bluuebunny/crossref_metadata_2025 huggingface dataset:
Pricing Via Utility Maximization and Entropy
Authors: Rouge Richard , El Karoui Nicole
Published: March 2003

In a financial market model with constraints on the portfolios, define the price for a claim C as the smallest real number p such that supπ E[U(XTx+p, π−C)]≥ supπ E[U(XTx, π)], where U is the negative exponential utility function and Xx, π is the wealth associated with portfolio π and initial value x. We give the relations of this price with minimal entropy or fair price in the flavor of Karatzas and Kou (1996) and superreplication. Using dynamical methods, we characterize the price equation, which is a quadratic Backward SDE, and describe the optimal wealth and portfolio. Further use of Backward SDE techniques allows for easy determination of the pricing function properties.
Portfolio Optimization and Martingale Measures
Authors: Schäl Manfred
Published: March 2003

The paper studies connections between risk aversion and martingale measures in a discrete‐time incomplete financial market. An investor is considered whose attitude toward risk is specified in terms of the index b of constant proportional risk aversion. Then dynamic portfolios are admissible if the terminal wealth is positive. It is assumed that the return (risk) processes are bounded. Sufficient (and nearly necessary) conditions are given for the existence of an optimal dynamic portfolio which chooses portfolios from the interior of the set of admissible portfolios. This property leads to an equivalent martingale measure defined through the optimal dynamic portfolio and the index 0 < b≤ 1. Moreover, the option pricing formula of Davis is given by this martingale measure. In the case of b= 1; that is, in the case of the log‐utility, the optimal dynamic portfolio defines the numéraire portfolio.
Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets
Authors: Girotto Bruno , Ortu Fulvio
Published: March 2003

A numéraire is a portfolio that, if prices and dividends are denominated in its units, admits an equivalent martingale measure that transforms all gains processes into martingales. We first supply a necessary and sufficient condition for the generic existence of numéraires in a finite dimensional setting. We then characterize the arbitrage‐free prices and dividends for which the absence of numéraires survives any small perturbation preserving no arbitrage. Finally, we identify the cases when any small, but otherwise arbitrary, perturbation of prices and dividends preserves either the existence of numéraires, or their nonexistence under no arbitrage.
On the Existence of Linear Equilibria in Models of Market Making
Authors: Bagnoli Mark , Viswanathan S. , Holden Craig
Published: March 2003

We derive necessary and sufficient conditions for a linear equilibrium in three types of competitive market making models: Kyle type models (when market makers only observe aggregate net order flow), Glosten–Milgrom and Easley–O'Hara type models (when market makers observe and trade one order at a time), and call markets models (individual order models when market makers observe a number of orders before pricing and executing any of them). We study two cases: when privately informed (strategic) traders are symmetrically informed and when they have differential information. We derive necessary and sufficient conditions on the distributions of the random variables for a linear equilibrium. We also explore those features of the equilibrium that depend on linearity as opposed to the particular distributional assumptions and we provide a large number of examples of linear equilibria for each of the models.
Cyborg Identities and the Relational Web: Recasting ‘Narrative Identity’ in Moral and Political Theory
Authors: Brothers Robyn F.
Published: March 2003

Current debates surrounding liberalism and communitarianism, modernity and postmodernity, ethical theory and narrative ethics fail to account for shifting foundations of personal identity in an increasingly computer‐mediated era of human communication. This paper aims to examine some of the conceptual assumptions about identity and community which are being radically undermined by rapidly evolving information networks and are therefore in need of redefinition. Additionally, I argue for an expansion of the literary imagination to include virtual, coauthored fiction sites where exploration of personal identity will bear upon future ethical and political decision‐making.
Naturalized Epistemics and Conditional Reasoning
Authors: Duran Jane
Published: March 2003

The continued predominance of SL‐logic and deductive paradigms in the research on conditional‐based reasoning by experimental psychologists is examined and criticized. After recounting the history and influence of the model, I note the emergence of trends in epistemology and other areas of theory that might provide a springboard for the critique of the model, and I argue that a new approach to examining reasoning with conditionals ought to be developed. I conclude that a superior approach would model such reasoning with sociolinguistic, inductive, and neurophysiological parameters, and that it would not involve any comparison of subjects’ reasoning with the standard deductive rules of logic.
Liberating Ecological Reason Through Interdisciplinarity
Authors: Beggs Donald
Published: March 2003

The theory and practice of ecological reason have consistently suffered various shortcomings, versions of anthropocentrism and holism prominent among them. Even definitions of ecological reason that rely on philosophically informed policy studies and that explicitly take the functional and substantive moments of reason into account have not escaped these problems. An account of interdisciplinarity can shed light on how these intractable problems arise, since many of them fail to build interdisciplinarity as such sufficiently into the definition of ecological reason. Genuine interdisciplinarity, distinguished from both multidisciplinarity and metadisciplinarity, can thus be seen to be necessary (not sufficient) to liberate ecological reason and to illuminate its theory and practice for late moderns.
Scepticism: Epistemic and Ontological
Authors: Rudd Anthony
Published: March 2003

