Rational Market Research Articles

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

We present a simple model of a non-equilibrium self-organizing market where asset prices are partially driven by investment decisions of a bounded-rational agent. The agent acts in a stochastic market environment driven by various exogenous alpha signals, agent's own actions (via market impact), and noise. Unlike traditional agent-based models, our agent aggregates all traders in the market, rather than being a representative agent. Therefore, it can be identified with a bounded-rational component of the market itself, providing a particular implementation of an Invisible Hand market mechanism. In such setting, market dynamics are modeled as a fictitious self-play of such bounded-rational market-agent in its adversarial stochastic environment. As rewards obtained by such self-playing market agent are not observed from market data, we formulate and solve a simple model of such market dynamics based on a neuroscience-inspired Bounded Rational Information Theoretic Inverse Reinforcement Learning (BRIT-IRL). This results in effective asset price dynamics with a non-linear mean reversion - which in our model is generated dynamically, rather than being postulated. We argue that our model can be used in a similar way to the Black-Litterman model. In particular, it represents, in a simple modeling framework, market views of common predictive signals, market impacts and implied optimal dynamic portfolio allocations, and can be used to assess values of private signals. Moreover, it allows one to quantify a market-implied optimal investment strategy, along with a measure of market rationality. Our approach is numerically light, and can be implemented using standard off-the-shelf software such as TensorFlow.

(Non-) Alternative energy transitions: Examining neoliberal rationality in official nuclear energy discourses of Russia and Poland

Neoliberal trends are a part of the sociopolitical contexts that shape present-day energy transitions. Economic arguments extensively used in nuclear energy discourses regarding the Nuclear Renaissance period may indicate that neoliberal trends have penetrated discussions about energy transitions. This article examines the presence of neoliberal rationality in the official nuclear energy discourses coming from Russia and Poland. These countries are interesting in respect to their relatively recent changes towards a market economy. Neoliberal rationality is defined in the article as the combination of market rationality, limited role of state, political consensus, governance structures and securitization, following Foucault and Brown. Discourse analysis of the energy policies and speeches of politicians that contain statements about nuclear energy development is carried out. The analysis confirms the significant presence of these themes in nuclear energy discourses as well as discourses reflecting the specificities of the two countries. The combination of the defining features of neoliberal rationality in official nuclear energy discourses seem to leave limited space for challenging nuclear energy development and discussing alternative energy transitions.

Acteur populaire, économie populaire et développement réel : contribution à la théorie critique du changement social aux Suds

Forme de changement social, le développement a, dans sa version dominante, le marché autorégulateur, l’ homo œconomicus , la croissance économique et la rationalité formelle au centre de sa dynamique. Celle-ci vise le passage des Suds des sociétés traditionnelles aux sociétés modernes en suivant le chemin des pays du Nord. Très souvent, le développement réel n’est pas réalisé. L’acteur populaire dont les pratiques économiques et sociales sont légitimes, substantielles et allient traditionnel et moderne, semble capable de (ré) enchanter le développement en mobilisant ses dimensions réelles.

Contesting market rationality: Discursive struggles over prison privatization

Market rationality suffuses many areas of modern criminal justice. Prison privatization is one area in which market rationality is particularly salient. This paper presents a case study of how market rationality was deployed in public discourse on prison privatization. It answers four questions: (1) Who shaped public discourse on prison privatization? (2) How frequently were market-rational themes invoked in the public discourse?, (3) Who employed (and who avoided) market-rational themes in the discourse?, and (4) Why did rates of market-rational discourse change over time? To answer these questions, the paper analyzes public discourse in four major American newspapers from 1985 to 2008. It employs a series of descriptive statistics and regression analyses, as well as an underutilized method—formal decomposition analysis. The research contributes to historical knowledge of the development of prison privatization, methodological techniques for analyzing textual data, and theoretical understanding of how public actors engage in discursive struggles over the meaning of criminal justice policies.

Money and the emergence of knowledge in society

This paper deals with money’s epistemic relevance in society. Money presents theoretical difficulties for neoclassical economics, which treats it as a cost-reducing tool, leading to a socially neutral, aseptic view on money. Drawing from complexity and social theory I provide a socio-epistemic rationalization for money’s irreplaceable role. Building upon Ingham’s Money Is a Social Relation, I argue that money generates a new orderly system of complex social relations that in turn engenders knowledge as an emergent social and ontological phenomenon irreducible to the fragmented knowledge held by members of society. I show that ultimately money cannot be separated from economic knowledge and market rationality. This paper provides sociological and ontological accounts for the emergence of knowledge crucial to coordinate societies, thus extending recent explorations of the ontology of money.

