The side effects of quantitative easing:evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.

Economic efficiency of mobile latent heat storages

In a pilot project an optimized mobile latent heat storage based on a system available on the market has been tested at Fraunhofer Institute for Environmental, Safety and Energy Technology. Initially trials were conducted with the aim of optimizing the process of charging and discharging. A specifically constructed test rig at the incineration trials centre at the institute allowed charging and discharging procedures of the mobile latent heat storage with adjustable parameters. In addition an evaluation model was constructed to further optimize the heat exchanger systems. In conclusion the prototype of the mobile latent heat storage was tested in practical operation. The economic and technical feasibility of heat transportation was shown if not utilized waste heat is available. © 2014 The Authors.

Are European equity markets efficient? New evidence from fractal analysis

We report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and long-range dependence is examined. Pre-filtering by fitting a (short-range) autoregressive model eliminates part of the long-range dependence when the latter is present, while failure to pre-filter leaves open the possibility of conflating short-range and long-range dependence. There is a strong evidence of long-range dependence for the small central European Czech stock market index PX-glob, and a weaker evidence for two smaller western European stock market indices, MSE (Spain) and SWX (Switzerland). There is little or no evidence of long-range dependence for the other five indices, including those with the largest capitalizations among those considered, DJIA (US) and FTSE350 (UK). These results are generally consistent with prior expectations concerning the relative efficiency of the stock markets examined. © 2011 Elsevier Inc.

Unifractality and multifractality in the Italian stock market

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log return series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Critical values for the test statistics are generated using Monte Carlo simulations of random Gaussian innovations. Evidence is reported of multifractality, and the departure from random walk behaviour is statistically significant on standard criteria. The observed pattern is attributed primarily to fat tails in the return probability distribution, associated with volatility clustering in returns measured over various time scales. © 2009 Elsevier Inc. All rights reserved.

Bi-directional double auction for financial market simulation

Typical Double Auction (DA) models assume that trading agents are one-way traders. With this limitation, they cannot directly reflect the fact individual traders in financial markets (the most popular application of double auction) choose their trading directions dynamically. To address this issue, we introduce the Bi-directional Double Auction (BDA) market which is populated by two-way traders. Based on experiments under both static and dynamic settings, we find that the allocative efficiency of a static continuous BDA market comes from rational selection of trading directions and is negatively related to the intelligence of trading strategies. Moreover, we introduce Kernel trading strategy designed based on probability density estimation for general DA market. Our experiments show it outperforms some intelligent DA market trading strategies. Copyright © 2013, International Foundation for Autonomous Agents and Multiagent Systems (www.ifaamas.org). All rights reserved.

Assessing productive efficiency of banks using integrated Fuzzy-DEA and bootstrapping:a case of Mozambican banks

Performance analysis has become a vital part of the management practices in the banking industry. There are numerous applications using DEA models to estimate efficiency in banking, and most of them assume that inputs and outputs are known with absolute precision. Here, we propose new Fuzzy-DEA α-level models to assess underlying uncertainty. Further, bootstrap truncated regressions with fixed factors are used to measure the impact of each model on the efficiency scores and to identify the most relevant contextual variables on efficiency. The proposed models have been demonstrated using an application in Mozambican banks to handle the underlying uncertainty. Findings reveal that fuzziness is predominant over randomness in interpreting the results. In addition, fuzziness can be used by decision-makers to identify missing variables to help in interpreting the results. Price of labor, price of capital, and market-share were found to be the significant factors in measuring bank efficiency. Managerial implications are addressed.

Maximising the efficiency of logistics operations with radio frequency identification technology

Radio frequency identification (RFID) technology has gained increasing popularity in businesses to improve operational efficiency and maximise costs saving. However, there is a gap in the literature exploring the enhanced use of RFID to substantially add values to the supply chain operations, especially beyond what the RFID vendors could offer. This paper presents a multi-agent system, incorporating RFID technology, aimed at fulfilling the gap. The system is developed to model supply chain activities (in particular, logistics operations) and is comprised of autonomous and intelligent agents representing the key entities in the supply chain. With the advanced characteristics of RFID incorporated, the agent system examines ways logistics operations (i.e. distribution network) particular) can be efficiently reconfigured and optimised in response to dynamic changes in the market, production and at any stage in the supply chain. © 2012 IEEE.

Financial constraints and technical efficiency:some empirical evidence for Italian producers' cooperatives

In this paper, we test the extent to which producers' cooperatives can experience an increase in technical efficiency following a tightening of financial constraints. This hypothesis is tested on a sample of Italian conventional and cooperative firms for the wine production and processing sector, using frontier analysis. The results support the hypothesis that increasing financial pressure can affect positively the cooperatives efficiency. Journal compilation © CIRIEC 2010.