Displaying Published Materials 1 to 10 of 121

Arnold Polanski

• Is the General Public Licence a Rational Choice?

  Journal of Industrial Economics Vol. LV, 4, 2007

  Open/free source projects are networks of developers, distributors and end-users of non-proprietary created knowledge goods. It has been argued (e.g. [2], [10], [30]) that this form of organization has some advantages over the firm or market coordination. We show that for sufficiently convex and modular projects, proprietary licences are not able to sustain sequential knowledge production which, however, can be carried out if the project is run on the open source basis. JEL Classification: D45, D83, H41.

• A Decentralized Model of Information Pricing in Networks

  Journal of Econ Theory 136, 2007

  We propose a recursive method of pricing an information good in a network of holders and demanders of this good. The prices are determined via a unique equilibrium outcome in a sequence of bilateral bargaining games that are played by connected agents. If the information is an homogenous, non-depreciating good without network effects we derive explicit formulae which elucidate the role of the link pattern among the players. Particularly, we find out that the equilibrium price is intimately related to the existence of cycles in the network: It is zero if a cycle covers the trading pair and it is proportional to the direct and indirect utility that the good generates otherwise. JEL Classification: C 78.

• Bilateral Bargaining in Networks

  Journal of Econ Theory 134, 2007

  Each connected pair of nodes in a network can jointly produce one unit of surplus. A maximum number of linked nodes is selected in every period to bargain bilaterally over the division of the surplus, according to the protocol proposed by Rubinstein and Wolinsky (Econometrica 53 (1985), 1133-1150). All pairs, that reach an agreement, obtain the (discounted) payoffs and are removed from the network. This bargaining game has a unique subgame perfect equilibrium that induces the Dulmage-Mendelsohn decomposition (partition) of the bipartite network (of the set of nodes in this network). JEL Classification: C 78.

• Incorporating Higher Moments into Value at Risk Forecasting

  Written with E. Stoja - forthcoming in Journal of Forecasting

  Value-at-Risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting the standard normal distribution with time-varying higher moments. We allow the first four moments of the GCE to depend on past information which leads to a more accurate approximation of the tails of the distribution. The results unambiguously show that our GCE-based VaR forecasts provide accurate and robust estimates of the realised VaR, outperforming those generated by the constant-higher-moments models.

• Genetic Algorithm Search for Predictive Patterns in Multidimensional Time Series

  forthcoming in Complex Systems

  Based on an algorithm for pattern matching in character strings, we implement a pattern matching machine that searches for occurrences of patterns in multidimensional time series. Before the search process takes place, time series are encoded in user-designed alphabets. The patterns, on the other hand, are formulated as regular expressions that are composed of letters from these alphabets and operators. Furthermore, we develop a genetic algorithm to breed patterns that maximize a user-defined fitness function. In an application to financial data, we show that patterns bred to predict high exchange rates volatility in training samples retain statistically significant predictive power in validation samples.

• Endogenous Two-Sided Markets with Repeated Transactions

  Written with E. Winter - forthcoming in The B.E. Journal of Theoretical Economics (Advances)

  We consider homogeneous two-sided markets, in which connected buyer-seller pairs bargain and trade repeatedly. In this infinite market game with exogenous matching probabilities and a common discount factor, we prove the existence of equilibria in stationary strategies. The equilibrium payoffs are given implicitly as a solution to a system of linear equations. We endogenize then the matching mechanism in a link formation stage that precedes the market game. When agents are sufficiently patient and link costs are low, we provide an algorithm to construct minimally connected networks that are pairwise stable with respect to the expected payoffs in the trading stage. The constructed networks are essentially efficient, consist of components with a constant buyer-seller ratio and such that the latter ratio increases (decreases) for a buyer (seller) that deletes one of her links.

• Pattern Matching In Multidimensional Time Series

  in Computational Intelligence in Economics and Finance, S.-H. Chen, P. Wang (eds.)

  Based on a algorithm for pattern matching in character strings, a pattern description language (PDL) is developed. The compilation of a regular expression, that conforms to the PDL, creates a nondeterministic pattern matching machine (PMM) that can be used as a searching device for detecting sequential patterns or functional (statistical) relationships in multidimensional data. As an example, a chart pattern of ex ante unknown length is encoded and its occurences are searched for in financial data.

Boyd Black

• National Culture and Labour Market Flexibility.

  International Journal of Human Resource Management

• Labour Market Systems, Segregation and Gender Pay Inequalities: West Germany, The Netherlands and Great Britian

  Cambridge Journal of Economics.

• Culture and Effort: British and Irish Work-Related Values and Attitudes.

  International Journal of Human Resource Management