Examination of the China's Model of Economics

Under the framework of the Western mainstream economics, this book uses supply-and-demand relationship to build axiom system of economics, and defines the micro-expansion and macro-regulation as China model, with an attempt to decipher the China model and all micro- or macro-economic phenomena. This book argues that rationality is not the invisible hand, but a necessary condition for the formation of the invisible hand; and the market is not the invisible hand, instead, it is managed by the invisible hand; the invisible hand of the market is competition based on rationality. Competitive market is orderly and efficient, thus there is no need for government intervention. Competition is necessary for China’s micro-expansion. Prices in competitive market can fluctuate, but no hyperinflation will come out. Once hyperinflation exists in the market, it means that the competition between companies and consumers on product prices and demand has failed, the competition between enterprises on product cost performance ratio has failed. Market rationality becomes uproar without competition, but the invisible hand of the market has been unable to manage the market effectively, and a market without management will suffer from bubble-bursting. A hard landing market with banks collapse, stock market crashes, company bankruptcy, unemployment and surplus product market is out of order, not to mention about efficiency. China's macro-regulation can help overheated market to have a soft landing, and restore the ability of the invisible hand to manage the market. Giffen theory of this book explains not only the microscopic phenomena of inflation and deflation, but also the necessity, possibility and universality of macro-regulation of China mode, the former lays a microscopic foundation for macroeconomics, and the latter uses the language of mainstream economics to lay a foundation for China Mode.

Significance of Parental Influence on School Growth and Population in African Contexts

This study explored the roles of parents in choosing schools for their children which adversely affect the growth of schools in African nations, using Nigerian contexts. There has been a massive awareness on the part of the parents to give quality education to their children at affordable costs. This is based on the general belief that education is a significant means of liberating and empowering family members for better lives. This study delved into reasons why parents preferred one school to another for their wards in African countries. The motive of this paper was to make empirical submission on the patronage of schools in Nigeria. Rational choice theory, market theory and choice theory were used as frameworks to underpinned this study. This quantitative study used 100 senior secondary school students and 100parents from Lagos, Nigeria as participants through the stratified sampling procedure. The validity of the instrument was tested using the expert opinion method while the reliability was tested with a test re-test method which indicated a co-efficient of 0.71. The correlation co-efficient method was used to analyse the collected data which was five percent significance, all the five hypotheses were equally tested to ascertain the claims. The study revealed statistically significant factors such as parents’ influence, socio-economic and educational background, parents’ desires for good education for their children, adolescents’ academic performance, parents’ quests for the best education for their children and cost of education. Recommendations were made to advise the priorities among these factors.

Internal market rationality: In the way of re‐imagining the future

European Law JournalVolume 24, Issue 1 p. 99-115 DEBATE Internal market rationality: In the way of re-imagining the future Marija Bartl, Marija BartlAssociate professor at the Faculty of Law, University of Amsterdam, Amsterdam, The Netherlands.Search for more papers by this author Marija Bartl, Marija BartlAssociate professor at the Faculty of Law, University of Amsterdam, Amsterdam, The Netherlands.Search for more papers by this author First published: 11 February 2018 https://doi.org/10.1111/eulj.12263 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat Volume24, Issue1January 2018Pages 99-115 RelatedInformation

Not seven, but eleven? European crises or “new normal”?

Not seven, but eleven? European crises or “new normal”?

Newton's Financial Misadventures in the South Sea Bubble

One of the most popular investment anecdotes relates how Isaac Newton, after cashing in some large early gains, staked his fortune on the success of the South Sea Company of 1720 and lost heavily in the ensuing crash. However, this tale is based on only a few scraps of hard evidence, some of which are consistently misquoted and misinterpreted. Much of what has been published is embellished with questionable flourishes. A superficially plausible contrarian argument has also been made that he did not lose much in that period, and John Maynard Keynes even claimed Newton successully surmounted the South Sea Bubble. This paper presents extensive new evidence that while Newton was a successful investor before this event, the folk tale about his making large gains but then being drawn back into that mania and suffering large losses is almost certainly correct. It probably even understates the extent of his financial miscalculations. Incidentally to the clarification of this prominent issue, a controversy between Dale et al. and Shea about an aspect of market rationality during that bubble is settled. Some new information is also presented about Thomas Guy, famous for making a fortune out of the Bubble that paid for the establishment of Guy's Hospital, and other investors. The work reported here suggests new research directions and perspectives on bubbles.

Bold Stock Recommendations: Informative or Worthless?

