Reinsurance trading in Lloyd's of London:balancing conflicting-yet-complementary logics in practice

Drawing on a year-long ethnographic study of reinsurance trading in Lloyd’s of London, this paper makes three contributions to current discussions of institutional complexity. First, we shift focus away from structural and relatively static organizational responses to institutional complexity and identify three balancing mechanisms - segmenting, bridging, and demarcating - which allow individuals to manage competing logics and their shifting salience within their everyday work. Second, we integrate these mechanisms in a theoretical model that explains how individuals can continually keep coexisting logics, and their tendencies to either blend or disconnect, in a state of dynamic tension which makes them conflicting-yet-complementary logics. Our model shows how actors are able to dynamically balance coexisting logics, maintaining the distinction between them, whilst also exploiting the benefits of their interdependence. Third, in contrast to most studies of newly formed hybrids and/or novel complexity our focus on a long-standing context of institutional complexity shows how institutional complexity can itself become institutionalized and routinely enacted within everyday practice.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Disseminating a warning message to evacuate:a simulation study of the behaviour of neighbours

Large-scale evacuations are a recurring theme on news channels, whether in response to major natural or manmade disasters. The role of warning dissemination is a key part in the success of such large-scale evacuations and its inadequacy in certain cases has been a 'primary contribution to deaths and injuries' (Hayden et al.; 2007). Along with technology-driven 'official warning channels' (e.g. sirens, mass media), the role of unofficial channel (e.g. neighbours, personal contacts, volunteer wardens) has proven to be significant in warning the public of the need to evacuate. Although post-evacuation studies identify the behaviours of evacuees as disseminators of the warning message, there has not been a detailed study that quantifies the effects of such behaviour on the warning message dissemination. This paper develops an Agent-Based Simulation (ABS) model of multiple agents (evacuee households) in a hypothetical community to investigate the impact of behaviour as an unofficial channel on the overall warning dissemination. Parameters studied include the percentage of people who warn their neighbours, the efficiency of different official warning channels, and delay time to warn neighbours. Even with a low proportion of people willing to warn their neighbour, the results showed considerable impact on the overall warning dissemination. © 2012 Elsevier B.V. All rights reserved.

Message-passing for inference and optimization of real variables on sparse graphs

The inference and optimization in sparse graphs with real variables is studied using methods of statistical mechanics. Efficient distributed algorithms for the resource allocation problem are devised. Numerical simulations show excellent performance and full agreement with the theoretical results. © Springer-Verlag Berlin Heidelberg 2006.

Message from the UCAWSN 2014 program Chairs

Published in the Front Matter

An intelligent broker agent for energy trading:an MDP approach

This paper details the development and evaluation of AstonTAC, an energy broker that successfully participated in the 2012 Power Trading Agent Competition (Power TAC). AstonTAC buys electrical energy from the wholesale market and sells it in the retail market. The main focus of the paper is on the broker’s bidding strategy in the wholesale market. In particular, it employs Markov Decision Processes (MDP) to purchase energy at low prices in a day-ahead power wholesale market, and keeps energy supply and demand balanced. Moreover, we explain how the agent uses Non-Homogeneous Hidden Markov Model (NHHMM) to forecast energy demand and price. An evaluation and analysis of the 2012 Power TAC finals show that AstonTAC is the only agent that can buy energy at low price in the wholesale market and keep energy imbalance low.

The effects of non-trading on the illiquidity ratio

Using a simulation analysis we show that non-trading can cause an overstatement of the observed illiquidity ratio. Our paper shows how this overstatement can be eliminated with a very simple adjustment to the Amihud illiquidity ratio. We find that the adjustment improves the relationship between the illiquidity ratio and measures of illiquidity calculated from transaction data. Asset pricing tests show that without the adjustment, illiquidity premia estimates can be understated by more than 17% for NYSE securities and by more than 24% for NASDAQ securities.

Trading-up on unmet expectations? Evaluating consumers’ expectations in online premium grocery shopping logistics

Geography and retail store locations are inherently bound together; this study links food retail changes to systemic logistics changes in an emerging market. The later include raising income and education, access to a wide range of technologies, traffic and transport difficulties, lagging retail provision, changing family structure and roles, as well as changing food culture and taste. The study incorporates demand for premium products defined by Kapferer and Bastien [2009b. The Luxury Strategy. London: Kogan Page] as comprising a broad variety of higher quality and unique or distinctive products and brands including in grocery organic ranges, healthy options, allergy free selections, and international and gourmet/specialty products through an online grocery model (n = 356) that integrates a novel view of home delivery in Istanbul. More importantly from a logistic perspective our model incorporates any products from any online vendors broadening the range beyond listed items found in any traditional online supermarkets. Data collected via phone survey and analysed via structural equation modelling suggest that the offer of online premium products significantly affects consumers’ delivery logistics expectations. We discuss logistics operations and business management implications, identifying the emerging geography of logistic models which respond to consumers’ unmet expectations using multiple sourcing and consolidation points.

