bluuebunny/crossref_metadata_2025 huggingface dataset:
THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
Authors: HUGONNIER JULIEN-N.
Published: April 2003

In this paper, we undertake a study of occupation time derivatives that is derivatives for which the pay-off is contingent on both the terminal asset's price and one of its occupation times. To this end we use a formula of M. Kac to compute the joint law of Brownian motion and one of its occupation times. General pricing formulas for occupation time derivatives are established and it is shown that any occupation time derivative can be continuously hedged by a controlled portfolio of the basic securities. We further study some examples of interest including cumulative barrier options and discuss some numerical implementations.
INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD
Authors: KIM SUNG-HUN , OGDEN JOSEPH P.
Published: April 2003

This paper provides a new measure of the effective bid-ask spread in a dealer-auction. Our measure differs from the "quote-to-trade" measures derived from direct comparisons of trade prices with bid and ask quotes by explicitly incorporating the price effect of information arriving between the time a set of quotes is posted and the next trade, which will tend to be reflected in the trade price but not in the quotes, as well as the price effect in the situation vice versa. For NYSE/AMEX stocks in 1993, our measure yields estimates of the effective spread that are lower than estimates obtained using the quote-to-trade measure, and our estimates are, on average, only 31 percent of the quoted spread. We also find a U-shaped intraday pattern for our estimates of effective spread that is consistent with, but is much more pronounced than, the pattern that has been observed in previous studies. We provide a conjecture as to why this pattern may be related to the U-shaped intraday pattern observed in volume and volatility.
DESIGN AND VALUATION OF CORPORATE SECURITIES WITH STRATEGIC DEBT SERVICE AND ASYMMETRIC INFORMATION
Authors: PAN YONGHUA
Published: April 2003

This paper studies the effects of strategic debt service, asymmetric information and their interaction on the valuation of corporate securities and on corporate financing decisions. By introducing information asymmetry into a continuous-time setting, our model is able to integrate these two factors in a unified framework. Such a model allows for obtaining valuation results in a separating equilibrium.

The basic results of this paper imply that the risk premium of debt could be partly contributed by information effect. This part of risk premium could be very significant for those good firms with a project which will produce much higher cash flows than what the market expects. We also find that a firm's financing decision depends on its primitives: firms are more apt to rely on equity if they have: (1) high growth potential, (2) riskier projects, (3) higher ratio of intangible assets to total assets and (4) lesser information asymmetry; firms would prefer debt, otherwise.
NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI
Authors: YAO JINGTAO , TAN CHEW LIM , POH HEAN-LEE
Published: April 2003

This paper presents a study of artificial neural nets for use in stock index forecasting. The data from a major emerging market, Kuala Lumpur Stock Exchange, are applied as a case study. Based on the rescaled range analysis, a backpropagation neural network is used to capture the relationship between the technical indicators and the levels of the index in the market under study over time. Using different trading strategies, a significant paper profit can be achieved by purchasing the indexed stocks in the respective proportions. The results show that the neural network model can get better returns compared with conventional ARIMA models. The experiment also shows that useful predictions can be made without the use of extensive market data or knowledge. The paper, however, also discusses the problems associated with technical forecasting using neural networks, such as the choice of "time frames" and the "recency" problems.
THE CAPITAL STRUCTURE OF ISLAMIC BANKS UNDER THE CONTRACTUAL OBLIGATION OF PROFIT SHARING
Authors: AL-DEEHANI TALLA , KARIM RIFAAT AHMED ABDEL , MURINDE VICTOR
Published: April 2003

Islamic banks are established with the mandate of conducting all their transactions in conformity with Islamic precepts which prohibit, among other things, the receipt and payment of interest. Unlike conventional (non-Islamic) commercial banks, Islamic banks mobilise funds primarily via investment accounts using profit sharing contracts. In this paper, we argue that the concept of financial risk, on which modern capital structure theories are based, is not relevant to Islamic banks. Given the contractual obligation binding the Islamic bank's shareholders and investment account holders to share profits from investments, we propose a theoretical model in which, under certain assumptions, an increase in investment accounts financing enables the Islamic bank to increase both its market value and its shareholders' rates of return at no extra financial risk to the bank. We theoretically demonstrate that such a process leads to an increase in the Islamic bank's market value but does not alter its weighted average cost of capital, i.e. the weighted average cost of capital of the Islamic bank remains constant. The evidence obtained from estimating and testing the model on annual accounts drawn from a sample of 12 Islamic banks lends support to our theoretical predictions, as do the results from counterfactual simulations and sensitivity experiments. Hence, in the context of Islamic banks both our theoretical and empirical results provide a new dimension to the theory of capital structure, which is based on a mixture of only debt and equity financing. In general, viewed against the main competing tenets of the traditional school and the MM standpoint, our results provide an encompassing paradigm on the theory of capital structure.
WHEN THE BUBBLE IS GOING TO BURST …
Authors: CHEN JING
Published: April 2003

There has been constant debate about the predictability of the security markets. We examine the relationship between the prices of a stock and its convertible bond during the Hong Kong stock market bubble of 1997 and its subsequent crash. We find that the price behavior of the share and the convertible bond not only gave a clear signal of the market reversal, but also the minimum range of the stock price change. This example offers concrete evidence that the market becomes highly predictable at times and gives us a chance to understand the relationship of the underlying stock and its derivatives during market bubbles.
THE ENTROPIC MARKET HYPOTHESIS
Authors: GULKO LES
Published: April 2003

