Market Agents Research Articles

Time series momentum: Evidence from the European equity market

This study empirically analyzes time series momentum (TSM) in the European equity market between 2000 & 2020. The study produces additional evidence on TSM where a significant and persistent market price anomaly enables investors to earn abnormal returns. To achieve this goal the present study implements a pooled autoregressive model to test the predictability power of European equity indices of future returns. The results indicate that strategies based on TSM are in line with the discussed literature and enable market agents to earn returns above the market (0.71% per month) by using a six-factor model.

Trust as a basis for ensuring sustainable interaction of market agents

The article undertakes an interdisciplinary theoretical analysis of the content and conditions of trust, which allows the cost-effective use of other resources. Ethical principles and regulators of the formation of trust, as well as an economic approach to assessing the measure of trust between agents of market relations, are substantiated. The category of trust has an economic content, since its absence in the relations of market agents leads to increased values of losses, and hence to a decrease in the effectiveness of the marketing management system. Agents of a market economy, depending on the current situation, need to be able to determine the measure of trust that they can provide to each other in the implementation of transactions. A toolkit for a quantitative assessment of a measure of confidence is proposed, the basis of which is the observance of ethical standards. However, with any measure of confidence, there will be losses due to the persistence of cases of immoral transactions. It is necessary to find its optimal measure according to the criterion of minimum losses from transactions. It is concluded that the current level of trust will lead to its further approval as a norm. Each situation has its own optimal measure of confidence. The article reveals the role of cultural and ethical regulators in the management of sustainable development. A business organization is considered as a target community, which is directly related to the categories of •values• and •value orientations•. In this context, culture and corporate ethics are presented to manage the sustainable behavior and economic interaction of people both in the internal environment of the organization and in the external marketing environment. The authors note the need to consider the fact that strict regulation of the methods of employees’ actions can lead to the destruction of a certain professional and ethical position. According to the results of the study, it was proved that in the process of managing an organization, it is necessary to take into account the characteristics of culture in organizational relations, since they make it possible to judge the effectiveness and efficiency of decisions made, taking into account socioeconomic and moral consequences.

Market nudges and autonomy

AbstractBehavioural techniques or ‘nudges’ can be used for various purposes. In this paper, we shift the focus from government nudges to nudges used by for-profit market agents. We argue that potential worries about nudges circumventing the deliberative capacities or diminishing the control of targeted agents are greater when it comes to market nudges, given that these (1) are not constrained by the principles that regulate government nudges (mildness, sensitivity to people’s interests and public justifiability) and (2) are often ‘stacked’ – they come in great numbers that overwhelm agents. In addition, we respond to possible objections and derive several policy suggestions.

ANALYTICAL IMPROVEMENT OF THE STATISTICAL EXPERIMENTS METHOD FOR THE PURPOSES OF PORTS DESIGN

The planning of business processes in sea transport is the foundation of transportation companies and technological projects development forecast. The calculations of business processes parameters are mainly complicated by the fact that most of the input values are stochastic ones. This is due to the specifications of technological processes and influence of a wide specter of external environment events (e. g., hydrometeorological and ice conditions) on the one hand, and market conditions (e. g., competition conditions, market agents behavior, exchange rate) on another hand. To provide the necessary level of results reliability, the calculations, that are implemented during research of specifical sea transport operations tasks (such as technological design of seaports), require to pay a great effort in experiments planning. Planning the experiments means the process of choosing the conditions, procedures and methods of experiments running. It also includes the definition of how many experiments should be provided. In other words, the purpose of experiments planning is providing the results maximum precision and reliability with minimum number of experiments. This element of research could take a whole volume in the scientific research. A method for implementing mathematical calculations with stochastic values, which allows you to define the form of the output probability distribution without Monte-Carlo method utilization, is suggested in the paper. It is proved in the paper that the output distribution is close enough to the results, which are calculated with conventional methods. At the same time, when the number of variables is small, the method requires less computational resources.

A Preliminary Analysis of the Marketing of Mango in Sindh Province, Pakistan

Fruits are an important sub-sector in the agricultural sector of Pakistan. This paper describes the structure and operation of the marketing channels, and quantifies marketing margins of producers and other market agencies. Survey results show that more than 90 percent of producers sold harvesting rights to their orchards to contractors. The producers’ share of the retail price was calculated to be 25 percent. The other shares were 43 percent for contractors, 6 percent for commission agents, 5 percent for wholesalers, and 21 percent for retailers. Other indicators reported here are net profit margins, duration and type of contract, method of contract price determination, mode of payment, and conduct of auctions.

