Thorsten Hens, Klaus Reiner Schenk-Hoppé, Igor V Evstigneev, Survival and evolutionary stability of the Kelly rule, In: The Kelly Capital Growth Investment Criterion: Theory and Practice, World Scientific Publishing, Singapore, p. 273 - 284, 2011. (Book Chapter)
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Ramazan Gençay, Steven Fagan, An Introduction to Textual Econometrics, In: Handbook of Empirical Economics and Finance, Taylor & Francis, Boca Raton, US, p. 133 - 154, 2011. (Book Chapter)
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Ramazan Gençay, Nikola Gradojevic, Errors-in-Variables Estimation with Wavelets, Journal of Statistical Computation and Simulation, Vol. 81 (11), 2011. (Journal Article)
This paper proposes a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields unbiased estimates for the intercept and the slope parameters. Our Monte Carlo results also show that the wavelet approach is particularly effective when measurement errors for the regressand and the regressor are serially correlated. With this paper, we hope to bring a fresh perspective and stimulate further theoretical research in this area. |
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Ulrike Malmendier, Han Lee Young, The Bidder’s Curse, American Economic Review, Vol. 101 (2), 2011. (Journal Article)
We employ a novel approach to identify overbidding in auctions. We compare online auction prices to fixed prices for the same item on the same webpage. In detailed data on auctions of a board game, 42 percent of auctions exceed the simultaneous fixed price. The result replicates in a broad cross-section of auctions (48 percent overbidding). A small fraction of overbidders, 17 percent of bidders, suffices to generate the large fraction of auctions with overbidding. We show that the observed behavior is inconsistent with rational behavior, even allowing for uncertainty about prices and switching costs, since the expected auction price also exceeds the fixed price. Limited attention best explains our results. |
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Ulrike Malmendier, David Card, Stefano DellaVigna, The Role of Theory in Field Experiments, Journal of Economic Perspectives, Vol. 25 (3), 2011. (Journal Article)
When it comes to the role of theory in their research, empirical microeconomists are torn. On the one hand, we devote a large fraction of our graduate instruction to models of consumer behavior and firm decision making, and to the interactions that determine market equilibrium. On the other hand, it is not always obvious how these theories are relevant to empirical research. Outside the academy, policymakers and business leaders often demand "basic facts" and simplified policy guidance with little or no concern for theoretical nuances. How then do empirical economists negotiate between theory and "facts"? In this paper, we focus on the role of theory in the rapidly growing area of field experiments. We take an empirical approach and quantify the role of theoretical modeling in all published field experiments in five top economics journals from 1975 to 2010. We propose a new classification of experimental studies that captures the extent to which the experimental design and analysis is linked to economic theory. Specifically, we distinguish between four classes of studies: Descriptive studies that lack any explicit model; Single Model studies that test a single model-based hypothesis; Competing Models studies that test competing model-based hypotheses; and Parameter Estimation studies that estimate structural parameters in a completely specified model. Applying the same classification to laboratory experiments published over the same period we conclude that theory has played a more central role in the laboratory than in field experiments. Finally, we discuss in detail three sets of field experiments that illustrate both the potential promise and pitfalls of a tighter link between experimental design and theoretical underpinnings. |
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Ausgezeichnete Informatikdissertationen 2010, Edited by: Steffen Hölldobler, Abraham Bernstein, et al, Gesellschaft für Informatik, Bonn, 2011. (Edited Scientific Work)
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The Semantic Web - ISWC 2011 - 10th International Semantic Web Conference, Bonn, Germany, October 23-27, 2011, Proceedings, Part II, Edited by: Lora Aroyo, Chris Welty, Harith Alani, Jamie Taylor, Abraham Bernstein, Lalana Kagal, Natasha Noy, Eva Blomqvist, Springer, Heidelberg, Germany, 2011. (Proceedings)
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The Semantic Web - ISWC 2011 - 10th International Semantic Web Conference, Bonn, Germany, October 23-27, 2011, Proceedings, Part I, Edited by: Lora Aroyo, Chris Welty, Harith Alani, Jamie Taylor, Abraham Bernstein, Lalana Kagal, Natasha Noy, Eva Blomqvist, Springer, Heidelberg, 2011. (Proceedings)
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Angelo Ranaldo, Laurent Favre, Hedgefonds-Analyse unter Berücksichtgung alternativer Verteilungen: Vergleich des Zweimoment- und des Viermoment-Ansatzes beim CAPM, In: Handbuch Alternative Investments, Gabler Betriebswirtschaftlicher Verlag, Wiesbaden, p. 505 - 529, 2011. (Book Chapter)
Die Alternative-Investment-Industrie, deren wichtigste Säule v.a. die Hedgefondsund Private-Equity-Branche bildet, erfährt eine nie zuvor erlebte Aufmerksamkeit in der deutschen Medienlandschaft - dabei werden die positiven Effekte von Hedgefonds und Private Equity zumeist nicht differenziert genug diskutiert: Sie tragen dazu bei, durch die Ausnutzung von Preisannomalien die Markteffizienz zu erhöhen. Hedgefonds- und Private Equity sollten daher eine wichtige Rolle im Anlageuniversum von Versicherungen, Pensionskassen u. a. institutionellen Investoren spielen. Sie sind der Schlüssel zu einem signifikanten Wachstum der Alternative-Investment-Industrie. Internationale Fachleute, hochrangige Vertreter aus Praxis und Wissenschaft führen in jeweils dezidierter Darstellung wesentlicher Einflussfaktoren das relevante Themenspektrum zu einem Gesamtbild der Alternativen Investments zusammen. Mit ihren Beiträgen zeichnen sie die jüngsten Entwick-lungen nach und zeigen Perspektiven der Marktentwicklung auf. |
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Angelo Ranaldo, Andreas M Fischer, Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations), Journal of Banking and Finance, Vol. 35 (11), 2011. (Journal Article)