It is widely thought that sceptical arguments, if correct, would show that everyday empirical knowledge‐claims are false. Against this, I argue that the very generality of traditional sceptical arguments means that there is no direct incompatibility between everyday empirical claims and sceptical scenarios. Scepticism calls into doubt, not ordinary empirical beliefs, but philosophical attempts to give a deep ontological explanation of such beliefs. G. E. Moore's attempt to refute scepticism (and idealism) was unsuccessful, because it failed to recognise that philosophical scepticism operates on a different level from that on which we make – or doubt – particular empirical claims. And, as I argue with specific reference to work by Nozick and Fogelin, Moore’s basic confusion is still widely shared in contemporary discussions of scepticism.
Philosophy by Other Means?
Authors: Howard Dick
Published: March 2003

I attempt to show that Marx was driven by a systematic philosophical goal expressed already in his doctoral dissertation and present throughout his mature political economic theory as well as in his practical political writings. I reconstruct this systematic – and critical – philosophical adventure in order to suggest that it is as philosophy that Marx's work retains its political bite today. In the process, I propose a reinterpretation of Marx's political theory that, once again, is traced through the entirety of Marx's corpus. The young Marx criticized Hegel's separation of the political from society; he then attempted to reduce the political sphere to civil society; the theory of alienated labor was elaborated as a theory of political economy that replaced the political; but in the end, when all three volumes of Capital and the unpublished Grundrisse are considered systematically, Marx sees capitalism as threatened ultimately by its inability to reflect politically on its own presuppositions, and hence its limits.
Indiscernible Persons
Authors: Steinhart Eric
Published: March 2003

In this article I discuss identity and indiscernibility for person‐stages and persons. Identity through time is not an identity relation (it is a unity relation). Identity is carefully distinguished from persistence. Identity is timeless and necessary. Person‐stages are carefully distinguished from persons. Theories of personal persistence are not theories of identity for persons. I deal not with the persistence of persons through time but with the timeless and necessary identity and indiscernibility of persons. I argue that it is possible that there are non‐identical but indiscernible temporally whole persons. I discuss the biographies of persons and develop the type or token distinction for persons. Twins in symmetrical or eternally recurrent universes are examples of indiscernible persons. I discuss temporal and modal branching, and I end with survival for person‐tokens and eternity for person‐types.
An Epistemological Basis For Linking Philosophy and Literature
Authors: Zamir Tzachi
Published: March 2003

In this article I attempt to present an explanation that integrates the five features needed for the cognitive (knowledge‐yielding) linking of philosophy and literature. These features are, first, explaining how a literary work can support a general claim. Second, explaining what is uniquely gained through concentrating on such support patterns as they appear in aesthetic contexts in particular. Third, explaining how features of aesthetic response are connected with knowledge. Four, maintaining a distinction between manipulation and adequate persuasion. Five, achieving all this without invoking what David Novitz has called “a shamelessly functional and didactic view of literature.”
Linguistic Archipelago and (Its?) History
Authors: Papastephanou Marianna
Published: March 2003

In this article I examine Jean–François Lyotard’s conception of history, its philosophical presuppositions, and its implications. As his conception’s most crucial implicit assumptions I consider Lyotard’s account of language and his notion of agonistics and dissent. Concerning its implications, I consider the nominalist and relativist conclusions Lyotard’s theory may engender if thought through to its end, as well as the possibilities it opens up for ethics and justice for alterity, or otherness, via a new notion of human history. My aim is to show how Lyotard advances philosophical thought about history and to examine whether he succeeds in delivering the goods he promises. I conclude with suggestions for an alternative approach. The main thesis of the article is that Lyotard’s metacritique of past accounts of human history is pertinent and apposite but, because of some negative implications of certain implicit assumptions on which he relies to articulate this critique, it appears inadequate in some respects. I argue that it is possible to promote a critique of older notions of human history along Lyotardian lines and to preserve the merits of Lyotard’s critique for a sensitive and nonlogocentric approach to otherness via another route, one that is not committed to Lyotard’s agonistics and incommensurability of language games.
Kuczynski on Partial Knowledge and the Paradox of Analysis
Authors: Cobb Jeffrey
Published: March 2003

John–Michael Kuczynski says the “paradox of analysis” can be resolved with the proper definition of “partial knowledge.” He says that this definition will not do: (K) S has partial knowledge of x = dfS knows some, but not all, of x’s parts. He offers an alternative account of incomplete or partial knowledge. I argue here that: (a) Kuczynski’s chief criticisms of (K) are defective; (b) his proposed solution to the paradox of analysis has no clear application to the paradox in its familiar forms; and (c) his solution may not avoid the puzzle about partial knowledge it was designed to resolve.
Epistemic Injustice The Third Way?
Authors: Marshall S.E.
Published: March 2003