Information theory teaches that entropy is the fundamental limit for data compression, and electrical engineers routinely use entropy as a criterion for efficient storage and transmission of information. Since modern financial theory teaches that competitive market prices store and transmit information with some efficiency, should financial economists be concerned with entropy? This paper presents a market model in which entropy emerges endogenously as a condition for the operational efficiency of price discovery while entropy maximization emerges as a condition for the informational efficiency of market prices. The maximum-entropy formalism makes the efficient market hypothesis operational and testable. This formalism is used to establish that entropic markets admit no arbitrage and support both the Ross arbitrage pricing theory and the Black–Scholes stock option pricing model.
THE ENTROPY THEORY OF STOCK OPTION PRICING
Authors: GULKO LES
Published: April 2003

An informationally efficient price keeps investors as a group in the state of maximum uncertainty about the next price change. The Entropy Pricing Theory (EPT) captures this intuition and suggests that, in informationally efficient markets, perfectly uncertain market beliefs must prevail. When the entropy functional is used to index the market uncertainty, then the entropy-maximizing market beliefs must prevail. The EPT resolves the ambiguity of asset valuation in incomplete markets, notably, the valuation of derivative securities. We use the EPT to derive a new stock option pricing model that is similar to Black–Scholes' with the lognormal distribution replaced by a gamma distribution. Unlike the Black–Scholes model, the gamma model does not restrict the dynamics of the stock price or the short-term interest rate. Option replication based on the gamma model accounts for random changes in the stock price, price volatility and interest rates.
INVESTIGATING CHAOTIC BEHAVIOR IN ECONOMIC SERIES: THE DELAY TIME IN THE GRASSBERGER–PROCACCIA ALGORITHM
Authors: APARICIO TERESA , POZO EDUARDO , SAURA DULCE
Published: April 2003

In this paper we try to bring forward evidence on the practical application of the Grassberger–Procaccia algorithm, in particular on the determination of the "delay time" parameter. For this purpose, we analyze the results obtained from applying the main methods proposed to calculate this delay time for series simulated from well-known chaotic systems. As the most relevant result we conclude that, in general, all the methods display inadequate behavior, except for that based on the previous filtering of the series according to singular value decomposition. In a second stage we apply the same study to three financial series, with the results appearing to confirm the advantage of this method.
A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
Authors: BENNATI ELEONORA , ROSA-CLOT MARCO , TADDEI STEFANO
Published: April 2003

We use a path integral approach for solving the stochastic equations underlying the financial markets, and show the equivalence between the path integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the multi-dimensional cases, with point dependent drift and volatility, and describe a covariant formulation which allows general changes of variables. Finally we apply the method to some economic models with analytical solutions. In particular, we evaluate the expectation value of functionals which correspond to quantities of financial interest.
STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING
Authors: JIANG GEORGE J.
Published: April 2003

This paper conducts a thorough and detailed investigation on the implications of stochastic volatility and random jump on option prices. Both stochastic volatility and jump-diffusion processes admit asymmetric and fat-tailed distribution of asset returns and thus have similar impact on option prices compared to the Black–Scholes model. While the dynamic properties of stochastic volatility model are shown to have more impact on long-term options, the random jump is shown to have relatively larger impact on short-term near-the-money options. The misspecification risk of stochastic volatility as jump is minimal in terms of option pricing errors only when both the level of kurtosis of the underlying asset return distribution and the level of volatility persistence are low. While both asymmetric volatility and asymmetric jump can induce distortion of option pricing errors, the skewness of jump offers better explanations to empirical findings on implied volatility curves.
ONE- AND MULTI-FACTOR VALUATION OF MORTGAGES: COMPUTATIONAL PROBLEMS AND SHORTCUTS
Authors: LEVIN ALEXANDER
Published: April 2003

A new valuation method is proposed that can be mathematically viewed as a numerical shortcut to approximately solve the partial differential equation written for Expected Instantaneous Return. The method derives OAS as "static spread plus cost of convexity" and is based on some simplified parametric assumption about the static spread's time behavior. The modeling and numerical procedure details are disclaimed with proven accuracy and time efficiency in option-adjusted valuation.

The method is especially effective for multi-scenario pricing, portfolio pricing, risk management and reporting, and for quantifying the impact of "non-traded" factors on reward and risk of holding mortgages. A systematic methodology for comprehensive multi-factor analysis is covered.
OPTIMAL LAG IN DYNAMICAL INVESTMENTS
Authors: SERVA MAURIZIO
Published: April 2003

A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of optimal-growth investment formulated by Kelly. In presence of transaction costs, the optimal composition changes and, more important, it turns out that the frequency of transactions must be reduced. This simple observation leads to the definition of an optimal lag between two rearrangement of the portfolio. This idea is tested against an investment in a risky asset and a risk-less one. The price of the first is proportional to NYSE composite index while the price of the second grows according to the American Discount Rate.
ON THE CURVATURE OF A CERTAIN RIEMANNIAN SPACE OF MATRICES
Authors: MICHOR PETER W. , PETZ DÉNES , ANDAI ATTILA
Published: April 2003

