A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion

In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. We prove that in incomplete market, some probability measure can be identified so that becomes -martingale under .This is in fact a new proposition on the martingale representation theorem. The new results also identify a weight function that serves to be an approximation to the Radon-Nikodým derivative of the unique neutral martingale measure.

Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.

The Vietnamese Corporate Bond Market An Early Exploration into the 1992-1999 Period

This paper summarizes the situation of corporate bonds in Vietnam for the period 1992-1999. Corporate bonds are new in the transitional economy, but the capital shortage and operational inefficiency of the banking sector and financial system would likely drive the bond market up in the future. The paper also discusses some conditions for the Vietnamese bond market to further develop, based on the facts and observation.

Volume, volatility, and leverage: A dynamic analysis

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

Carbon Markets: Past, Present, and Future

Carbon markets are substantial and they are expanding. There are many lessons from experiences over the past eight years: fewer free allowances, better management of market-sensitive information, and a recognition that trading systems require adjustments that have consequences for market participants and market confidence. Moreover, the emerging international architecture features separate emissions trading systems serving distinct jurisdictions. These programs are complemented by a variety of other types of policies alongside the carbon markets. This sits in sharp contrast to the integrated global trading architecture envisioned 15 years ago by the designers of the Kyoto Protocol and raises a suite of new questions. In this new architecture, jurisdictions with emissions trading have to decide how, whether, and when to link with one another, and policymakers overseeing carbon markets must confront how to measure the comparability of efforts among markets and relative to a variety of other policy approaches.

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Carbon markets: Past, present, and future

© 2014 by Annual Reviews.Carbon markets are substantial and expanding. There are many lessons from experience over the past 9 years: fewer free allowances, careful moderation of low and high prices, and a recognition that trading systems require adjustments that have consequences for market participants and market confidence. Moreover, the emerging international architecture features separate emissions trading systems serving distinct jurisdictions. These programs are complemented by a variety of other types of policies alongside the carbon markets. This architecture sits in sharp contrast to the integrated global trading architecture envisioned 15 years ago by the designers of the Kyoto Protocol and raises a suite of new questions. In this new architecture, jurisdictions with emissions trading have to decide how, whether, and when to link with one another, and policy makers must confront how to measure both the comparability of efforts among markets and the comparability between markets and a variety of other policy approaches.

Prices versus quantities versus bankable quantities

Quantity-based regulation with banking allows regulated firms to shift obligations across time in response to periods of unexpectedly high or low marginal costs. Despite its wide prevalence in existing and proposed emission trading programs, banking has received limited attention in past welfare analyses of policy choice under uncertainty. We address this gap with a model of banking behavior that captures two key constraints: uncertainty about the future from the firm's perspective and a limit on negative bank values (e.g. borrowing). We show conditions where banking provisions reduce price volatility and lower expected costs compared to quantity policies without banking. For plausible parameter values related to U.S. climate change policy, we find that bankable quantities produce behavior quite similar to price policies for about two decades and, during this period, improve welfare by about a $1 billion per year over fixed quantities. © 2012 Elsevier B.V.

A policy-definition language and prototype implementation library for policy-based autonomic systems

This paper presents work towards generic policy toolkit support for autonomic computing systems in which the policies themselves can be adapted dynamically and automatically. The work is motivated by three needs: the need for longer-term policy-based adaptation where the policy itself is dynamically adapted to continually maintain or improve its effectiveness despite changing environmental conditions; the need to enable non autonomics-expert practitioners to embed self-managing behaviours with low cost and risk; and the need for adaptive policy mechanisms that are easy to deploy into legacy code. A policy definition language is presented; designed to permit powerful expression of self-managing behaviours. The language is very flexible through the use of simple yet expressive syntax and semantics, and facilitates a very diverse policy behaviour space through both hierarchical and recursive uses of language elements. A prototype library implementation of the policy support mechanisms is described. The library reads and writes policies in well-formed XML script. The implementation extends the state of the art in policy-based autonomics through innovations which include support for multiple policy versions of a given policy type, multiple configuration templates, and meta-policies to dynamically select between policy instances and templates. Most significantly, the scheme supports hot-swapping between policy instances. To illustrate the feasibility and generalised applicability of these tools, two dissimilar example deployment scenarios are examined. The first is taken from an exploratory implementation of self-managing parallel processing, and is used to demonstrate the simple and efficient use of the tools. The second example demonstrates more-advanced functionality, in the context of an envisioned multi-policy stock trading scheme which is sensitive to environmental volatility

Generic support for policy-based self-adaptive systems

This paper presents a policy definition language which forms part of a generic policy toolkit for autonomic computing systems in which the policies themselves can be modified dynamically and automatically. Targeted enhancements to the current state of practice include: policy self-adaptation where the policy itself is dynamically modified to match environmental conditions; improved support for non autonomics-expert developers; and facilitating easy deployment of adaptive policies into legacy code. The policy definition language permits powerful expression of self-managing behaviours and facilitates a diverse policy behaviour space. Features include support for multiple versions of a given policy type, multiple configuration templates, and meta policies to dynamically select between policy instances. An example deployment scenario illustrates advanced functionality in the context of a multi policy stock trading system which is sensitive to environmental volatility.