In response to Miranda Fricker's advocacy of a virtue of ‘reflexive critical openness’, I emphasise the importance of other virtues, such as loyalty, in evaluating an agent's response to testimony, and I query Fricker's claim that in certain circumstances agents can lack a means to correct their faulty evaluations of another's testimony
A Linear Multisector Model of “Endogenous” Growth and the Problem of Capital
Authors: Salvadori Neri
Published: March 2003

In this paper a linear multisector model of “endogenous” growth with heterogeneous capital goods is elaborated. The purpose of this exercise is to show that this kind of model is exempt from the capital theory critique put forward against the conventional long‐period neoclassical growth model á la Solow. This confirms previous claims that at least some of the “new” growth models are somewhat extraneous to neoclassical analysis and actually exhibit the logical structure of classical theory. In addition it is shown that the use of an intertemporal analysis to establish a correct long‐period position is not necessary and that the use of the long‐period method may speed up the elaboration of new scientific results.
Explaining and Understanding Economic Events by Contrasting Alternatives
Authors: Parrinello Sergio
Published: March 2003

The author argues that economic theorizing offers normal states of the economy to be used as a contrast for understanding economic events. Starting from a distinction between explanation and understanding and from Haavelmo's contribution, the argument runs through a critical assessment of the concept of tendency, which scientific realism advocates as a substitute for Humean law, and through a reinterpretation of the method used in Sraffa's price equations. It is emphasized that the role of contrasting alternative assigned to a normal state is not undermined by the lack of persistency of economic relations and of the ensuing poor predictive performance.
Conscious Parallelism in Asymmetric Oligopoly
Authors: Normann Hans‐Theo
Published: March 2003

Conscious parallelism refers to collusive forms of parallel pricing in oligopoly. In this paper, four distinct pricing methods which all impose some form of parallel conduct are analysed. The pricing methods maximize joint profits if, and only if, firms are symmetric. With asymmetries in cost, total gains from collusion are reduced and absolute and relative collusive gains differ between firms. For many collusive optima, low‐cost firms have only little to gain from conscious parallelism. This is particularly the case when the degree of product homogeneity is high.
Product Innovation and Irregular Growth Cycles with Excess Capacity
Authors: Gong Gang
Published: March 2003

A non‐linear growth model is presented that provides a solution to Harrod's knife‐edge problem within the Keynesian multiplier–accelerator framework. The model introduces product innovation into a conventional investment function. Statistical analysis demonstrates that such an investment function matches the data better than the conventional one. Dynamic analysis shows that irregular growth cycles could occur with excess capacity.
Monetary Policy, Taylor’s Rule and Instability
Authors: González Luis Alberto Alonso , Vera Alfonso Palacio
Published: March 2003

We analyse the dynamic behaviour of an economy where the central bank (CB) sets interest rates according to a Taylor‐type policy rule. A simple model for a closed and instability‐prone economy is constructed and subjected to formal dynamical analysis and numerical simulation. It is shown that a requirement for local stability is that the two response coefficients in the policy rule be positive. Similarly, it is shown that raising the response coefficient of the output gap increases the likeliness of the economy being stable, whereas raising the response coefficient of the inflation gap has an uncertain and probably negligible effect on local stability. Self‐sustained oscillations may arise for certain parameter values. Policy mistakes in the estimation of the long‐run equilibrium real interest rate or potential real GDP may prevent the CB from achieving its inflation target. A suggestion for enhancing the stabilization capacity of Taylor‐type policy rules in the context of the model presented is made.
Duality Theory and Long–Period Price Systems
Authors: Opocher Arrigo
Published: March 2003

This paper concerns duality between long–period price systems in Sraffian models of production and the technologies of the various industries. We present a ‘principle of duality between prices and technique’ referred to a system of production, due to Bidard and Salvadori, and compare it with the usual textbook duality between cost and production functions, referred to firms/industries. We argue that the principle of duality for the system of production can be obtained, industry by industry, on the basis of the usual duality theory and that, in so doing, both ‘dualities’ are given a formulation more appropriate to firms/industries in long–period equilibrium.
Customer Markets, Inflation and Unemployment in a Dynamic Model with a Range of Equilibria
Authors: De Vincenti Claudio
Published: March 2003

The paper presents a dynamic model incorporating a range of non‐accelerating‐inflation rates of unemployment (NAIRU) obtained according to the theoretical framework proposed by the customer markets literature. The analysis of the dynamic adjustments of unemployment and inflation emphasizes the real effects of demand shocks. Changes in the fiscal and monetary policy can exert permanent effects on output and unemployment, both determining persistence in the unemployment rate and selecting the actual steady‐state equilibrium within the NAIRU range.
Ambulatory Mental Health Treatment under Universal Coverage: Policy Insights from Israel
Authors: Feinson Marjorie C. , Lerner Yaacov , Levinson Daphna , Popper Miriam
Published: March 2003