Positive definite matrices of trace 1 describe the state space of a finite quantum system. This manifold can be endowed by the physically relevant Bogoliubov–Kubo–Mori inner product as a Riemannian metric. In this paper the curvature tensor and the scalar curvature are computed.
A CONCEPTUAL PROOF OF A BASIC RESULT IN THE COMBINATORIAL APPROACH TO FREENESS
Authors: SPEICHER ROLAND
Published: April 2003

We present a conceptual proof for the theorem describing free cumulants with products as arguments. We reduce that theorem to a statement about the behavior of Möbius inversion under the embedding of lattices. As direct consequence of this insight we get generalizations of the theorem to the operator-valued case as well as analogous statements for classical and Boolean cumulants.
COCYCLE PERTURBATION OF QUASIFREE ALGEBRAIC K-FLOW LEADS TO REQUIRED ASYMPTOTIC DYNAMICS OF ASSOCIATED COMPLETELY POSITIVE SEMIGROUP
Authors: AMOSOV GRIGORI G.
Published: April 2003

We study the quasifree algebraic K-flow τ on the hyperfinite factor ℳ with the expanding subfactor [Formula: see text] generated by representations π of the C*-algebra of the canonical anticommutation relations (CAR) [Formula: see text] over separable Hilbert space ℋ. The type of ℳ and [Formula: see text] can be II1 or IIIλ, 0<λ<1, depending on π. The K-flow τ is obtained by the quasifree lifting of one-parameter group ST consisting of shifts in ℋ with the discrete parameter T=Z or the continuous one T=R. We prove that acting on τ by a quasifree inner Markovian cocycle, one can get the required asymptotic behavior of the perturbed group restriction on [Formula: see text].
REMARKS ON THE IMPRIMITIVITY THEOREM FOR NONLOCALLY COMPACT POLISH GROUPS
Authors: FIDALEO FRANCESCO
Published: April 2003

In this paper we analyze the possibility of establishing a Theorem of Imprimitivity in the case of nonlocally compact Polish groups. We prove that systems of imprimitivity for a Polish group G based on a locally compact homogeneous G-space M ≡ G/H equipped with a quasi-invariant probability measure μ, are in one-to-one correspondence with elements of the space [Formula: see text] of the first cohomology of the group G of equivalence classes of continuous cocycles. As a corollary, we have the complete Imprimitivity Theorem [Formula: see text] in the case of discrete countable homogeneous G-spaces equipped with a quasi-invariant measure. Finally, we outline the possibility of establishing the complete Imprimitivity Theorem for particular classes of Polish groups. These examples cover the case of (separable) Fréchet spaces, for which it is shown that the complete Imprimitivity Theorem holds as well.
HIDA DISTRIBUTIONS ON COMPACT LIE GROUPS
Authors: DECK THOMAS
Published: April 2003

We show that a nuclear space of analytic functions on K is associated with each compact, connected Lie group K. Its dual space consists of distributions (generalized functions on K) which correspond to the Hida distributions in white noise analysis. We extend Hall's transform to the space of Hida distributions on K. This extension — the S-transform on K — is then used to characterize Hida distributions by holomorphic functions satisfying exponential growth conditions (U-functions). We also give a tensor description of Hida distributions which is induced by the Taylor map on U-functions. Finally we consider the Wiener path group over a complex, connected Lie group. We show that the Taylor map for square integrable holomorphic Wiener functions is not isometric w.r.t. the natural tensor norm. This indicates (besides other arguments) that there might be no generalization of Hida distribution theory for (noncommutative) path groups equipped with Wiener measure.
OPERATORS OF GAMMA WHITE NOISE CALCULUS
Authors: KONDRATIEV YURI G. , LYTVYNOV EUGENE W.
Published: April 2003

The paper is devoted to the study of Gamma white noise analysis. We define an extended Fock space ℱ ext (ℋ) over ℋ= L2(ℝd, dσ) and show how to include the usual Fock space ℱ(ℋ) in it as a subspace. We introduce in ℱ ext (ℋ) operators a(ξ)=∫ℝddxξ(x)a(x), ξ∈ S, with [Formula: see text], where [Formula: see text] and ∂x are the creation and annihilation operators at x. We show that (a(ξ))ξ∈S is a family of commuting self-adjoint operators in ℱ ext (ℋ) and construct the Fourier transform in generalized joint eigenvectors of this family. This transform is a unitary I between ℱ ext (ℋ) and the L2-space L2(S', dμ G ), where μ G is the measure of Gamma white noise with intensity σ. The image of a(ξ) under I is the operator of multiplication by <·,ξ>, so that a(ξ)'s are Gamma field operators. The Fock structure of the Gamma space determined by I coincides with that discovered in Ref. 22. We note that I extends in a natural way the multiple stochastic integral (chaos) decomposition of the "chaotic" subspace of the Gamma space. Next, we introduce and study spaces of test and generalized functions of Gamma white noise and derive explicit formulas for the action of the creation, neutral, and Gamma annihilation operators on these spaces.
UNIVERSAL C*-ALGEBRA OF REAL RANK ZERO
Authors: CHIGOGIDZE ALEX
Published: April 2003

