Fashions, habits and changing preferences: Simulation of psychological factors affecting market dynamics

Markets can show different types of dynamics, from quiet markets dominated by one or few products, to markets with constant penetration of new and reintroduced products. This paper explores the dynamics of markets from a psychological perspective using a multi-agent simulation model. The behavioural rules of the artificial consumers, the consumats, are based on a conceptual meta-theory from psychology. The artificial consumers have to choose each period between similar products. Products remain in the market as long as they maintain a minimum level of market share, else they will be replaced by a new product. Assuming a population of consumats with different preferences, and social networks, the model simulates adoption of new products for alternative assumptions on behavioural rules. Furthermore, the consequences of changing preferences and the size of social networks are explored. Results show that the behavioural rules that dominate the artificial consumer's decision making determine the resulting market dynamics, such as fashions, lock-in and unstable renewal. Results also show the importance of psychological variables like social networks, preferences and the need for identity to explain the dynamics of markets.     

Patterns of change in youth unemployment regimes: France and Switzerland compared

The comparison between France and Switzerland enables us to compare a country that has a strong interventionist tradition in the labour market and whose youth unemployment is endemically high with a more liberal country that is faced with a more recent increase in youth unemployment but which, nevertheless, remains relatively measured. Starting from different rules and values, the two youth unemployment systems resemble each other insofar as both exclude most unemployed youth from all available benefits. From this angle, French egalitarianism rejoins Swiss differentialism. In both cases, it is not the least of paradoxes that the system of unemployment insurance so little benefits those who are most vulnerable to the economic crisis and the present dearth of jobs.     

Validating protein structure using kernel density estimates

Measuring the quality of determined protein structures is a very important problem in bioinformatics. Kernel density estimation is a well-known nonparametric method which is often used for exploratory data analysis. Recent advances, which have extended previous linear methods to multi-dimensional circular data, give a sound basis for the analysis of conformational angles of protein backbones, which lie on the torus. By using an energy test, which is based on interpoint distances, we initially investigate the dependence of the angles on the amino acid type. Then, by computing tail probabilities which are based on amino-acid conditional density estimates, a method is proposed which permits inference on a test set of data. This can be used, for example, to validate protein structures, choose between possible protein predictions and highlight unusual residue angles.     

Cross-Atlantic implications of the new US policy mix

This paper will assess implications of shifting policy mix in the US for global imbalances and adjustment, with a focus on the euro area, using the European Commission’s QUEST model. Following early market euphoria after the elections on the account of expected “decisive” pro-market policies, uncertainty regarding the composition and timing of the new administration's economic policies has been the norm. Early proposals included a substantial fiscal stimulus which, combined with a tightening monetary stance, was expected to drive up long-run interest rates and the dollar, leading to widening global imbalances and potential instability. Today the expansionary impact of the fiscal plans is the subject of a heated debate while monetary policy continues to tighten steadily and risks related to a protectionist trade agenda remain pronounced. Contrary to initial expectations, real interest rates and the dollar have weakened, while global imbalances persist. Addressing policy and structural needs in the US – and abroad – is a necessary condition to rein in global imbalances. In this context, this paper will discuss the role of the G20/G7 to promote a coordinated policy approach and in particular to what extent the G20/G7 can deal with the transition from crisis management to the balancing of heterogeneous preferences among the policy makers to promote global growth and stability.     

INFORMATION SHARING IN COMMON AGENCY: WHEN IS TRANSPARENCY GOOD?

When should principals dealing with a common agent share their individual performance measures about the agent's unobservable effort for producing a public good? In a model with two principals who offer linear incentive schemes, we show that information sharing always increases total expected welfare if the principal who is less informed about the agent's effort also cares more about the agent's output. If the less‐informed principal cares somewhat (but not too much) less than the other principal about the agent's output, information sharing reduces total expected welfare. In our model the efficient information regime emerges as an equilibrium outcome. (JEL: D82, D86, M52)     

Likelihood-based risk estimation for variance-gamma models

Although the variance-gamma distribution is a flexible model for log-returns of financial assets, so far it has found rather limited applications in finance and risk management. One of the reasons is that maximum likelihood estimation of its parameters is not straightforward. We develop an EM-type algorithm based on Nitithumbundit and Chan (An ECM algorithm for skewed multivariate variance gamma distribution in normal mean–variance representation, arXiv:1504.01239, 2015) that bypasses the evaluation of the full likelihood, which may be difficult because the density is not in closed form and is unbounded for small values of the shape parameter. Moreover, we study the relative efficiency of our approach with respect to the maximum likelihood estimation procedures implemented in the VarianceGamma and ghyp R packages. Extensive simulation experiments and real-data analyses suggest that the multicycle ECM algorithm gives the best results in terms of root-mean-squared-error, for both parameter and value-at-risk estimation. The performance of the routines in the ghyp R package is similar but not as good, whereas the VarianceGamma package produces worse results, especially when the shape parameter is small.     