Untested assumptions concerning ambulatory treatment have shaped mental health policies for decades. Three opinions prevail: (1) all use is alike; (2) any use leads to high use; and (3) all high use is discretionary and therefore excessive. These assumptions were tested, using data from a nationwide survey of ambulatory utilizers in Israel, a country that has universal coverage. The findings, based on detailed clinical and treatment records, challenge all three assumptions. Moreover, they document a diversity of clinical needs while also verifying substantial variations in the type, frequency, and duration of treatment provided to meet those needs. In brief, Israeli data do not confirm continuing concerns by policy makers about uncontrollable use of services with expanded mental health coverage. Special policy limitations on mental health treatment should be reconsidered in light of empirical evidence from a system without the restrictions that exist in the United States.
Innovation and Public Accountability in Clinical Research
Authors: Melhado Evan M.
Published: March 2003

For more than 20 years, clinical researchers have expressed alarm about the decline of their field, but they have failed to achieve a consensus on policies to revitalize and sustain it. Although they have traced the plight of clinical research to profound changes in science, medicine, and public expectations, their conservative vision and preference for short‐term measures inhibit effective policy formulation. These trends are the outcome of historical developments, and they seem to mandate a new approach to public policy. A potential source for more viable and socially accountable policies lies in practitioners' notion that clinical research bridges basic and applied science (by translating scientific innovations into practical measures). Exploiting that idea, however, would require a major reorientation of the field toward health services research and the institutions that are struggling to support it.
Nothing Exceeds like Success: Managed Care Comes to Medicaid in New York City
Authors: Sparer Michael S. , Brown Lawrence D.
Published: March 2003

Nearly every state is encouraging or requiring Medicaid beneficiaries to enroll in managed care delivery systems. In New York City, Medicaid officials began with an incremental, but not insignificant, managed care initiative. Buoyed by its success, New York policy makers tried, and failed, to accelerate the transition to managed care. The legacy of that failure still plagues them. A comparison of such initiatives in other states indicates that most state officials have remembered what New York's leaders temporarily forgot, namely, that Medicaid managed care is a complex exercise that demands consultation and consensus building.
Interpersonal Processes of Care in Diverse Populations
Authors: Stewart Anita L. , Nápoles‐Springer Anna , Pérez‐Stable Eliseo J.
Published: March 2003

Persons of lower socioeconomic status and members of racial and ethnic minority groups experience poorer health and increased health risk factors. A framework of interpersonal processes of care specifies distinct components and incorporates the perspective of diverse racial and ethnic or socioeconomic groups. Its dimensions, each with several domains, are communication (general clarity, elicitation of and responsiveness to patient concerns, explanations, empowerment), decision making (responsiveness to patient preferences, consideration of ability and desire to comply), and interpersonal style (friendliness, respectfulness, discrimination, cultural sensitivity, support). All the domains, except cultural sensitivity, were validated through a survey of 603 ethnically diverse, low‐income adults. Confirmation of the framework's usefulness should enable researchers to explore how interpersonal processes might account for observed ethnic and social class differences in health care and health.
Autism, Modularity and Levels of Explanation in Cognitive Science
Authors: Coltheart Max , Langdon Robyn
Published: March 2003

Over the past century or more, cognitive neuropsychologists have discussed many of the issues raised in this volume. On the basis of this literature, we argue that autism is not a single homogeneous condition, and so can have no single cause. Instead, each of its symptoms has a cause, and the proper study of autism is the separate study of each of these symptoms and its cause. We also offer evidence to support the radical view advanced by Stoljar and Gold in this volume, namely, that in explaining such syndromes the cognitive level of explanation has priority over the neuroscientific.
Conscious Thinking: Language or Elimination?
Authors: Carruthers Peter
Published: March 2003

Do we conduct our conscious propositional thinking in natural language? Or is such language only peripherally related to human conscious thought‐processes? In this paper I shall present a partial defence of the former view, by arguing that the only real alternative is eliminativism about conscious propositional thinking. Following some introductory remarks, I shall state the argument for this conclusion, and show how that conclusion can be true. Thereafter I shall defend each of the three main premises in turn.
Imagination, Delusion and Hallucinations
Authors: Currie Gregory
Published: March 2003

Chris Frith has argued that a loss of the sense of agency is central to schizophrenia. This suggests a connection between hallucinations and delusions on the one hand, and the misidentification of the subject’s imaginings as perceptions and beliefs on the other. In particular, understanding the mechanisms that underlie imagination may help us to explain the puzzling phenomena of thought insertion and withdrawal. Frith sometimes states his argument in terms of a loss of metarepresentational capacity in schizophrenia. I argue that this formulation is unhelpful.
Knowledge and Understanding
Authors: Hunter David
Published: March 2003