Entrepreneurs in China’s ‘Silicon Valley’: state-led financialization and mass entrepreneurship/innovation

ABSTRACT This study problematizes the paradox of coexisting market dynamisms and the strong state in China’s ICT industry through an empirical inquiry into the history and practices of ICT entrepreneurship in Beijing’s Zhongguancun (ZGC), an alternative geo-imaginary to that of Silicon Valley. Drawing on archival research as well as interviews and participant observations between 2015 and 2020, we situate the post-2008 rise of ICT entrepreneurship in ZGC in the history of its decades-long transformation. We highlight two new ways in which the state has become intertwined with the market in the ICT sector. First, state agents at various levels have transformed themselves into ‘market agencies,’ acting through the market instead of governing it at a distance. Second, the state has increasingly taken a financialized approach to ICT governance, assuming the role of a capital investor to guide and facilitate rather than directly managing a market-driven entrepreneurial economy. We show how these macro political economic shifts have shaped mezzo level institutional changes and the micro, lived experiences of entrepreneurs variously situated along the elite-grassroots spectrum in ZGC, who rode waves of ‘mass entrepreneurship and innovation’ under the current Xi-Li administration.

Effective Synergy of Market Agents: The Core of Achieving Multi-Agent Governance on the Internet Platform

In recent years, the governance strategies of Internet platforms proposed by the academic community have given more consideration to the responsibilities of social subjects. Since the subjects come from different social strata, the study on the interaction mechanism between the subjects has become an important topic to ensure the effective play of the multi-agent governance model. This paper makes comprehensive use of evolutionary game and principal-agent theory to build an interactive relationship model between government, platform, and public, gradually discusses measures to improve the effect of government regulation, multi-agent governance, and the level of responsibility of subjects, and then puts forward suggestions to achieve collaboration among all subjects. The results show that the level of market information obtained by the government and the probability of merchants being investigated are the key factors affecting the effect of government regulation, and the former is better than the latter. Improving the effort level of the platform is the core issue to achieve the effect of multi-agent governance, and public participation, technology promotion and system improvement are measures to motivate the platform’s responsibility. Giving full play to the advantages of the subjects and coordinating the relationship between the subjects are the key tasks to achieve the multi-agent governance effect of the Internet.

A comparison of banks and real estate intermediaries as house sellers

The foreclosure crisis associated with the banking crisis transformed banks in the hardest-hit countries into real estate brokers. The main novelty of this paper is to study banks as sellers of their own foreclosed properties and compare banks’ sales outcomes with those of traditional agents in the real estate market. We compare the list price, selling price, time on market and price discount of traditional real estate companies (TRECs) and bank-owned real estate companies (BRECs). We find evidence of a higher selling price, higher list price and longer time on market (TOM) for BRECs than for TRECs. Our findings are consistent with BRECs displaying greater patience as well as lower risk aversion. However, these explanations are not enough to fully account for the magnitudes of the coefficients. The empirical estimates suggest that information in the housing market may also be a source of distortions. In fact, the main aim of the sale varies depending on the incentives of the company. BREC sellers are banks that own the properties for sale, so their incentives are to maximize selling prices to reduce the loss charged to their annual results, while TRECs seek to minimize the TOM.

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

PurposeThis study aims to provide a comparative insight into the level of informational efficiency and irregularities of Shariah-compliant stocks and conventional stocks in three emerging markets, namely, China, Malaysia and Pakistan. The empirical evidence is provided for pre-crisis and crisis periods caused by the Covid-19 pandemic.Design/methodology/approachInformational efficiency is measured using the variance ratio (VR) Test developed by Kim (2006). The Approximate Entropy (ApEn) Metrics is used to investigate the level of irregularities in stock prices caused by the pandemic.FindingsAll the three emerging markets in the sample are not immune to the crisis caused by Covid-19 pandemic. The level of informational efficiency of both the Shariah-compliant and conventional stock is affected by the crisis. However, the former exhibits relatively high level of informational efficiency and stability in returns as compared to more volatility of conventional stocks.Practical implicationsThis study provides market agents and policy makers with a robust assessment of the impact of the Covid-19 pandemic on informational efficiency of Shariah-compliant and conventional stocks. Relatively high informational efficiency of Shariah-compliant stocks indicates that they are more transparent and that investors can trust the Shariah-compliant stocks more. This higher level of transparency and trust leads to more steady returns and lower levels of risk even during turbulent time like Covid-19. Investors can gain superior returns by conducting fundamental analysis and investing in index funds.Originality/valueTo the best of the authors’ knowledge, this is the first study that highlights the difference in informational efficiency of conventional stocks and Shariah-compliant stocks in the crisis period caused by Covid-19. Unlike previous studies, this study uses firm level data which enables firm-wise assessment of informational efficiency.