It is well known that every commutative separable unital C*-algebra of real rank zero is a quotient of the C*-algebra of all compex continuous functions defined on the Cantor cube. We prove a non-commutative version of this result by showing that the class of all separable unital C*-algebras of real rank zero coincides with the class of quotients of a certain separable unital C*-algebra of real rank zero.
MAXIMAL FUNCTIONS ON CHÉBLI–TRIMÈCHE HYPERGROUPS
Authors: BLOOM WALTER R. , XU ZENGFU
Published: April 2003

In this paper we study certain maximal functions for a class of Chébli–Trimèche hypergroups. Versions of the standard maximal theorems for these maximal functions are established and some applications are given.
TENSOR PRODUCT SYSTEMS OF HILBERT MODULES AND DILATIONS OF COMPLETELY POSITIVE SEMIGROUPS
Authors: BHAT B. V. RAJARAMA , SKEIDE MICHAEL
Published: April 2003

In this paper we study the problem of dilating unital completely positive (CP) semigroups (quantum dynamical semigroups) to weak Markov flows and then to semigroups of endomorphisms (E0-semigroups) using the language of Hilbert modules. This is a very effective, representation free approach to dilation. In this way we are able to identify the right algebra (maximal in some sense) for endomorphisms to act. We are led inevitably to the notion of tensor product systems of Hilbert modules and units for them, generalizing Arveson's notions for Hilbert spaces.

In the course of our investigations we are not only able to give new natural and transparent proofs of well-known facts for semigroups on [Formula: see text], but also extend the results immediately to much more general setups. For instance, Arveson classifies E0-semigroups on [Formula: see text] up to cocycle conjugacy by product systems of Hilbert spaces.5 We find that conservative CP-semigroups on arbitrary unital C*-algebras are classified up to cocycle conjugacy by product systems of Hilbert modules. Looking at other generalizations, it turns out that the role played by E0-semigroups on [Formula: see text] in dilation theory for CP-semigroups on [Formula: see text] is now played by E0-semigroups on [Formula: see text], the full algebra of adjointable operators on a Hilbert module E. We have CP-semigroup versions of many results proved by Paschke27 for CP maps.
DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION
Authors: MANCINO MARIA ELVIRA
Published: April 2003

We prove the existence, uniqueness and Markov property for SDE of diffusion type in the context of the stochastic analysis on the free Fock space introduced in Ref. 1.
QUANTUM INTEGRAL EQUATIONS OF VOLTERRA TYPE WITH GENERALIZED OPERATOR-VALUED KERNELS
Authors: HUANG ZHIYUAN , WANG CAISHI , WANG XIANGJUN
Published: April 2003

Quantum integral equation of Volterra type with generalized operator-valued kernel is introduced. Existence and uniqueness of solutions are established, explicit expression of the solution is given, the continuity, continuous dependence on free terms and other properties of the solution are proved.
ON THE HAMILTONIAN OPERATOR ASSOCIATED TO SOME QUANTUM STOCHASTIC DIFFERENTIAL EQUATIONS
Authors: GREGORATTI M.
Published: April 2003

We consider the quantum stochastic differential equation introduced by Hudson and Parthasarathy to describe the stochastic evolution of an open quantum system together with its environment. We study the (unbounded) Hamiltonian operator generating the unitary group connected, as shown by Frigerio and Maassen, to the solution of the equation. We find a densely defined restriction of the Hamiltonian operator; in some special cases we prove that this restriction is essentially self-adjoint and in one particular case we get the whole Hamiltonian with its full domain.
REGULAR GENERALIZED FUNCTIONS IN GAUSSIAN ANALYSIS
Authors: GROTHAUS MARTIN , KONDRATIEV YURI G. , STREIT LUDWIG
Published: April 2003

The concepts of regular generalized functions in Gaussian analysis are presented. Spaces of regular generalized functions are characterized and their probabilistic structure is worked out. Finally, these concepts are applied to a nonlinear stochastic (Verhulst type) equation. Its solution is shown to be a regular generalized process with martingale property.
THE SEGAL–BARGMANN TRANSFORM FOR TWO-DIMENSIONAL EUCLIDEAN QUANTUM YANG–MILLS
Authors: ALBEVERIO SERGIO , HALL BRIAN C. , SENGUPTA AMBAR N.
Published: April 2003

The Segal–Bargmann transform of certain Wilson loop variables for quantum Yang–Mills theory on the plane is determined explicitly.
SMOOTH PROBABILITY MEASURES AND ASSOCIATED DIFFERENTIAL OPERATORS
Authors: SMOLYANOV O. G. , WEIZSÄCKER H. v.
Published: April 2003

We compare different notions of differentiability of a measure along a vector field on a locally convex space. We consider in the L2-space of a differentiable measure the analog of the classical concepts of gradient, divergence and Laplacian (which coincides with the Ornstein–Uhlenbeck operator in the Gaussian case). We use these operators for the extension of the basic results of Malliavin and Stroock on the smoothness of finite dimensional image measures under certain nonsmooth mappings to the case of non-Gaussian measures. The proof of this extension is quite straight forward and does not use any Chaos-decomposition. Finally, the role of this Laplacian in the procedure of quantization of anharmonic oscillators is discussed.
CLASSICAL MARKOV PROCESSES FROM QUANTUM LÉVY PROCESSES
Authors: FRANZ UWE
Published: April 2003