Jason Stanley has tried to revive the description theory of reference for natural kind terms by restricting it to experts. On his view, being an expert about elms requires having uniquely identifying knowledge about elms, knowledge that is conventionally associated with the term ‘elm’ and that fixes its reference. But Stanley's attempt fails. For, as I show, even experts about elms can lack such knowledge by being epistemically irresponsible, mistaken or just plain cautious. The description theory of reference is false even when restricted to the most expert users of a term.
Context and Discourse
Authors: Glanzberg Michael
Published: March 2003

Current theories of context see context as composed of information that is localizable to individual utterances. Current theories of discourse grant that discourses have important global properties that are not so localizable. In this paper, I argue that context, even narrowly construed as whatever combines with a sentence to determine truth conditions, must have a discourse–global component. I identify a context–dependence phenomenon related to the linguistic concepts of topic and focus, isolate the pertinent feature of context, and show that this feature must be discourse–global in nature. I thus argue that context is as complicated as an entire discourse.
Allegoria: Reading as a Spiritual Exercise
Authors: Ward Graham
Published: March 2003

What I wish to argue for in this essay is the theological advantage of turning from the stasis of analogy and symbol (important categories for modernity according to Paul de Man) to the dynamism and semiosis of allegory. The move from static, atemporal discussions of analogy and symbol to allegory will lend itself to a rather different model for the hermeneutical task. It is one that is founded upon narrative, mimesis and participation, and one that presents a more dynamic view of the relationship between revelation (the event of Christ), disclosure (a participation in that event), representation and knowledge. I begin by examining a constellation of inter‐related ideas—narrative, participation in an unfolding tradition, knowledge and discipleship—in what is often read as an appeal in the Lukan Preface to historical facts. I then return to Aristotle, to develop the rich association between mimesis and phronesis, rhetoric and knowledge, and to point out the ambiguous nature of analogy to ontology. The practice of living, for Aristotle, I suggest, is allegorical. It is with Gregory of Nyssa's work on allegory that I put together the Lukan emphasis upon participation and discipleship with an account of reading creation allegorically. With Gregory, we learn how to read the world in the light of its Christic watermark and in the power of a Trinitarian desire. In modernity such allegorical reading fell out of favour, and it is a recapitulation of that theologically informed, allegorical reading (rearticulated with the help of the new turn to allegory by poststructuralist thinkers) that this essay finally exhorts.
Nirvana as the Last Thing? The Iconic End of the Narrative Imagination
Authors: Griffiths Paul J.
Published: March 2003

The essay argues that the life of the world to come, the hoped‐for final end of the individual Christian, cannot be characterized or represented narratively; that it can be represented both formally and ironically; and that what Buddhists have said about Nirvana may serve Christian theologians in the development of more adequate formal and iconic representations of the life of the world to come. This is, then an essay in Christian theology concerned primarily to elucidate, at a relatively high degree of abstraction, some syntactical elements in the Christian master text; and secondarily, to comment upon some semantic elements therein.
Review Essay: The Divided Church and its Theology
Authors: Marshall Bruce D.
Published: March 2003

Book reviewed in this article:

Ephraim Radner, The end of the Church: A Pneumatology of Christian Division in the West
Unapocalyptic Theology: History and Eschatology in Balthasar's Theo‐Drama
Authors: Lösel Steffen
Published: March 2003

In this essay, I evaluate the claim that Hans Urs von Balthasar's interpretation of trinitarian doctrine undermines the importance of history for the Christian God. Where other critics argue that the very distinction between immanent and economic Trinity robs the economy of salvation of theological significance, I contend that the underlying problem lies in how Balthasar restricts the theo‐drama to an event between heaven and earth on the cross of Golgotha. Through this limitation of God's active involvement in history to a single event, Balthasar's theo‐drama becomes an “unapocalyptic theology”, which devalues God's salvific history with the world and the biblical expectation of an eschatological end of history. Furthermore, Balthasar underplays the messianic‐political dimension of the Christian concept of salvation and thereby cements the status quo of a yet unredeemed world.
On Robert Jenson’s Trinitarian Thought
Authors: Sholl Brian K.
Published: March 2003

This paper addresses Robert Jenson’s critique of impassibility along with his Trinitarian formulations. Jenson’s decision to eschew a doctrine of divine impassibility leads him to adopt a Kantian conception of subjectivity in order to explicate the traditional concept of hypostasis. In turn, Jenson advocates a Hegelian notion of determinate negation to relate to a concept of being dependent upon a German Idealist figuration of temporality. The final section of the paper contrasts Jenson’s modernist immanentism with the positive perichoretic movement of Jonathan Edwards’ trinitarian thought. For Edwards, the Trinity cannot be known as a repeatable object of knowledge reflected within human consciousness, but as a non‐identical repletion of eternal love to which univocal categories do not apply.
Permeability of methylamine across the membrane of a cyanobacterial cell
Authors: Ritchie Raymond J. , Islam Nazrul
Published: March 2003

Ammonia (NH3) is the preferred nitrogen source for many eukaryotic algae and the cyanobacteria, Synechococcus R‐2 (PCC 7942) and Synechocystis (PCC 6803).