‘Cute face and quiet … but her look don't match her personality’: Commodifying flesh, shaping labour expectations and domestic workers' treatment in Singapore

AbstractWhile it is well established that domestic work has long been commodified, this paper builds on existing literature to show how employment agencies use the production of biodata to simultaneously, and strategically, homogenise and differentiate domestic workers in Singapore as racialised commodities. As such, and building on existing literatures on racialisation, bodily commodification, corporeality and domestic labour, this paper develops the concept of ‘fleshly commodity’ to convey domestic workers' positioning as racialised, captive, fungible and simultaneously homogenised and differentiated corporeal objects. Moreover, this paper will bring attention to the broader implications of the processes by which employment agencies market, fetishize, and then sell domestic workers. It does so by illuminating how recruitment practices shape the labour required/expected of domestic workers, before demonstrating how their living and working conditions and relations are also impacted. Through engagement with ethnographic data, this paper also demonstrates how domestic workers' humanity, personhood and agency continually contest and undo attempts to render them fleshly commodities.

A General Equilibrium Analysis of Achieving the Goal of Stable Growth by China’s Market Expectations in the Context of the COVID-19 Pandemic

The COVID-19 pandemic triggered a weakening of expectations of market players and local governments. It is necessary to explore some effective paths to stabilize China’s market expectations. This paper draws on computable general equilibrium (CGE) model elasticity indicators and marginal utility indicators to simulate the impact of the COVID-19 pandemic on market agents and the impact of shocks brought about by the COVID-19 pandemic on various industry sectors. Our results first show that the Keynesian closure is still valid, with the impact values of the COVID-19 pandemic on GDP, urban consumption, rural consumption, investment, imports, and exports being 2.35%, 7.96%, 9.79%, 4.10%, −3.13%, and 6.15%, respectively, with the COVID-19 pandemic shock having a particularly strong impact on rural consumption. Second, the impact of the COVID-19 pandemic on different industries is comprehensive and non-equilibrium. In consumption, urban and rural residents have the largest changes in consumption demand in the tertiary and primary industries, and the overall change in consumption of rural residents is larger than that of urban residents. In investment, the tertiary industry investment changes most significantly, while the primary industry has a gentle change. The impact of weaker import and export expectations on industry imports and exports is concentrated in the secondary and primary industries. Third, the weakening expectation induces a decline in the multiplier effect, making it difficult for economic growth to return to pre-pandemic levels, which needs to be accompanied by fiscal policies such as reducing taxes, lowering fees, and raising fiscal spending to achieve growth targets. In addition, while fiscal policy significantly boosts import and export trade, it has a significantly greater impact on exports than imports.

Risk assessment of the continuity of essential medications for low socioeconomic patients in Syria: a case study of diabetes mellitus

Abstract Objectives During the past decade, the health system in Syria has been devastated due to the ongoing conflict which affected the production of pharmaceuticals as well. Patients of chronic diseases, such as diabetes mellitus, were significantly affected by the shortages of oral anti-diabetic medications, especially those of lower socioeconomic status. The objective of this paper is to study the causes and effects of the shortage of oral anti-diabetic agents in the Syrian market on patients with low socioeconomic status who find difficulties in accessing these medications. Methods The methodology of the study includes determining the availability of nationally produced oral anti-diabetic agents in different local pharmacies. Then, it studied the effects of this availability on low socioeconomic status patients whose prescriptions were registered in a local NGO and analysed using Microsoft Excel (Microsoft, USA). Key findings The study shows that many of the anti-diabetic medications included in the study have less than 50% availability in the pharmacies. Metformin, which is considered as a first-line treatment in diabetes has 40% availability. In addition, metformin was the most prescribed medication with about 57% frequency followed by gliclazide with 37% prescription frequency. Conclusion This study raises concerns about the continuity of supply of some of the oral anti-diabetic agents in the Syrian market. This can impact patient commitment to treatment, where patients from low socioeconomic status can be most affected by medication unavailability in nearby pharmacies or increased pricing due to high demand with low supply.