We show how classical Markov processes can be obtained from quantum Lévy processes. It is shown that quantum Lévy processes are quantum Markov processes, and sufficient conditions for restrictions to subalgebras to remain quantum Markov processes are given. A classical Markov process (which has the same time-ordered moments as the quantum process in the vacuum state) exists whenever we can restrict to a commutative subalgebra without losing the quantum Markov property.8 Several examples, including the Azéma martingale, with explicit calculations are presented. In particular, the action of the generator of the classical Markov processes on polynomials or their moments are calculated using Hopf algebra duality.
CAUCHY PROBLEMS ASSOCIATED WITH THE LÉVY LAPLACIAN IN WHITE NOISE ANALYSIS
Authors: CHUNG DONG MYUNG , JI UN CIG , SAITÔ KIMIAKI
Published: April 2003

In this paper we shall discuss the existence and the uniqueness of solutions of the heat type equation and the wave type equation associated with the Lévy Laplacian acting on a domain in the space of generalized white noise functionals.
A MOVING BOUNDARY PROBLEM IN A STOCHASTIC MEDIUM
Authors: ØKSENDAL BERNT , VÅGE GJERMUND
Published: April 2003

Suppose a fluid is pumped into a heterogeneous medium in ℝdat a known rate and that there is a known initial wet region D(0) (region filled with fluid) at time t=0. What is the wet region, D(t), at a later time t and what is the pressure, p(t,x), at this time and at the point x∈D(t)? We propose a mathematical model for this problem when the region is stochastic, i.e. has a stochastic permeability represented by some (positive) white noise functional. The model has the form of a family of stochastic variational inequalities. We show that there is a unique stochastic, weak (in Baiocchi sense) solution of this problem and we discuss its properties.
ULTRACONTRACTIVITY AND STRONG SOBOLEV INEQUALITY FOR q-ORNSTEIN–UHLENBECK SEMIGROUP (-1 < q < 1)
Authors: BOŻEJKO MAREK
Published: April 2003

We prove that q-Ornstein–Uhlenbeck semigroup [Formula: see text] maps L2 into L∞ and [Formula: see text] for -1 < q < 1. This is an extension of Ph. Biane's3 result on Nelson hypercontractivity and the ultracontractivity of the free (q=0) and q-second quantization.
MINIMAL QUANTUM DYNAMICAL SEMIGROUP ON A VON NEUMANN ALGEBRA
Authors: GOSWAMI DEBASHISH , SINHA KALYAN B.
Published: April 2003

Given a formal unbounded generator, the minimal quantum dynamical semigroup on a von Neumann algebra is constructed. A set of equivalent necessary and sufficient conditions for the conservativity of the minimal semigroup is given and in the case when it is not conservative, a distinguished family of conservative perturbations of the semigroup is studied. Finally, some of these results are applied to the classical Markov semigroup with arbitrary state space.
THE STOCHASTIC MAGNETO-HYDRODYNAMIC SYSTEM
Authors: SRITHARAN S. S. , SUNDAR P.
Published: April 2003

The magneto-hydrodynamic system perturbed by white noise is cast as a stochastic partial differential equation taking values in an appropriate Lusin space. The martingale problem associated with this SPDE is shown to be well-posed under suitable conditions.
STOCHASTIC EQUATIONS AND QUASI-INVARIANCE ON INFINITE PRODUCT GROUPS
Authors: ALBEVERIO SERGIO , DALETSKII ALEXEI
Published: April 2003

A stochastic differential equation on an infinite-dimensional Lie group G constructed as the countable power of a compact Lie group G is considered. The existence and uniqueness of the solutions and quasi-invariance of their distribution are proved.
A CENTRAL LIMIT THEOREM FOR BOSE ${\mathcal Z}$-INDEPENDENT QUANTUM RANDOM VARIABLES
Authors: SKEIDE MICHAEL
Published: April 2003

We present a central limit theorem for Bose [Formula: see text]-independent operator-valued random variables. Furthermore, we show that the central limit distribution may be represented by an algebra of creators and annihilators on a symmetric Fock module. As an example we recover the distribution of creators and annihilators on the truncated Fock space, i.e. the central limit distribution of Boolean independence.
NOTE ON ENTANGLED ERGODIC THEOREMS
Authors: LIEBSCHER VOLKMAR
Published: April 2003

We prove the entangled ergodic theorem, a notion recently proposed by Accardi, Hashimoto and Obata in connection with central limit theorems1 provided a multidimensional noncommutative analogue of the spectral theorem is valid. This shows at least the possible structure of limit states in such central limit theorems.
A VARIATIONAL FORMULA FOR SOME RANDOM FIELDS: AN ANALOGUE OF ITO'S FORMULA
Authors: SI SI
Published: April 2003

We shall first establish a canonical representation of a Gaussian random field X(C) indexed by a smooth contour C in terms of two-dimensional parameter white noise. Then, we take a nonlinear function F(X(C)) of the X(C) and obtain its variation when C deforms slightly. The variational formula is analogous to the Ito formula for a stochastic process X(t), but somewhat simpler.
PROBABILISTIC REPRESENTATIONS AND HYPERBOUND ESTIMATES FOR SEMIGROUPS
Authors: RÖCKNER M. , ZHANG T. S.
Published: April 2003

