International Portfolio Investments and The Informational Value of Trade

A large volume of literature suggests that information asymmetry resulting from the spatial separation between investors and investments have a significant impact on the composition of investors’ domestic and international portfolios. I show that institutional factors affecting trading in tangible goods help explain a substantial portion of investors’ spatial bias. More importantly, I demonstrate that an information flow medium with breadth and richness directly linked to the bilateral commitment of resources between countries, that I measure by their trading intensity in tangible goods, is consistent with the prevailing country allocation in investors’ international portfolios.

Credit Default Swaps and Insurance: Against the Potts Opinion

Little attention has been given to the possibility that CDS transactions might be construed as insurance contracts in English law. This article challenges the widespread “Potts opinion”, which states that CDSs are not insurance, because they do not require the protection buyer to sustain a loss or to have an insurable interest in the subject matter. CDSs often do provide protection against loss that the buyer is exposed to; loss indemnity is not a necessary characterisation of an insurance contract; insurable interest does not form part of the definition of insurance, but is an additional requirement of valid insurance; and what matters is the substance not the form of the contract. The situation in the US and Australia is also briefly considered.

The Relay Selection and Transmission Trade-off in Cooperative Communication Systems

A common and practical paradigm in cooperative communication systems is the use of a dynamically selected `best' relay to decode and forward information from a source to a destination. Such systems use two phases - a relay selection phase, in which the system uses transmission time and energy to select the best relay, and a data transmission phase, in which it uses the spatial diversity benefits of selection to transmit data. In this paper, we derive closed-form expressions for the overall throughput and energy consumption, and study the time and energy trade-off between the selection and data transmission phases. To this end, we analyze a baseline non-adaptive system and several adaptive systems that adapt the selection phase, relay transmission power, or transmission time. Our results show that while selection yields significant benefits, the selection phase's time and energy overhead can be significant. In fact, at the optimal point, the selection can be far from perfect, and depends on the number of relays and the mode of adaptation. The results also provide guidelines about the optimal system operating point for different modes of adaptation. The analysis also sheds new insights on the fast splitting-based algorithm considered in this paper for relay selection.

Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Trade Blocs and the Cold War : The CMEA and the EC challenge, 1969-1976

The coherence of the Soviet bloc was seriously tested at the turn of the 1970s, as the Soviet Union and its allies engaged in intensive negotiations over their relations with the European Communities (EC). In an effort to secure their own national economic interests many East European countries began independent manoeuvres against the wishes of their bloc leader. However, much of the intra-bloc controversy was kept out of the public eye, as the battle largely took place behind the scenes, within the organisation for economic cooperation, the Council for Mutual Economic Assistance (CMEA). The CMEA policy-making process vis-à-vis the EC is described in this study with reference to primary archival materials. This study investigates the negotiating positions and powers of the CMEA member states in their efforts to deal with the economic challenge created by the progress of the EC, as it advanced towards the customs union. This entails an analysis of the functioning principles and performance of the CMEA machinery. The study traces the CMEA negotiations that began in 1970 over its policy toward the EC. The policy was finally adopted in 1974, and was followed by the first official meeting between the two organisations in early 1975. The story ends in 1976, when the CMEA s efforts to enter into working relations with the EC were seemingly frustrated by the latter. The first major finding of the study is that, contrary to much of the prior research, the Soviet Union was not in a hegemonic position vis-à-vis its allies. It had to use a lot of its resources to tame the independent manoeuvring of its smaller allies. Thus, the USSR was not the kind of bloc leader that the totalitarian literature has described. Because the Soviet Union had to spend so much attention on its own bloc-politics, it was not able to concentrate on formulating a policy vis-à-vis the EC. Thus, the Soviet leadership was dependent on its allies in those instances when the socialist countries needed to act as a bloc. This consequently opened up the possibility for the USSR s allies to manoeuvre. This study also argues that when the CMEA did manage to find a united position, it was a force that the EC had to reckon with in its policy-making. This was particularly the case in the implementation of the EC Common Commercial Policy. The other main finding of the study is that, although it has been largely neglected in the previous literature on the history of West European integration, the CMEA did in fact have an effect on EC decision-making. This study shows how for political and ideological reasons the CMEA members did not acknowledge the EC s supranational authority. Therefore the EC had no choice but to refrain from implementing its Common Commercial Policy in full.

A System-C based Micro architectural Exploration Framework for Latency, Power and Performance Trade-offs of On-Chip Interconnection

We describe a System-C based framework we are developing, to explore the impact of various architectural and microarchitectural level parameters of the on-chip interconnection network elements on its power and performance. The framework enables one to choose from a variety of architectural options like topology, routing policy, etc., as well as allows experimentation with various microarchitectural options for the individual links like length, wire width, pitch, pipelining, supply voltage and frequency. The framework also supports a flexible traffic generation and communication model. We provide preliminary results of using this framework to study the power, latency and throughput of a 4x4 multi-core processing array using mesh, torus and folded torus, for two different communication patterns of dense and sparse linear algebra. The traffic consists of both Request-Response messages (mimicing cache accesses)and One-Way messages. We find that the average latency can be reduced by increasing the pipeline depth, as it enables higher link frequencies. We also find that there exists an optimum degree of pipelining which minimizes energy-delay product.

New Ventures’ influence on the Growth of SME Employment, Production and Exports in India: Does Institutional Credit matter?

