxes

We study the implications of the absence of arbitrage possibilities on asset pricing with and without personal income taxes. While no-arbitrage conditions in frictionless markets have sufficiently been investigated, personal income taxation is still beyond of being fully integrated into arbitrage theory. In extending the primary analysis of Ross (J Polit Econ 95:371–393, 1987) to a multiperiod framework allowing for dynamic trading strategies, we take a major step in this direction. The existence of a positive linear pricing functional is proven in a general discrete time and discrete state space model. In order to obtain the linearity of the pricing functional, one has to allow for short sales or, at most, to restrict sales to positions initially given. Hints at far-reaching economic applications are available.

中国农产品贸易政策体系的变化：对农业生产、消费、价格和贸易的影响

本文概括分析中国加入世界谷物、油料和畜产品市场以后可能产生的一些重要问题,提供了:1)当前贸易和国内政策的全面概述;2)中国加速融入多边贸易体系可能出现的政策变化的初步分析;3)这些政策变化对中国和经济合作与发展组织(OECD)国家谷物、油料和畜产品市场影响的评估。第三节的分析是对2000年1月在OECD成员国农业政策论坛上所做发言的修改和补充。当时的数量分析基于OECD Aglink模型中的模拟方案,现在增加了对中国加入畜产品市场的影响分析(由于中国入世谈判的拖延,以前没有包括在模型内),以及对中欧双边谈判结果的影响评估。     

Generating generalized inverse Gaussian random variates

The generalized inverse Gaussian distribution has become quite popular in financial engineering. The most popular random variate generator is due to Dagpunar (Commun. Stat., Simul. Comput. 18:703–710, 1989). It is an acceptance-rejection algorithm method based on the Ratio-of-Uniforms method. However, it is not uniformly fast as it has a prohibitive large rejection constant when the distribution is close to the gamma distribution. Recently some papers have discussed universal methods that are suitable for this distribution. However, these methods require an expensive setup and are therefore not suitable for the varying parameter case which occurs in, e.g., Gibbs sampling. In this paper we analyze the performance of Dagpunar’s algorithm and combine it with a new rejection method which ensures a uniformly fast generator. As its setup is rather short it is in particular suitable for the varying parameter case.     

Importance sampling for Kolmogorov backward equations

The solution of the Kolmogorov backward equation is expressed as a functional integral by means of the Feynman–Kac formula. The expectation value is approximated as a mean over trajectories. In order to reduce the variance of the estimate, importance sampling is utilized. From the optimal importance density, a modified drift function is derived which is used to simulate optimal trajectories from an Itô equation. The method is applied to option pricing and the simulation of transition densities and likelihoods for diffusion processes. The results are compared to known exact solutions and results obtained by numerical integration of the path integral using Euler transition kernels. The importance sampling leads to strong variance reduction, even if the unknown solution appearing in the drift is replaced by known reference solutions. In models with low-dimensional state space, the numerical integration method is more efficient, but in higher dimensions it soon becomes infeasible, whereas the Monte Carlo method still works.     

Infants’ learning of non-adjacent regularities from visual sequences

Tracking adjacent (AD) and non-adjacent (NAD) dependencies in a sequence of elements is critical for the development of many complex abilities, such as language acquisition and social interaction. While learning of AD in infancy is a domain-general ability that is functioning across different domains, infants’ processing of NAD has been reported only for speech sequences. Here, we tested 9- to 12- and 13- to 15-month-olds’ ability to extract AxB grammars in visual sequences of unfamiliar elements. Infants were habituated to a series of 3-visual arrays following an AxB grammar in which the first element (A) predicted the third element (B), while intervening X elements changed continuously. Following habituation, infants were tested with 3-item arrays in which initial and final positions were switched (novel) or kept consistent with the habituation phase (familiar). Older infants successfully recognized the familiar AxB grammar at test, whereas the younger group showed some sensitivity to extract to NAD, albeit in a less robust form. This finding provides the first evidence that the ability to track NAD is a domain-general ability that is present also in the visual domain and that the sensitivity to such dependencies is related to developmental changes, as demonstrated in the auditory domain.     

A discrepancy bound for deterministic acceptance-rejection samplers beyond $$N^{-1/2}$$ in dimension 1

In this paper we consider an acceptance-rejection (AR) sampler based on deterministic driver sequences. We prove that the discrepancy of an N element sample set generated in this way is bounded by \(\mathcal {O} (N^{-2/3}\log N)\), provided that the target density is twice continuously differentiable with non-vanishing curvature and the AR sampler uses the driver sequence \(\mathcal {K}_M= \{( j \alpha , j \beta ) ~~ mod~~1 \mid j = 1,\ldots ,M\},\) where \(\alpha ,\beta \) are real algebraic numbers such that \(1,\alpha ,\beta \) is a basis of a number field over \(\mathbb {Q}\) of degree 3. For the driver sequence \(\mathcal {F}_k= \{ ({j}/{F_k}, \{{jF_{k-1}}/{F_k}\} ) \mid j=1,\ldots , F_k\},\) where \(F_k\) is the k-th Fibonacci number and \(\{x\}=x-\lfloor x \rfloor \) is the fractional part of a non-negative real number x, we can remove the \(\log \) factor to improve the convergence rate to \(\mathcal {O}(N^{-2/3})\), where again N is the number of samples we accepted. We also introduce a criterion for measuring the goodness of driver sequences. The proposed approach is numerically tested by calculating the star-discrepancy of samples generated for some target densities using \(\mathcal {K}_M\) and \(\mathcal {F}_k\) as driver sequences. These results confirm that achieving a convergence rate beyond \(N^{-1/2}\) is possible in practice using \(\mathcal {K}_M\) and \(\mathcal {F}_k\) as driver sequences in the acceptance-rejection sampler.     

Sequential testing of gradual changes in the drift of a stochastic process

In this paper, some sequential monitoring procedures are constructed and analyzed for detecting a “gradual” change in the drift parameter of a general stochastic process satisfying a certain (weak) invariance principle. It is shown that the tests can be constructed such that the “false alarm rate” attains a prescribed level (say) α and that the tests have “asymptotic power 1”. A more precise analysis of the procedures under the alternative proves that the stopping times, suitably normalized, have a standard normal limiting distribution. A few results from a small simulation study are also presented in order to give an idea of the finite sample behaviour of the suggested procedures.     

Extending Little’s Law to single order throughput times

It has long been established that the mean throughput time is a result from the relationship between the work in process (WIP) and output rate. In reality, however, throughput times are frequently dispersed broadly around this mean. With the aid of a model originally developed for lateness, it is now possible to describe the throughput times of individual orders. Accordingly, the throughput time can be divided into two components: WIP-dependent throughput time and sequence-dependent throughput time.     

The Effect of Remittances on Economic Growth in Kyrgyzstan and Macedonia: Accounting for Financial Development

Kyrgyzstan and Macedonia have experienced a reasonable increase in remittances over the last twenty‐five years. Subsequently, the extent to which remittances can be instrumental for economic development of the two countries has gained serious attention in recent development dialogues. The aim of this study is to examine the impact of remittances versus financial development on the economic growth of the two counties, complementing the burgeoning interest and focus on remittances for policy. The short‐run and the long‐run effects and the causality dynamics of remittances and financial development, are explored. The results show a long‐run positive impact of remittances on the economic growth of these countries. The impact of financial development is negative, significant only for Kyrgyzstan and not statistically significant for Macedonia. The causality results show that remittances support economic growth for Kyrgyzstan, whereas economic growth appears to propel remittances for Macedonia.