We select a small set of recommendations that lie in the upper and lower tail of the empirical distribution of divergences between a recommendation, and the consensus over the window (-30, -1)-days prior to that recommendation. We classify these extremely divergent recommendations as bold, and then subdivide them into informative bold recommendations that lead other analysts (leading-bold) and those that are ignored by other analysts (contra-bold) based on the consensus change in the thirty days after the announcement. We focus on the information conveyed to the market by these bold, leading-bold, and contra-bold recommendations through their effects on Cumulative Abnormal Returns (CAR). We find that bold recommendations are not anticipated by market participants (CAR’s are negative before a bold buy and positive before a bold sell). The next finding is that the market responds strongly to both leading and contra bold recommendations over the (0, +4) window and that these reactions are stronger than that to non-bold recommendations. In contrast, over the longer (0, +30)-day window, leading-bold recommendations earn additional returns whereas contra-bold ones reverse significantly due to lack of confirmation. The overall pattern is one of rational market reaction both in the short and long windows. We support the rationality of the market reaction by showing that the percentage of leading-bold recommendations exceeds that of contra-bold recommendations, and that these two types of recommendations cannot be separated using observable analyst characteristics such as experience or brokerage size.

Sustainable Development in Accordance With the Concept of Industry 4.0 on the Example of the Furniture Industry

Sustainable development, as an integral part of building an economically rational market, is a challenge which is faced by many branches of the economy. The paper is an attempt to assess the opportunities provided by Industry 4.0 in the process of sustainable development of the furniture industry in Poland, making use of the experiences resulting from the participation of the Author in the project cofunded by the Erasmus+ Program of the European Union “Curriculum Development of Master’s Degree Program in Industrial Engineering for Thailand Sustainable Smart Industry - MSIE4.0”.

Overconfidence, Differences in Beliefs and The Equity Premium Term Structure

Empirical studies suggest that the equity premium term structure is downward sloping. By deriving a closed form dividend strips pricing formula in a heterogeneous-agent economy, we show that when some investors are over-pessimistic, typically in a bear market: 1) short-maturity dividend strips have higher risk premium than the aggregate stock market; 2) the volatility term structure of dividend strip prices is downward sloping. These results imply that the slope of equity premium term structure is pro-cyclical. We show that belief dispersion and overconfidence can explain the equity premium term structure and determine the term structure of quantity and price of risks. Intuitively the difference in beliefs towards the short run economic growth allows market shocks to produce wealth distribution fluctuation among pessimists and optimists, increasing short run discount rate and short term risk premium. Meanwhile rational market participants can arbitrage away the pricing errors induced by over-pessimistic investors over time and reduce expected fluctuations in individual wealth gradually, and hence long-term dividend strips have lower volatilities and risk premia.

Partners in Patriarchy: Faith-Based Organizations and Neoliberalism in Turkey

Faith-based organizations (FBO) have become active vehicles of neoliberal governmentality in the last decade. FBOs have been assuming increasing responsibilities in service delivery and welfare provision. They have also become key actors in cultivating the ideational environment that facilitates the effective functioning of market rationality. The empirical findings of this research demonstrate that faith-based organizations in Turkey equip neoliberal governmentality by facilitating the market logic that externalizes the cost of social reproduction to households. Islamic NGOs, examined in this study, promote a normative and traditional model of social reproduction, which rests upon religious familism, gender complementarity, and pronatalism. Faith-based organizations co-constitute neoliberalism by providing theopolitical legitimacy to neoliberal social welfare systems and, in the process, reinforce the patriarchal gender contract in the public and private spheres.

The Remarkable Persistence of the Rational Expectations Hypothesis

The rational expectations hypothesis was first made explicit and applied by John Muth (1961) in a microeconomic setting, but the hypothesis is closely associated with Robert Lucas and the new classical school of thought in macroeconomics that evolved from the early 1970s. However, new classical models also include the assumption of continuous market clearing. While such market-clearing models are nowadays the exception rather than the rule, the rational expectations hypothesis has endured as part of the current synthesis in macroeconomics (Woodford 2009). Given the various criticisms of rational expectations, this paper examines the remarkable persistence of the hypothesis from two different perspectives. First, Uskali Maki’s distinction between “realism” and “realisticness” is employed to reconstruct the arguments of Muth and Lucas in justifying rational expectations, using the different attributes of realisticness as terms of reference. Second, a distinction is made between individual and market rationality. Some criticisms of rational expectations lose their force when the hypothesis is interpreted in the context of market rather than individual rationality.