A multilevel Bayesian model for contextual effect of material deprivation

The relationship between socioeconomic factors and health has been studied in many circumstances. Whether the association takes place at individual level only, or also at population level (contextual effect) is still unclear. We present a multilevel hierarchical Bayesian model to investigate the joint contribution of individual and population-based socioeconomic factors to mortality, using data from the census cohort of the general population of the city of Florence, Italy (Tuscany Longitudinal Study, 1991-1995). Evidence supporting a contextual effect of deprivation on mortality at the very fine level of aggregation is found. Inappropriate modelling of individual and aggregate variables could strongly bias effect estimates.Received: 10 January 2002, Revised: 23 June 2003, The research on Tuscany Longitudinal Study (Studio Longitudinale Toscano, SLTo) was supported by the Regione Toscana Servizio Statistica.     

Sub-Optimal Acquisition Decisions under a Majority Shareholder System

The high separation of ownership from control achieved through the concurrent use of non-voting shares and stock pyramiding could favor acquisitions made to increase private benefits of the controlling shareholders rather than all shareholders wealth. A standard event study methodology is carried out on three different samples of Italian acquisitions during the 1989–1996 period in order to test this hypothesis. We find evidence that a worse market reaction characterizes acquiring firms with a higher separation of ownership from control, while more value-enhancing transactions are undertaken by those smaller in size and with higher prior-performance. An entrenchment effect seems to determine a significant U-shaped relationship between the market reaction and the ultimate shareholder ownership. When the sample is restricted to acquiring firms with a dual class equity structure we find that non-voting shares report significantly negative excess returns in contrast to significantly higher positive returns for voting shares. Such evidence seems to indicate that the average acquisition has been overpaid, as suggested by the negative market reaction of the non-voting shares, while it was expected to lead to higher private benefits to the majority shareholders, as suggested by the revaluation of the voting shares. Finally, the market reaction to acquisitions made within pyramidal groups seems to indicate that the price is set so as to transfer wealth towards the companies located at the upper levels, where majority shareholders own greater fractions of the companies cash flows.JEL Codes: G34, G14A previous version of this paper was presented at the 1999 EFMA Conference in Paris, 1999 EFA Conference in Helsinki, and 1999 Australasian Banking and Finance Conference in Sydney. We would like to thank for helpful comments and suggestions, in alphabetical order: Lorenzo Caprio, Mara Faccio, Katiuscia Manzoni, Giovanni Siciliano, Sandro Sandri, the two anonymous referees and the editor. We would also like to thank Mara Faccio for providing ownership data. All remaining errors are ours.     

Empirical bayesInterval estimates: An application to geographical epidemiology

Summary Empirical Bayes estimates have been advocated as an improvement for mapping rare diseases or health events aggregated in small areas. In particular different parametric approaches have been proposed for dealing with non-normal data, assuming that disease occurrencies follow non-homogeneous Poisson law, whose parameters are treated as random variables. This paper shows how to conduct a complete Empirical Bayes analysis under an exchangeable model in the context of Geographical Epidemiology. Three different approaches for defining confidence limits obtained using a parametric bootstrap are compared: method 1 relies only on the first and second moment of the bootstrapped posterior distributions; method 2 computes the centiles of the bootstrapped posteriors; method 3 equates to α the average of the probabilities derived from the estimated bootstrapped cumulative posterior distributions. The simple Poisson-Gamma formulation was used to model mortality data on Larynx Cancer in the Local Health Units of Tuscany (1980–82 males). Two areas of significant elevated risk are identified.     

Suicide risk and exposure to mobbing

The aim of this study was to study suicide risk in subjects exposed to mobbing, that is, systematic psychological harassment in the workplace. Such psychological harassment, unique to the workplace, threatens both the emotional well-being and professional ability of its victims. The items of the Minnesota Multiphasic Personality Inventory-2 (MMPI-2) that assess suicide risk were studied in 102 individuals who were exposed to mobbing. The results indicated that individuals exposed to mobbing had clear differences on the MMPI-2 from normative samples. In addition, those who appeared to be at risk for suicide differed in their scores from those not at risk. Implications for psychopathology and suicide preventions are discussed.