In this paper, we study lower order perturbations of a symmetric second-order differential operator generating a hypercontractive semigroup. We give a probabilistic representation of the, in general, not sub-Markovian semigroup associated with the perturbed operator and prove that the perturbed semigroup is also hypercontractive under some exponential integrability conditions on the coefficients.
KNOTS, FEYNMAN DIAGRAMS AND MATRIX MODELS
Authors: GROTHAUS MARTIN , STREIT LUDWIG , VOLOVICH IGOR V.
Published: April 2003

A U (N)-invariant matrix model with d matrix variables is studied. It was shown that in the limit N → ∞ and d→0 the model describes the knot diagrams. We realize the free partition function of the matrix model as the generalized expectation of a Hida distribution ΦN,d. This enables us to give a mathematically rigorous meaning to the partition function with interaction. For the generalized function ΦN,d, we prove a Wick theorem and we derive explicit formulas for the propagators.
THE GROSS DERIVATIVE AND GENERALIZED RANDOM VARIABLES
Authors: BENTH FRED ESPEN
Published: April 2003

We extend the Gross derivative to a space of generalized random variables which have a (formal) chaos expansion with kernels from the space of tempered Schwartz distributions. The extended derivative, which we call the Hida derivative, has to be interpreted in the sense of distributions. Many of the properties of the Gross derivative are proved to hold for the extension as well. In addition, we derive a representation formula for the Hida derivative involving the Wick product and a centered Gaussian random variable. We apply our results to calculate the Hida derivative of a class of stochastic differential equations of Wick type.
TIME REFLECTED MARKOV PROCESSES
Authors: ACCARDI LUIGI , MOHARI ANILESH
Published: April 2003

A classical stochastic process which is Markovian for its past filtration is also Markovian for its future filtration. We show with a counterexample based on quantum liftings of a finite state classical Markov chain that this property cannot hold in the category of expected Markov processes. Using a duality theory for von Neumann algebras with weights, developed by Petz on the basis of previous results by Groh and Kümmerer, we show that a quantum version of this symmetry can be established in the category of weak Markov processes in the sense of Bhat and Parthasarathy. Here time reversal is implemented by an anti-unitary operator and a weak Markov process is time reversal invariant if and only if the associated semigroup coincides with its Petz dual. This construction allows one to extend to the quantum case, both for backward and forward processes, the Misra–Prigogine–Courbage internal time operator and to show that the two operators are intertwined by the time reversal anti-automorphism.
INFORMATION GEOMETRY FOR SOME LIE ALGEBRAS
Authors: NENCKA H. , STREATER R. F.
Published: April 2003

For certain unitary representations of a Lie algebra [Formula: see text] we define the statistical manifold ℳ of states as the convex cone of [Formula: see text] for which the partition function Z= Tr exp {-X} is finite. The Hessian of Ψ= log Z defines a Riemannian metric g on [Formula: see text], (the Bogoliubov–Kubo–Mori metric); [Formula: see text] foliates into the union of coadjoint orbits, each of which can be given a complex structure (that of Kostant). The program is carried out for so(3), and for sl(2,R) in the discrete series. We show that ℳ=R+× CP 1 and R+×H respectively. We show that for the metaplectic representation of the quadratic canonical algebra, ℳ=R+× CP 2/Z2. Exactly solvable model dynamics is constructed in each case.
EXTENSIONS OF H-LIPSCHITZIAN MAPPINGS WITH INFINITE-DIMENSIONAL RANGE
Authors: BOGACHEV VLADIMIR I.
Published: April 2003

Let γ be a Radon Gaussian measure on a locally convex space X with the Cameron–Martin space H, let A⊂X be a γ-measurable set, and let F: A→ E be a γ-measurable mapping with values in a separable Hilbert space E such that |F(x)-F(y)|E ≤C|x-y|H whenever x, y∈A, x-y∈H. The main result in this work gives a γ-measurable extension of F to all of X such that |F(x+h)-F(x)|E≤C|h|H for all x∈X and h∈H. Some related results are obtained.
Causes and Consequences of the Korean Financial Crisis
Authors: Choi Dosoung , Jen Frank C. , Shin H. Han
Published: April 2003

During the past decade, the profitability of Korean firms has declined significantly while their business risk has risen substantially. The deteriorating condition was largely due to excessive investments in manufacturing capacity that were financed mainly with short-term debt capital. The measures to restructure the system are summarized in two major thrusts: one, to reform corporate governance so that the business sector becomes more transparent and more value-enhancing; and two, to help develop long-term capital markets so that the domestic financial system becomes less vulnerable to external shocks.
A Study of Technical Efficiencies of CPA Firms in Taiwan
Authors: Cheng Ting-Wong , Wang Kuo-Liang , Weng Chih-Chiang
Published: April 2003

This paper uses DEA to assess the technical efficiencies of CPA firms, and applies the Tobit censored regression model to examine the relationship between technical efficiency and firm-specific characteristics. The results show that in 1994, Taiwan's CPA firms could have reduced inputs by 27.8 percent, on average, and still have produced the same level of services. In addition, a firm's size, age, service concentration, CPA-to-employee ratio and training expenditure per employee have positive impacts on its efficiency, and the firms with branches are less efficient than those without any branch.
Rationale and Strategy for Expansion of Singapore Stock Market
Authors: Wang Kangmao
Published: April 2003