Home is where my archive is

The miniaturization and dissemination of audiovisual media into small, mobile assemblages of cameras, screens and microphones has brought "database cinema" (Manovich) into pockets and handbags. In turn, this micro-portability of video production calls for a reconsideration of database cinema, not as an aesthetic but rather as a media ecology that makes certain experiences and forms of interaction possible. In this context the clip and the fragment become a social currency (showing, trading online, etc.), and the enjoyment of a moment or "occasion" becomes an opportunity for recording, extending, preserving and displaying. If we are now the documentarists of our lives (as so many mobile phone adverts imply), it follows that we are also our own archivists as well. From the folksonomies of Flickr and YouTube to the slick "media centres" of Sony, Apple and Microsoft, the audiovisual home archive is a prized territory of struggle among platforms and brands. The database is emerging as the dominant (screen) medium of popular creativity and distribution – but it also brings the categories of "home" and "person" closer to that of the archive.

Feeding 9 billion by 2050 – Putting fish back on the menu

Fish provides more than 4.5 billion people with at least 15 % of their average per capita intake of animal protein. Fish's unique nutritional properties make it also essential to the health of billions of consumers in both developed and developing countries. Fish is one of the most efficient converters of feed into high quality food and its carbon footprint is lower compared to other animal production systems. Through fish-related activities (fisheries and aquaculture but also processing and trading), fish contribute substantially to the income and therefore to the indirect food security of more than 10 % of the world population, essentially in developing and emergent countries. Yet, limited attention has been given so far to fish as a key element in food security and nutrition strategies at national level and in wider development discussions and interventions. As a result, the tremendous potential for improving food security and nutrition embodied in the strengthening of the fishery and aquaculture sectors is missed. The purpose of this paper is to make a case for a closer integration of fish into the overall debate and future policy about food security and nutrition. For this, we review the evidence from the contemporary and emerging debates and controversies around fisheries and aquaculture and we discuss them in the light of the issues debated in the wider agriculture/farming literature. The overarching question that underlies this paper is: how and to what extent will fish be able to contribute to feeding 9 billion people in 2050 and beyond?

Much Ado About Nothing: The Limitation of Liability and the Market for 19th century Irish Bank Stock

Abstract Limited liability is widely believed to be a prerequisite for the emergence of an active and liquid securities market because the transactions costs associated with trading ownership of unlimited liability firms are viewed as prohibitive. In this article, we examine the trading of shares in an Irish bank, which limited its liability in 1883. Using this bank’s archives, we assemble a time series of trading data, which we test for structural breaks. Our results suggest that the move to limited liability had a negligible impact upon the trading of this bank’s shares.

Technology and the architecture of markets: re-configuring the Canadian equity market

This paper examines the relation between technical possibilities, liberal logics, and the concrete reconfiguration of markets. It focuses on the enrolling of innovations in communication and information technologies into the markets traditionally dominated by stock exchanges. With the development of capacities to trade on-screen, the power of incumbent market makers has been challenged as a less stable array of competing quasi-public and private marketplaces emerges. Developing a case study of the Toronto Stock Exchange, I argue that narrative emphasis on the performative power of sociotechnical innovations, the deterritorialisation of financial relations, and the erosion of state capacities needs qualification. A case is made for the importance of developing an understanding of: the spaces of encounter between emerging social technologies and property rights, rules of exchange, and structures of governance; and the interplay of orderings of different institutional composition and spatial reach in the reconfiguration of market architectures. Only then can a better grasp be gained of the evolving dynamics between making markets, the regulatory powers of the state, and their delimitations.

Graded Relative Evidence

Relative Evidential Supports (RES) was developed and justified several years ago as a non-numeric apparatus that allows us to compare evidential supports for alternative conclusions when making a decision. An extension called Graded Relative Evidence (GRE) of the RES concept of pairwise balancing and trading-off of evidence is reported here which keeps its basic features of simplicity and perspicacity but enriches its modelling fidelity by permitting very modest and intuitive variations in degrees of outweighing (which the essentially binary RES does not). The formal justification is very simply based on linkages to RES and to the Dempster - Shafer theory of evidence. The use of the simple extension is illustrated and to a small degree further justified empirically by application to a topical scientific debate about what is called the Congo Crossover Conjecture here. This decision-making instance is chosen because of the wealth of evidence that has been accumulated on both sides of the debate and the range of evidence strengths manifested in it. The conjecture is that the advent of Aids was in the late 1950s in the Congo when a vaccine for polio was allegedly cultivated in the kidneys of chimpanzees which allowed the Aids infection to cross over to humans from primates. © 2005 Springer.