The Determinants of Micro Finance Institutions’ Decision to Receive a Social Rating: An Institutional and Resource-Dependence Perspective

We examine the determinants of MFIs’ social rating decisions according to institutional and resource dependency pressure factors. We exploit a unique data set containing 221 MFIs resulting in 767-year observations, obtained from both mixed market and social rating agencies (Planet, MicroFinanza, and Microrate rating agencies). Our data was collected for both rated and non-rated MFIs between the years 2006 and 2018, in six major less-developed regions of the world. Our study contributes to the CSR literature in microfinance as the decision to be rated acts like a CSR signal. Our research shows that the tighter the rule of law the less inclined MFIs are to seek a rating. In addition, we borrow from the resource-dependence perspective to demonstrate that proxies for resource (in)dependence such as for-profit status, mature stage, and subsidization are negatively associated with the obtention of a social rating. Overall, in the less-developed regions of the world, when MFIs operate in a strongly regulated environment and have a strong position (financial and mission-wise), with respect to investors, they are less willing to obtain a social rating.

Use of lithium disilicate veneers with dual cementation protocol for anterior rehabilitation: case report

The need to perform restorations with a natural appearance is one of the most challenging aspects of Dentistry, as well as the reproduction of the color of natural teeth in restorations is a clinical challenge, due to the complex optical characteristics of dentition Natural. As use of ceramics the need to use more opaque restorative materials or in different thicknesses, there is a great difficulty in obtaining adequate results in relation to the final color of the restoration. The objective of this work is to report a clinical case of smile rehabilitation in the anterior region with facets made of lithium dissilicate using the double cementation protocol, aiming at the final uniformization of color, and showing the advantages of use of this protocol in obtaining the aesthetics of the smile. A 47-year- old female patient with Diabetes Melitus, with main complaint the aesthetics of anterosuperior teeth, diagnosed in a pure ceramic crown in tooth 21 and a resin facet in tooth 11. With this, a planning was carried out to exchange these restorations and correction of the gingival margin of element 11, because the elements in question were different zeniths. The double cementation protocol allows a better aesthetic integration of restorations, besides allowing a reduction in the number of parts corrections by the laboratory, the preparation of facets simultaneously, ensuring a color and appropriate shape. Therefore, given the diversity of cementing agents in the dental market, it is important that the dentist has extensive scientific knowledge to know which cement to use in each prosthetic restoration, in addition to practical knowledge to know which technique to use and obtain a satisfactory result approved by the patient.

Interplay multifractal dynamics among metal commodities and US-EPU

This research employs the Multifractal Detrended Fluctuations Analysis (MF-DFA) and the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to study the components of the observed multifractality considering eight metals commodities time series (Gold, Silver, Platinum, Palladium, Copper, Lead, Nickle and tin) and economic policy uncertainty (US-EPU) index time series. For both multifractal methods, we analyze the generalized Hurst exponent h(q) and the Rényi exponent τ(q), and evaluate their statistical properties, which allow us to examine separately the small-scale contributing (primarily via the negative moments q) and the large scale (via the positive moments q). Also, we calculate the multifractal spectrum f(α) and perform a fourth-degree polynomial regression fit to evaluate the complexity parameters that describe the degree of multifractality, considering the volatility time series and the volatility time series pairs. We find that these volatility time-series (α0>0.5) and these volatility time series pairs (αxy(0)>0.5) are characterized by overall persistent behavior. We discover that Gold seems more related to the other commodities than (US-EPU) index, which is relevant for the different market agents, mainly investors, which could retrieve important information from these results, for example, for diversification purposes.

ОБЧИСЛЮВАЛЬНИЙ МЕТОД ВУЗЛОВОЇ ТРАНСФОРМАЦІЇ ПРОЦЕСУ ЦІНОУТВОРЕННЯ НА РИНКУ ЕЛЕКТРОЕНЕРГІЇ

The main attention in the article is given to the development of the method of nodal transformation of the pricing process in the electricity market. The sequence of implementation of the main constructive stages of its development and further use is given, such as: descriptions of the pricing process; formalization of the pricing process; development of computational procedures for building a simulation model of the pricing process. A distinctive feature of this method from the known and described in the scientific literature is the direct connection of the dynamic energy flow at all stages of the technological process of production, transmission and distribution of electricity with the economic flow. The computational procedures of the method are implemented using the discrete-event approach. The method is designed to build a simulation model of the pricing process in the electricity market, which along with a system of short-term price forecasting models in different market segments, becomes the key in the information and methodological support of multi-agent environment for the market agents interaction. References 13, figures 2.