This study provides an overview of the growth of the securities industry in Singapore. It discovers that the shrinking turnover attributes to the downfall IPO size, which in turn causes decreasing funds raised through the equity issuance. The analysis reveals a negative correlation between the stock market turnover and CPF (central provident fund) withdrawal. The study then discloses that domestic funds continue to be the main source to be invested in Singapore's stock market. It is concluded that the most effective measure to accelerate Singapore's effort in becoming a regional financial center is to attract more foreign funds and regional companies for listing on the Stock Exchange of Singapore.
China's Capital Flight, 1990–1999: Estimates and Implications
Authors: Wu Friedrich , Tang Leslie
Published: April 2003

Despite a trade surplus of US$43.6 billion and FDI inflows of US$45.6 billion in 1998, the stagnant growth of China's official foreign exchange reserves of just US$5 billion during the year has raised concerns about leakages in the system. This has refocused the attention of Beijing officials and foreign investors on the problem of capital flight in China. There, entities and individuals involved in the illegal transfer of funds out of the country usually do so not only because of higher returns available outside the country, but also because of domestic uncertainties such as corruption/smuggling, concerns over policy oscillations and a yuan devaluation. While capital flight cannot be measured directly or with precise accuracy, it can be estimated using a method that treats capital flight as being a "residual". This method has been employed by economists in the Bank for International Settlements and World Bank to estimate the amount of capital flight from emerging economies. The "residual" method estimates the amount of capital flight from a country by analysing the difference between reported capital flows and their actual movements. This paper presents these quantitative estimates of China's capital flight. From these estimates, several implications for the stability of the yuan and the Chinese economy in general are discussed.
The Market, Regulations, and Issuing Strategies of Covered Warrants in Taiwan
Authors: Chiang Raymond , Lee Chin-Shen , Hsieh Wen-Liang
Published: April 2003

This paper documents the general market situations, the regulations, and the issuing strategies as well as hedging strategies in the recently established Taiwan warrant market. Regulations highly affected the development of the market including the issuers' qualifications, the liquidity requirement of the underlying stocks, the large minimum issuance size, the extended issuing period, and the rules determining the initial premium. Issuers, facing some unrealistic regulations, not only bear substantial issuing risk, but also sustain greater issuance and hedging costs. Security houses therefore become more conservative to further issuance. A modification of current regulations may resolve most of the difficulties and enhance the liquidity of the market.
The Effects of Mergers and Acquisitions on Taiwanese Corporations
Authors: Yeh Tsung-Ming , Hoshino Yasuo
Published: April 2003

This paper investigated the impact of M&As on both the acquiring firms' stock prices and corporate performance by using evidence from 20 Taiwanese corporations. Our data suggest that the accounting performance of Taiwanese acquiring firms failed to meet the stock market's expectation of future improvements in the operations of the acquiring firms. The stock market reacted in favor of the announcements of M&As, however, there is a downward change in the acquiring firms' profitability from premerger to postmerger periods. However we do not find any significant correlation between stock returns and the change in accounting performance, which is different from some previous studies.
Investment Strategy, Dividend Policy and Financial Constraints of the Firm
Authors: Yang Chau-Chen , Lin Chung-Jiun , Lu Yi-Chen
Published: April 2003

In the real world where the capital market is considered imperfect, firms are facing financing constraints due to the presence of asymmetric information and agency problems. Fazzari, Hubbar, and Petersen (FHP) (1988) propose the use of investment-cash flow sensitivity to investigate whether the firm has financing constraints. They find that the effect of cash flow on investment is larger for the low-pay-out firms. Later research such as Devereux and Schiantarelli (1989), Hoshi, Kashyap and Scharfstein (1991) and Kaplan and Zingales (1997) also followed FHP's method to do more research on financing constrains. FHP assume that the dividend policy of a firm is exogenous to the investment-cash flow relationship. We propose that the dividend policy of a firm is endogenous and use a two-stage Probit Selection model to deal with examination of the financing constraints of the firms. The empirical result shows that: 1) There exist some differences between the OLS model and Probit Selection Model, especially in the explanatory variable, Tobin's q. 2) In the long run, firms that pay no dividend are observed to have significant financing constraints, compared with firms that pay dividends frequently.
Exchange-Rate Exposure of Taiwanese Exporting Firms
Authors: Chiao Chaoshin , Hung Ken
Published: April 2003

The purpose of this paper is to investigate the exchange-rate exposure of Taiwanese exporting firms. Particularly, we consider the effects of the timing of the three liberalization events through which the government carried out explicit policies to open gradually its foreign exchange and stock markets. First, we cannot corroborate that most exporting firms are individually exposed to exchange-rate risk. However, we cannot reject that the exporting firms are jointly exposed to exchange-rate risk in all sub-periods. Second, the timing of the three liberalization events greatly affects the exchange-rate exposure of Taiwanese exporting firms. Finally, the determinants of possibly time-varying exchange-rate exposure of exporting firms are exports-to-sales ratio, firm size, and the timing of the three liberalization events.
The Effect of Information Asymmetry on Bid-Ask Spreads Around Earnings Announcements by NASDAQ Firms
Authors: Tung Samuel
Published: April 2003