Fictitious Freedom: A Polanyian Critique of the Republican Revival

AbstractProminent republican theorists invoke anonymous orders such as the market as mechanisms that secure freedom as non‐domination. Drawing on Karl Polanyi's account of fictitious commodities and demonstration of the impossibility of a just and rational market society, this article critically scrutinizes neo‐republican assumptions regarding the market, develops an alternate social theory within which to situate the ideal of non‐domination, and illustrates the importance of this reconfiguration for the kind of collective agents and political strategies that can be expected to advance republican freedom in the economy.

Neoliberalism and the Psychology of Time

An analysis is given of how the contemporary neoliberal order is reshaping the experience and understanding of time, the ways the neoliberal transmutation of time is reorienting and reorganizing individual and collective psychological life, and psychology’s response to the malaise of temporal acceleration. It is argued that the capitalist dynamics of competition and profitability, the collapse of Fordism and rise of neoliberal economics and market rationality, technological innovation, the supplanting of clock time by “network” time, increasing burdens of individual risk and responsibility, the proliferation of choice, and erosion of the distinction between private and public are accelerating the pace of life. The result is a culture of urgency and shift in the understanding of human fulfillment. The proposed psychological solution of time management strategies and its inadequacies also are discussed.

Performance, Persistence, and Pay: A New Perspective on CTAs

Using a large and representative dataset of commodity trading advisors (CTAs), we provide compelling evidence that CTAs generate significant net excess returns of at least 4.1% annually; that approximately 64% of the funds have positively skewed returns; and that there is considerable heterogeneity amongst CTAs, with systematic trend followers doing significantly better than other subcategories. More importantly, we find that CTAs not only beat passive, normative benchmarks, with a yearly gross alpha of at least 5.3% but also generate significant, incremental crisis alpha during periods of equity market turmoil. Finally, we show that cross-sectional differences in the performance of CTAs are persistent up to 3 years and that managerial compensation predicts fund performance. Our results are consistent with a rational market where investors compete to invest with successful CTA managers, who use fees to signal their skills to investors.

Introduction: Righting Feminism

This is the introduction to a special issue on Righting Feminism. In recent years, we have witnessed the multifarious ways in which feminism as an emancipatory project dedicated to women's liberation has increasingly “converged” with non-emancipatory/racist, conservative, and neo-liberal economic and political agendas. Today, feminist themes are not only being mainstreamed but are also increasingly being mobilized to bolster existing power hierarchies as well as neo-liberal and right-wing xenophobic political agendas. The convergence of feminism with these dominant ideologies and forces has taken many forms in the West. In Europe, right-wing nationalist parties have utilized gender equality to further a racist, anti-immigrant agenda. In the US, not only has gender equality been brandished to justify imperialist interventions in countries with majority Muslim populations, but, more recently, high-powered corporate women have publicly endorsed a form of feminism that is informed through and through by a market rationality. This themed issue intervenes and queries what appears to be the “righting of feminism”. For us, this notion refers not only to feminism’s rightward turn but also to the way in which rights language, namely, women’s rights, have been mobilized to advance non-emancipatory goals. And, yet, righting feminism simultaneously – and crucially – connotes a political desire and aspiration to make feminism “right” again by reclaiming its emancipatory potential. This issue includes an extensive critical introduction which provides an overview of the field and presents the work of the contributors. Each of the six essays in the issue then discuss crucial aspects of the ways in which feminism has been increasingly associated with either neoliberal or right-wing xenophobic ideologies and propose original analyses in order to shed new light on this perplexing phenomenon.

Маркетингове управління методами економіко-математичного моделювання

В статті наголошено, що маркетинг є одним з основних напрямів сучасного підприємництва, вказано на зростання ролі маркетингу в управлінні підприємствами та на необхідність забезпечення маркетингового управління ефективними методами. Наголошено на важливості методу математичного моделювання в маркетинговому управлінні, в забезпеченні прийняття управлінських рішень та вирішенні задач маркетингу. Проведено аналіз основних методів економіко-математичного моделювання та вказано напрямки їх використання в маркетинговому управлінні підприємством, в підвищенні якості та ефективності діяльності маркетингових служб. Показано, що застосування економіко-математичних моделей вказує шляхи вдосконалення маркетингової інформації, веде до спрощення розв'язку системи задач планування й управління, інтенсифікації, підвищення точності розрахунків, оптимізації та прогнозування. Вони дають можливість оцінити перспективи розвитку місткості ринку, визначити найбільш раціональні стратегії маркетингу і можливі відповідні кроки конкурентів, оцінити оптимальні затрати на маркетинг для отримання необхідного розміру прибутку.