New ventures are considered to be a major source of small firm growth. In Indian context the contribution of new ventures in terms of new employment, production and exports has largely remained unexplored. It is equally important and unexplored, the significance of the contribution of bank credit to the growth of new ventures in India. This paper is an attempt to throw light on these two aspects. The research is based on secondary data of the liberalized period provided by Ministry of Micro, Small and Medium Enterprises, Government of India and Reserve Bank of India. To analyze the influence of bank credit growth on new ventures and the influence of new ventures on growth of additional employment, additional production and additional exports, we used a Bi-Variate Vector Auto Regression. Based on the model generated, Granger causality tests are conducted to obtain the results. The study found that rate of growth of bank credit causes the number of new ventures, implying any increase in the rate of growth of bank credit will be beneficial to the growth of new ventures. The study also concluded that new ventures are not causing the growth of additional employment or additional production. However new ventures cause the growth of additional exports. This is reasonable as entrepreneurs start their new ventures with minimum possible employment and relatively low rate of capacity utilization and they come up to take advantage of the process of globalization by catering to the international market.

Trade determination in multi-attribute exchanges

Electronic exchanges are double-sided marketplaces that allow multiple buyers to trade with multiple sellers, with aggregation of demand and supply across the bids to maximize the revenue in the market. Two important issues in the design of exchanges are (1) trade determination (determining the number of goods traded between any buyer-seller pair) and (2) pricing. In this paper we address the trade determination issue for one-shot, multi-attribute exchanges that trade multiple units of the same good. The bids are configurable with separable additive price functions over the attributes and each function is continuous and piecewise linear. We model trade determination as mixed integer programming problems for different possible bid structures and show that even in two-attribute exchanges, trade determination is NP-hard for certain bid structures. We also make some observations on the pricing issues that are closely related to the mixed integer formulations.

Performance and variability trade-off with gate-to-source/drain overlap length

The impact of gate-to-source/drain overlap length on performance and variability of 65 nm CMOS is presented. The device and circuit variability is investigated as a function of three significant process parameters, namely gate length, gate oxide thickness, and halo dose. The comparison is made with three different values of gate-to-source/drain overlap length namely 5 nm, 0 nm, and -5 nm and at two different leakage currents of 10 nA and 100 nA. The Worst-Case-Analysis approach is used to study the inverter delay fluctuations at the process corners. The drive current of the device for device robustness and stage delay of an inverter for circuit robustness are taken as performance metrics. The design trade-off between performance and variability is demonstrated both at the device level and circuit level. It is shown that larger overlap length leads to better performance, while smaller overlap length results in better variability. Performance trades with variability as overlap length is varied. An optimal value of overlap length of 0 nm is recommended at 65 nm gate length, for a reasonable combination of performance and variability.

Pricing credit derivatives

The financial crisis set off by the default of Lehman Brothers in 2008 leading to disastrous consequences for the global economy has focused attention on regulation and pricing issues related to credit derivatives. Credit risk refers to the potential losses that can arise due to the changes in the credit quality of financial instruments. These changes could be due to changes in the ratings, market price (spread) or default on contractual obligations. Credit derivatives are financial instruments designed to mitigate the adverse impact that may arise due to credit risks. However, they also allow the investors to take up purely speculative positions. In this article we provide a succinct introduction to the notions of credit risk, the credit derivatives market and describe some of the important credit derivative products. There are two approaches to pricing credit derivatives, namely the structural and the reduced form or intensity-based models. A crucial aspect of the modelling that we touch upon briefly in this article is the problem of calibration of these models. We hope to convey through this article the challenges that are inherent in credit risk modelling, the elegant mathematics and concepts that underlie some of the models and the importance of understanding the limitations of the models.

Diversity-Rate Trade-off for Fading Channels with Power Control

We consider a complex, additive, white Gaussian noise channel with flat fading. We study its diversity order vs transmission rate for some known power allocation schemes. The capacity region is divided into three regions. For one power allocation scheme, the diversity order is exponential throughout the capacity region. For selective channel inversion (SCI) scheme, the diversity order is exponential in low and high rate region but polynomial in mid rate region. For fast fading case we also provide a new upper bound on block error probability and a power allocation scheme that minimizes it. The diversity order behaviour of this scheme is same as for SCI but provides lower BER than the other policies.

Threats and trade-fffs in resource critical crowdsourcing tasks over networks

In recent times, crowdsourcing over social networks has emerged as an active tool for complex task execution. In this paper, we address the problem faced by a planner to incen-tivize agents in the network to execute a task and also help in recruiting other agents for this purpose. We study this mecha-nism design problem under two natural resource optimization settings: (1) cost critical tasks, where the planner’s goal is to minimize the total cost, and (2) time critical tasks, where the goal is to minimize the total time elapsed before the task is executed. We define a set of fairness properties that should beideally satisfied by a crowdsourcing mechanism. We prove that no mechanism can satisfy all these properties simultane-ously. We relax some of these properties and define their ap-proximate counterparts. Under appropriate approximate fair-ness criteria, we obtain a non-trivial family of payment mech-anisms. Moreover, we provide precise characterizations of cost critical and time critical mechanisms.

Regenerating codes: A reformulated storage-bandwidth trade-off and a new construction

In this paper, the storage-repair-bandwidth (SRB) trade-off curve of regenerating codes is reformulated to yield a tradeoff between two global parameters of practical relevance, namely information rate and repair rate. The new information-repair-rate (IRR) tradeoff provides a different and insightful perspective on regenerating codes. For example, it provides a new motivation for seeking to investigate constructions corresponding to the interior of the SRB tradeoff. Interestingly, each point on the SRB tradeoff corresponds to a curve in the IRR tradeoff setup. We characterize completely, functional repair under the IRR framework, while for exact repair, an achievable region is presented. In the second part of this paper, a rate-half regenerating code for the minimum storage regenerating point is constructed that draws upon the theory of invariant subspaces. While the parameters of this rate-half code are the same as those of the MISER code, the construction itself is quite different.