This paper empirically tests Kim and Verrecchia's (1994, hereafter KV) theory that bid-ask spreads may increase around earnings announcements when information asymmetry increases between the informed traders and the less informed market-makers. Despite certain limitations, prior research has used analysts' earnings forecasts as a proxy for information asymmetry. I substitute the percentage of common stocks held by institutional investors as a more precise proxy for information asymmetry. Consistent with KV's proposition, I find (1) that bid-ask spreads increase at the time of earnings announcements, and (2) that bid-ask reactions to earnings announcements are significantly positively related to information asymmetry even after controlling for the effects of other cross-sectional determinants of spreads.
A DSS Approach to Managing the Risks of Online Trading
Authors: Hsieh Chang-Tseh , Lin Binshan , Lee Cheng-Few
Published: April 2003

The proliferation of the Internet has led to the rapid growth of online brokerage. As the Internet now allows individual investors access to information previously only available to institutional investors, individual investors are profiting in the financial markets through online trading schemes. Rock bottom fees charged by the online brokers and the changing risk attitude of the Internet literate generation prompt the practitioners to question the validity of the traditional valuation models and statistics-based portfolio formulation strategies. These tactics also induce more dramatic changes in the financial markets. Online trading, however, does involve a high degree of risk and can cause a profitable portfolio to sour in a matter of minutes. This paper addresses the major challenges of trading stocks on the Internet, and recommends a decision support system for online traders to minimize the potential risks.
A Survey on Capital Structure Decisions of Hong Kong Firms
Authors: Fan Dennis K. K. , So Raymond W.
Published: April 2003

In this paper, the results of a survey on capital structure decisions of Hong Kong listed firms are reported. It is found that Hong Kong firms conformed more to the "pecking order" principle than a target long term debt-equity mix in their financing decisions. Financial managers' preferences over alternative capital raising instruments are also investigated. The degree of information asymmetry and firm size are found to have impacts on the ranking of some factors governing capital structure decisions. However, signaling motivation does not play a role in managers' financing decisions.
An Analysis of Long Memory in Volatility for Asian Stock Markets
Authors: Chung Huimin , Lin William T. , Wu Soushan
Published: April 2003

One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.
International Trade Relations and the Contagious Effects of the Asian Financial Crisis
Authors: Wu Chunchi
Published: April 2003

This paper examines the trade relationship among Pacific Rim Asian economies and the U.S. with an attempt at understanding the fundamental causes for the contagious effects of the Asian financial crisis. East Asian economies trade extensively among themselves and with the U.S. This great dependence on foreign trade and investments has considerably increased the instability of the economies and financial markets in this region. It is found that the impact of the financial crisis on a domestic economy is positively correlated with its trade relationship with foreign economies. The importance of the trade relationship is manifested in the financial markets. Results show that the returns and volatility of a stock market are significantly influenced by the markets of its major trading partners. Also, foreign exchange markets often significantly interact with stock markets, especially following the Asian financial crisis. Furthermore, the Japanese and Hong Kong markets, instead of the U.S. market, had a dominating effect on East Asian financial markets during the period of the financial crisis.
Bank Market Structure and Performance in Taiwan Before and After the 1991 Liberalization
Authors: Tu Anthony H. , Chen Shen-Yuan
Published: April 2003

Two competing hypotheses regarding market structure and the performance of firms are the traditional "structure-conduct-performance" (SCP) hypothesis, in which high concentration lowers the cost of collusion and earns monopoly rents, and the "efficiency" hypothesis, which emphasizes the operating efficiency of particular firms. In this paper, we present the results from testing both the hypotheses in the context of Taiwan's banking market. Our goal is to understand the effect of the 1991 liberalization policy by examining whether market structure and firm performance in this industry differ in the periods before and after the 1991 revisions to the Banking Act. Prior to the 1991 revisions, our results do not support either the SCP or the efficiency hypothesis for Taiwan's banking industry. The industry's market structure seems to exhibit a kind of "quiet-life" competing environment. The results for the period after the 1991 revisions tend to support the competing efficiency hypothesis. Our findings suggest that the 1991 revisions to the Banking Act have stimulated competition and brought about an emphasis on efficiency in Taiwan's banking industry.
How Taiwan Weathered the Asian Financial Crisis
Authors: Hwa Erh-Cheng
Published: April 2003

This paper attempts to explain why Taiwan was able to cope with the East Asian financial crisis more successfully than other economies in East Asia. It pinpoints Taiwan's competitive industrial sector as the most likely relevant underlying factor. It also shows that while sound macroeconomic policy and prudent financial policy all contributed to allowing Taiwan to avert the crisis, an effective industrial policy that fostered industrial restructuring, strengthened industrial competitiveness, as well as helped to restore macroeconomic equilibrium, was the most instrumental factor.
Taiwan's Experience in Dealing with the Asian Financial Crisis and Examination of the Role of Short-term Capital Flows in the Emerging Market Economy
Authors: Chiu Paul C. H.
Published: April 2003

This paper is divided into three parts as follows. The first part explains why Taiwan was relatively unscathed by the Asian Financial Crisis, including the short term countermeasures that were taken. The second part examines the role of short-term capital flows in the emerging market economy, and the third part concludes the paper.