Ammonia in solution is a weak base with a pKa of 9.25; hence, under environmental conditions it is present in solution as NH3 and NH4+. The uncharged form is a readily diffusible small molecule but NH4+ has an ionic radius similar to K+ and behaves like an alkali metal cation. Accumulation and retention of NH3 + NH4+ is therefore a complicated function of the permeabilities of two very different chemical species.

NH3 is usually thought to be highly permeable across cell membranes although it is difficult to find actual measurements primarily because there is no convenient radioactive tracer for N. Many studies have therefore used 14C‐methylamine (14CH3‐NH2) as a convenient analogue tracer.

Permeability of 14CH3‐NH2 was measured in Synechocystis over a range of pH values; permeability of uncharged amines was shown to be governed by pH. The permeability of CH3NH2 is c. 50 µm s−1 at pHo 10 but increases very rapidly to c. 300 µm s−1 at pHo 7. This finding has serious implications for attempts to develop stochastic models of amine uptake and retention by cells.
Short‐term forecasting of non‐OPEC supply: a test of seasonality and seasonal decomposition
Authors: Jazayeri S.M.R Tayyebi , Yahyai A.
Published: March 2003

The purpose of this study is, first, to find out, based on historical data, whether quarterly averages of non‐OPEC supply follow a seasonal pattern. If that is mathematically established, then, secondly, it is attempted to estimate the best seasonal factors to decompose the estimated yearly average into seasonal averages.

This study applies the Fourier analysis to quarterly supply series to test for seasonality, and provides estimates of seasonal factors for the year 2001 by applying the so‐called X‐11 decomposition method to the annual estimate. A set of historical data, consisting of quarterly supply averages of individual countries, regional subtotals and aggregate non‐OPEC for the period 1971–2000, forms the basis of the analysis.

Through the application of the Fourier analysis and X‐11 decomposition method, it is demonstrated that quarterly non‐OPEC supply, be it by an individual major producer or regional sub‐totals, clearly follows a seasonal pattern. This is a very useful conclusion for the market analyst involved with forecasting the quarterly supply.
Oil outlook to 2020
Authors: Lounnas Rezki , Brennand Garry
Published: March 2003

The latest oil outlook to the year 2020 is presented, using the OPEC World Energy Model (OWEM). In the reference case, the OPEC Reference Basket of seven crudes is assumed to remain within the declared price range of US $22–28 per barrel, in nominal terms, for the rest of this decade, growing with inflation thereafter. World oil demand grows from 76 million barrels a day in 2000 to 89 mb/d by 2010, and to over 106 mb/d by 2020. Two–thirds of the increase in demand over this 20–year period comes from China and the developing countries.

Non–OPEC production is expected to continue to increase throughout the entire forecast period, with the decline in North Sea output more than compensated by increases in the developing countries, Russia and the Caspian region. OPEC’ market share in the first decade is accordingly relatively stable, as increases in output are approximately matched by higher non–OPEC supply. In the following ten years, however, it becomes increasingly inevitable that OPEC’ market share will increase, as the net rise in non–OPEC output slows.

The net investment requirement will need to cover both additional capacity and the maintenance of the existing production potential. For OPEC alone, the estimate is around $10 billion a year during this period. Substantially higher or lower oil prices than the assumed values for the reference case are shown not only to generate lower OPEC export revenue, but also to be unsustainable.
A Reduced Rank Regression Approach to Tests of Asset Pricing
Authors: Costa Michele , Gardini Attilio , Paruolo Paolo
Published: March 2003

Both the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) place restrictions of the cross‐sectional variation of conditional expectations of asset returns and of macro indicators. We show that these restrictions imposed on the reference statistical models lead to special cases of the reduced rank regression model. The maximum likelihood problem is solved by canonical correlation analysis. Likelihood ratio tests about the number of factors underlying stock returns are straightforward to calculate, thus allowing discrimination between competing financial theories. Moreover LR tests on the relevance of each macroeconomic indicator within a chosen model can be implemented. Some of the tests are illustrated by an application to Italian stock market data.
Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market
Authors: Anderson Heather M.
Published: March 2003

This paper uses nonlinear error correction models to study yield movements in the US Treasury Bill Market. Nonlinear error correction arises because portfolio adjustment is an ‘on‐off’ process, which occurs only when disequilibrium in the bill market is large enough to induce investors to incur the transaction costs associated with buying/selling bills. This, together with heterogeneity of transaction costs, implies that the strength of aggregate error correction depends on both the distribution of costs and the extent of disequilibrium in the market. Smooth transition models are used to describe an aggregate adjustment process which is strong when the market is distant from equilibrium, but becomes weaker as the market approaches equilibrium. Linearity tests indicate that the types of nonlinearities that would be induced by transactions costs are statistically significant, and estimated models which incororate these nonlinearities outperform their linear counterparts, both in sample and out of sample.
On the Role of Seasonal Intercepts in Seasonal Cointegration
Authors: Franses Philip Hans , Kunst Robert M.
Published: March 2003