Does global currency volume increase on Federal Open Market Committee (FOMC) days? To test hypotheses of abnormal currency volume on FOMC days, a new data set from the Continuous Linked Settlement (CLS) Bank is used. The CLS measure captures more than half of the global trading volume in foreign exchange (FX) markets. The evidence shows that FX trading volume increases about 5% in the spot and the spot-next market following FOMC deliberations. The novelty of this result is that the aggregated CLS data controls for responses in various derivatives markets: a feature that existing studies based on intradaily data for specific trading platforms do not consider. |
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Jürg Syz, Green Properties - Sustainable Returns, In: Real Estate Private Equity, SECA, Bern, p. 1 - 5, 2011. (Book Chapter)
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Jürg Syz, Marco Salvi, What Drives "Green Housing" Construction? Evidence from Switzerland, Journal of financial economic policy, Vol. 3 (1), 2011. (Journal Article)
Switzerland boasts arguably the highest density of green properties in the world. In 2008, more than 15 percent of total new construction received the Swiss energy building label Minergie. The spatial distribution of these green buildings, however, is highly heterogeneous. In some regions, more than half of the new dwellings are built according to the Swiss green building standard. In others, this share is still negligible. The purpose of this paper is to identify the determinants of the distribution of green housing. |
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Patricia Deflorin, M Scherrer-Rathje, Challenges in the transformation to lean production from different manufacturing-process choices: a path-dependent perspective, International Journal of Production Research, 2011. (Journal Article)
The implementation of lean production remains popular among industrial companies, and the requirement for individualised steps in its implementation is widely accepted; however, research has not yet considered the different process choices available to the companies. The conclusions drawn from the automotive industry’s
mass production environment may be misleading, given the different conditions of many other industries. We therefore compare case data from a craft producer with the rich, case-study based literature of mass producer companies that highlight the transformation from mass to lean production. We derive a list of
specific challenges a craft producer must approach using a different strategy than a mass producer. This study adds to the lean production theory by demonstrating how different manufacturing process choices influence the lean transformation process and its successful implementation. It provides specific propositions concerning the transformation to lean by considering the different processes of craft and mass production
companies. Furthermore, the case study gives an in-depth understanding of the challenges a craft-oriented company faces when becoming lean. |
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Bruno Frey, Happiness - a revolution in social science, 2011. (Other Publication)
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Bruno Frey, Evaluitis – Eine neue Krankheit, In: Musen Mythen Mentoring, Universität der Künste Berlin, Berlin, p. 119 - 131, 2011. (Book Chapter)
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Evaluitis – Eine neue Krankheit, In: Musen Mythen Mentoring, Universität der Künste Berlin, Berlin, p. 119 - 131, 2011. (Book Chapter)
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Burkhard Stiller, Hasan Hasan, Fabio Victora Hecht, Guilherme Sperb Machado, Andrei Aurel Vancea, Martin Waldburger, Mobile systems V, Version: 2, 2011. (Technical Report)
This fifth edition of the seminar entitled "Mobile Systems V" discusses a number of selected topics in the area of mobile communication. The first talk "An Overview of Vehicular Wireless Networks" presents the state-of-the-art in vehicular networks and discusses a number of emerging research challenges in improving vehicular ad-hoc networks (e.g., with respect to an efficient routing). Talk two entitled "An Overview of LTE – Technology and Deployment" provides an introduction into fourth generation mobile networks on the specific example of LTE. This includes an outline of the technological basis as well as the current status of deployment. Talk three on "Mobile Web Standards" gives an overview of mobile web standards with respect to the underlying hardware situation. It complements this overview by a comparative analysis of the current situation observed on the Web. Talk four on "Mobile Virtualization" explains different application areas for mobile virtualization and discusses key important technical and economic assets as well as drawbacks. Talk five on "Mobile Healthcare" introduces mobile healthcare systems as an opportunity to optimize costs. The talk outlines current mobile healthcare systems and determines their economic potential. Finally, talk six on "Internet Penetration Studies – Methodology and Results for Mobile Internet" identifies typical indicators based on which diffusion of mobile and fixed Internet technology is quantified. By means of a detailed and embracing comparison of data collection methods an analysis on indicator data comparability is provided. |
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Konrad Mierendorff, Asymmetric Reduced Form Auctions , Economics Letters, Vol. 110 (1), 2011. (Journal Article)
This paper provides a tractable characterization of feasibility of asymmetric reduced form auctions. Using this, auction design problems can be stated in terms of the reduced form only. This allows to solve optimal auction problems when classical solution techniques fail. |
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Simon Poltier, Game Theoretical Study of LiveShift Using Congestion Games, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
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Burkhard Stiller, Filip De Turck, Cristian Morariu, Martin Waldburger, Report on the 4th International Conference on Autonomous Infrastructures, Management, and Security (AIMS 2010) and the International Summer School on Network and Service Management (ISSNSM 2010), Journal of Network and Systems Management, Vol. 19 (1), 2011. (Journal Article)
This article contains the report on AIMS 2010, which was held June 23–25, 2010 at the Department of Informatics (IFI), University of Zürich, Switzerland and which was driven by the theme “Mechanisms for Autonomous Management of Networks and Services”. Furthermore, the report also synopsizes ISSNSM 2010, which was run June 21–23, 2010 at the same location and which offered a practical summer school on selected topics in network and service management. |
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