Transaction Costs, Institutions and Blockchain Technology: Toward A New Paradigm

Blockchain technology has the potential to disrupt many of the assumptions that we currently hold about market transactions, the role of institutions and the nature of the firm. As a result of this new technology, market transactions may be conducted between decentralized, autonomous economic actors at much lower costs, with less uncertainty, and without central control by governments in the form of formal institutions. The latter aligns with the vision of Adam Smith two and a half centuries ago (Smith, 1776 [1976]) and so, possibly for the first time, markets could become true price-driven exchanges between suppliers and consumers. Blockchain technology also challenges the key assumptions underpinning the existence of the firm (Coase, 1937) as it has the potential to reduce the cost of search, contracting, coordination and the establishment of trust. When realized, this potential may lead to the emergence of new ways to organize economic activities. Accordingly, blockchain technology may be the next wave of disruption for intermediated transactions in many contexts, by reducing and possibly eliminating the need for market agents. Due to its relative novelty, however, discussions about blockchain technology have so far predominately centered on technical aspects and its first application - the cryptocurrency bitcoin. This paper attempts to elevate the discussion beyond those confines and into the realm of organization and management theory by exploring how the diffusion and application of blockchain technology may advance well-established theories, namely transaction cost economics, agency theory, and institutional theory.

A multistage stochastic approach for the optimal bidding of variable renewable energy in the day-ahead, intraday and balancing markets

Market agents with renewable resources face amplified uncertainty when forecasting energy production to securely place bids in electricity markets. To deal with uncertainties, stochastic modelling has been applied to optimize the bidding strategy of these market agents. However, studies found in the literature usually focus on day-ahead and balancing markets, leaving aside intraday markets that could be used to correct bidding positions as uncertainty gets resolved. This paper proposes a multistage stochastic decision-aid algorithm based on linear programming to optimize the bidding strategy of market agents in three different electricity markets - day-ahead, intraday, and balance markets. The market agent represents a Virtual Power Plant with wind, solar PV, and storage technologies, and its participation in three electricity markets was compared to the participation in DA and BM markets only. Results show that participating in all three markets increased the profit achieved by the VPP agent by 10.1% while also decreasing the incurred imbalances by 63.8%. The results demonstrate that having accurate tools to deal with the multi-settlement framework of electricity markets while considering the uncertainties of daily operations is key to a successful integration of renewable energy resources into electricity markets and power systems.

Designing the market for job vacancies: A trust experiment with employment centers staff

We use a trust experiment to study the behavior of 500 employment agents who serve as matchmakers between labor supply and demand. These agents often face difficult trade-offs when they do not find a suitable match within their employment center: they can either place a suboptimal job seeker, let a vacancy go unfilled, or collaborate with other competing employment centers by sharing vacancies and job seekers at the risk of losing business to their competitors. We show in our experiment that lack of trust and norm misperceptions impede such collaboration. In addition, we observe that financial incentives increase collaboration but also employer poaching, and that social incentives in the form of a reputation mechanism decrease poaching. Finally, we find that the agents’ level of norm misperceptions and their willingness to cooperate influence the effectiveness of these incentives. We discuss policy implications and suggest research avenues to study the overlooked role of intermediaries in market design, and in particular in the market of agencies offering employment services.

Irrational exuberance and deception — Why markets spin out of control

This article reports on a field study of 457 US participants that identifies the intimate link between three constructs: disconnection (dis-anchoring) from the bundle of needs, goals, and preferences (NGPs), irrationality, and indebtedness. We combine these three mental states that together influence deceitful borrowing behaviors to define irrational exuberance. When using linear regressions and path analyses, we find that together they form a self-reinforcing wheel of misfortune that may spin out of control and generate market frictions, as suggested by US market data. A predatory dynamic drives this loop whereby market agents position themselves at various levels of financial predation (as either predators, prey, or a mix thereof). The theoretical implications of our findings are that we integrate this loop into the literature on debt, something that has not been done before in financial or economic theory. Thus, we enrich the understanding of why market agents – lenders and borrowers alike, either individuals or organizations – mislead each other and why markets consequently tend to deviate from normalcy. The managerial implication is that a better psychological appraisal of borrowers’ mental states and behaviors would likely improve lending risk assessment, may reduce default outcomes, and, on a macroeconomic level, could alleviate the symptoms of impending financial crises.