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts generate trends that are different across the seasons. Since such seasonal trends may not appear in economic data, we propose a modified empirical method to test for seasonal cointegration. We evaluate our method using Monte Carlo simulations and using a four‐dimensional data set of Austrian macroeconomic variables.
Distortionary Taxation and Labour Market Performance
Authors: Fiorito Riccardo , Padrini Flavio
Published: March 2003

Quarterly estimates of consumption, capital and labour tax rates are provided for six major OECD countries. We then use the ‘stylized facts’ methodology to evaluate the strength, sign and phase of cyclical comovements between tax rates and labour market variables. Labour taxes distort labour market de‐cisions and help explain why the unemployment rate is so high in continental Europe. However, labour taxes cannot be the only determinant of diverging unemployment rates since the labour force is also reduced by higher taxes. Finally, we offer some preliminary structural evidence showing employment growth in particular to be negatively related to the taxation of labour.
ROCK ART AND RITUAL LANDSCAPE IN CENTRAL SPAIN: THE ROCK CARVINGS OF LA HINOJOSA (CUENCA)
Authors: DÍAZ‐ANDREU MARGARITA
Published: March 2003

Summary. In this article the rock art carvings of La Hinojosa in central Spain are examined. Their connection to a major transit route recorded at least from the medieval period is explored, as well as their location in a valley located at the confluence of two primary river basins in the Iberian Peninsula separated by less than five kilometres. It is argued that this singularity of the landscape seems to have been perceived by the people who marked the stones. From the 17 decorated rocks recorded in La Hinojosa valley, three were exceptionally elaborately decorated. They were situated at regular intervals in the valley. The site with the greatest number of motifs, the large rock of San Bernardino, occupies a central location. This site is also exceptional because of the transformations which the rock shows throughout the day, pointing to a narrative in which cups and anthropomorphs seem to have a primary role. It is suggested that gender may have constituted one of the main guidelines of the narrative, given the apparent replacement of feminine by masculine human representations throughout the day.
JUST TASTE ADDITIVE? BRONZE AGE SALT FROM ZAKROS, CRETE
Authors: KOPAKA KATERINA , CHANIOTAKIS NIKOS
Published: March 2003

Summary. In 1962, during a rescue excavation at the cave site ‘tis Ouranias to Froudi’, near Zakros in eastern Crete, Professor N. Platon's team detected and collected a substantial quantity of sea‐salt dating to the Minoan Bronze Age. This salt has recently been analysed chemically and studied. It is a rare, if not unique, find that helps us to explore aspects of the archaeology of salt‐collection, storage and usage, as well as the position of the product within the circulation of primary goods. It also points to the need for research on salt not only as an essential preservative and condiment, but also as a material of specialized craft production. Here we shall try to combine physical and archaeological evidence, with the aim of achieving a better understanding of the cultural meanings of this second millennium BC salt.
Clearances and Clearings: Deforestation in Mesolithic/Neolithic Britain
Authors: Brown Tony
Published: March 2003

Clearances, interpreted from pollen records during the Mesolithic and Neolithic of Europe, are generally ascribed to purposive deforestation which is compatible with the transition model, whereby early Neolithic economic strategies are a development of late Mesolithic intensification of wild plant food husbandry. This paper considers the role of natural processes in creating clearings and the role of inadvertent impact of human activity on forest processes, including woodland regeneration. The role of climate, wind‐throw and lightning strikes in creating clearings and forest instability is emphasised and the evidence discussed from sites which may be interpreted as resulting from opportunistic human use of natural clearings. Unfortunately, regional pollen diagrams lack sufficient spatial resolution to detect the size of isolated clearings or establish the spatial variation in forest composition that was intimately related both to forest ecology and the effects of subtle human impacts. This may be the major reason for an apparent contradiction between pollen evidence of Neolithic impact and the archaeological record. Moreover, early Neolithic agricultural activity may have been concentrated in valley bottoms, which is undetectable in regional pollen diagrams. Alternative models need to be considered, which include culturally specific exploitation of the local environment, along with the inadvertent ecological repercussions of pre‐agricultural and early‐agricultural human activities in naturally dynamic woodlands.
The Iron Age in Western Spain (800 BC–AD 50): An Overview
Authors: Álvarez‐Sanchís Jseús R.
Published: March 2003