Message from MultiCom-2012 workshop chairs

Welcome to the Second International Workshop on Multimedia Communications and Networking held in conjunction with IUCC-2012 during 25 June – 27 June 2012 in Liverpool, UK. MultiCom-2012 is dedicated to address the challenges in the areas of elivering multimedia content using modern communication and networking techniques. The multimedia & networking computing domain emerges from the integration of multimedia content such as audio and video with content distribution technologies. This workshop aims to cover contributions in both design and analysis aspects in the context of multimedia, wired/wireless/heterogeneous networks, and quality evaluation. It also intends to bring together researchers and practitioners from academia and industry to share their latest achievements in this field with others and establish new collaborations for future developments. All papers received are peer reviewed by three members of the Technical Programme Committee. The papers are assessed by their originality, technical quality, presentation and relevance to the theme of the workshop. Based on the criteria set, four papers have been accepted for presentation at the workshop and will appear in the IUCC conference proceedings. We would like to take this opportunity to thank the IUCC-2012 Organizing Committee, the TPC members of MultiCom-2012 and the authors for their s upport, dedicated work and contributions. Finally, we look forward to meeting you at the workshop in Liverpool.

Charting new territory for organizational ethnography:insights from a team-based video ethnography of reinsurance trading in Lloyd’s of London

An increasing interest in “bringing actors back in” and gaining a nuanced understanding of their actions and interactions across a variety of strands in the management literature, has recently helped ethnography to unknown prominence in the field of organizational studies. Yet, calls remain that ethnography should “play a much more central role in the organization and management studies repertoire than it currently does” (Watson, 2011: 202). Ironically, those organizational realities that ethnographers are called to examine have at the same time become less and less amenable to ethnographic study. In this paper, we respond to these calls for innovative ethnographic methods in two ways. First, we report on the practices and ethnographic experiences of conducting a year-long team-based video ethnography of reinsurance trading in Lloyd’s of London. Second, drawing on these experiences, we propose an initial framework for systematizing new approaches to organizational ethnography and visualizing the ways in which they are ‘expanding’ ethnography as it was traditionally practiced.

Message passing for distributed optimisation of power allocation with renewable resources

The increase in renewable energy generators introduced into the electricity grid is putting pressure on its stability and management as predictions of renewable energy sources cannot be accurate or fully controlled. This, with the additional pressure of fluctuations in demand, presents a problem more complex than the current methods of controlling electricity distribution were designed for. A global approximate and distributed optimisation method for power allocation that accommodates uncertainties and volatility is suggested and analysed. It is based on a probabilistic method known as message passing [1], which has deep links to statistical physics methodology. This principled method of optimisation is based on local calculations and inherently accommodates uncertainties; it is of modest computational complexity and provides good approximate solutions.We consider uncertainty and fluctuations drawn from a Gaussian distribution and incorporate them into the message-passing algorithm. We see the effect that increasing uncertainty has on the transmission cost and how the placement of volatile nodes within a grid, such as renewable generators or consumers, effects it.

The Polluter Profits Principle: A Note on the Grandfathering of CO2 Emissions Rights in Lax-Cap Trading Regimes

Grandfathering is currently the main principle for the initial allocation of tradable CO2 emission rights under the European cap-and-trade scheme. Furthermore, political feasibility often requires non-restrictive emission caps. Grandfathering under lax cap is unjust, biased and brings polluters unintended windfall profits. Still, in any post-Kyoto international CO2 regime, lax caps may be critical in coaxing binding emission targets out of more countries, especially those in the less-developed world. This paper argues that there is a certain quantity of emission rights between the initial and the optimal emissions, the grandfathering of which brings polluters zero windfall profits or zero windfall losses. Our theoretical concept of zero-windfall grandfathering can be used to demonstrate the windfall profits that have emerged at company level during the first EU trading period. It might thus encourage governments to embrace auctioning, and to combine it with grandfathering as a legitimate tool in the initial allocation of emission rights in later trading regimes.