Vettonia was one of the most important Celtic regions in Iberia which emerged in the Iron Age. It corresponds largely to western Spain, between the Duero and Tagus valleys. The archaeological evidence indicates that the formation of this ethnic group lay in an historical process whose roots went back to the Late Bronze Age‐Early Iron Age, when we begin to find a regular association between the first fortified sites and stable populations. These groups did not consolidate before the second half of the first millennium BC, in parallel with the development of other peoples of the interior of the Iberian Peninsula. This period can be recognized in particular through the spread of the ritual of cremation, ironworking, the adoption of the potter’s wheel and the expansion of some settlements oppida which were ultimately to disappear with the Roman conquest. This paper sets out to examine the evolution of the area from an indigenous perspective, examining the process of change before and after the evidence referred to by Greek and Roman writers.
Comparisons and the Case for Interaction among Neanderthals and Early Modern Humans in the Levant
Authors: Kaufman Daniel
Published: March 2003

There is good reason to believe that both archaic and anatomically modern humans occupied south‐west Asia at the same time. On the assumption that this was indeed the case, this paper attempts to draw comparisons between the Neanderthals and their modern contemporaries and to examine the possibilities of interaction between the two.
On the Contemporary Commodity Structure of World Trade Patterns: An Empirical Assessment
Authors: Mena Hugo
Published: March 2003

For about 150 years, international trade theory has mostly highlighted trade in consumption goods. Such a modeling approach was likely supported by the then prevailing commodity structure of world trade. This paper shows that – at least since 1970 – only about 20 per cent of commodity trade has taken place in consumables, the remainder being intermediates and capital goods. Theoretically, this evidence suggests a move in the modelling strategy for traded goods: from utility functions to production functions. Sanyal and Jones' “new trade theory” (1982) does precisely that. In addition, some crucial research challenges emerge. These relate to dynamic changes in some general characteristics of production technologies throughout the world.
Duplicating and Pricing Contingent Claims in Incomplete Markets
Authors: Peng Shige , Yang Feng
Published: March 2003

The paper studies the problem of pricing contingent claims in the situation where the constraints imposed on an investor’s portfolios are important. There are two types of rule of constraint: under a rigid rule, an investor must strictly limit his portfolios inside the constraint; under an elastic rule, an investor pays a penalty when the constraint is violated. The central problem of pricing a contingent claim is to determine the initial investment required to duplicate the contingent claim. The following results are obtained: (i) under elastic rules, the cost to duplicate a contingent claim exists and is unique;(ii) this cost depends nonlinearly and convexly on the contingent claim;(iii) the cost under rigid rules resulting from passing the penalty to infinity is also a nonlinear and convex function of the contingent claim. Owing to this nonlinearity, the cost of duplication may be or may not be the nonarbitrage price of the contingent claim; this depends on how the market organizes the production of contingent claims. The conclusion that the cost of duplication is a convex function of the contingent claim provides an explanation for why the service of providing contingent claims is often a highly profitable business. The main mathematical tool in the analysis is backward stochastic differential equations (BSDEs). In fact the cost to duplicate a contingent claim is the solution of a BSDE in which the contingent claim is the terminal value.
Optimization for a Financial Market with Jumps by Lagrange’s Method
Authors: Rong Situ
Published: March 2003

A Lagrange multiplier was introduced by Chow in 1997 to give a set of necessary conditions for optimal control with respect to a general continuous stochastic differential system. Many applications to the continuous financial markets were derived. Inspired by Chow’s idea, this paper introduces a Lagrange multiplier to derive rigorously some necessary conditions for optimal control with respect to stochastic differential systems with jumps. The results reduce to Chow’s case for continuous systems. An application to optimal consumption for the financial market with jumps is provided.
Experimental Foreign Exchange Markets
Authors: Fisher Eric O’N. , Kelly Frank S.
Published: March 2003

The paper analyzes experimental markets where subjects buy and sell two different assets. The assets’ properties vary across treatments, and their relative price is the exchange rate. Although both assets uniformly exhibit bubbles, the exchange rate satisfies cross‐currency arbitrage. There is no evidence of a positive risk premium in these markets, and almost all subjects’ forecasts of the exchange rate are rational.
Parallelism in the Lab and the Field: Testing Robustness of the Minimum‐Contributing‐Set Mechanism
Authors: Stewart Steven , McKee Michael , Berrens Robert P. , Bohara Alok K. , Brookshire David
Published: March 2003

Efforts to “test” public‐goods provision mechanisms in field settings encounter a fundamental obstacle: investigators cannot determine whether the aggregate valuation of the public good exceeds the cost. Experimental laboratory settings can fix the provision of the public good to be efficient. This allows investigation of the performance of the mechanism under potential field settings. This paper reports the results of a set of laboratory experiments designed to test the robustness of the minimum‐contributing‐set (MCS) mechanism to field conditions. The reported results support further use and investigation of the MCS mechanism for the provision of step‐level public goods.
International Competition in one Country: Comparative Static Analysis
Authors: Okuguchi Koji
Published: March 2003

A comparative static analysis is conducted for international competition among several domestic and foreign firms in one country in relation to a change in the domestic firms’ cost parameter, which could be technological, export subsidy or tax, or pollution tax rate. The general result is made more transparent for some simple cases. The effects of entry of a new domestic firm are analyzed.