2015 Informs Annual Meeting

TA06

INFORMS Philadelphia – 2015

3 - Driver Scheduling Optimization Method Proposal for the J.B. Hunt Intermodal Division Luisa Janer, Graduate Student, University of Arkansas, 759 S Royal Oak Pkwy #201, Fayetteville, AR, 72701, United States of America, mjanerru@uark.edu, Valeria A. Remon Perez, Nicole Taborga Delius, Nakia Lynn Lee A scheduling tool based on optimization was developed in order to improve the driver and truck scheduling process of the J.B. Hunt Intermodal Division. After having developed six prototypes of an optimization model, the tool manages to effectively lower the outsourcing percentage to ten percent and increases the driver-truck ratio to 1.8.

4 - Within and Cross-channel Effects of Brand Advertising on Word-of-Mouth Linli Xu, Carlson School of Management, University of Minnesota, 321 19th Ave S, Suite 3-150, Minneapolis, MN, United States of America, linlixu@umn.edu, Mitchell Lovett, Renana Peres The central theme of this paper is to examine the relationship between advertising and WOM. We study the influence of advertising on word-of-mouth within channel and across channels. Preliminary evidence suggests significant relationships both within and cross-channels. For example, both TV and Internet display advertising appear to be significantly related to offline word-of-mouth with TV having a stronger direct effect than Internet, whereas Internet advertising is stronger online than TV. 5 - Mobile Big Data Analytics Xueming Luo, Temple Univ, 1801 Liacouras, Philadelphia, PA, 19076, United States of America, luoxm@temple.edu Over 3.6 billion people worldwide are deeply engaged with smartphone devices. This reach potential proffers unprecedented marketing opportunity. As marketers can send ads to smartphone users anywhere they are, marketing discipline now faces tremendous opportunities of coming up with new theory and industry practices for manager and consumer insights. Xueming will present some recent research findings from his Global center for big data in mobile analytics. Chair: Stathis Tompaidis, Professor, University of Texas at Austin, Office of Financial Research, Austin, TX, 78712, United States of America, Stathis.Tompaidis@mccombs.utexas.edu 1 - Gauging form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures Phillip Monin, Researcher, Office of Financial Research, 717 14th St. NW, Washington, DC, 20005, United States of America, Phillip.Monin@treasury.gov, Mark Flood, Lina Bandyopadhyay We examine the precision of Form PF as an instrument for measuring risk exposures in the hedge fund industry. Using a novel simulation methodology, we assess the measurement tolerances of Form PF by examining the distribution of actual portfolio risk exposures that are consistent with a fixed presentation on Form PF. We find that Form PF’s measurement tolerances are sufficiently large to allow private funds with dissimilar actual risk profiles to report similar risks to regulators. 2 - Systemic Risk: The Dynamics under Central Clearing Agostino Capponi, Columbia, Mudd 313, New York, NY, 10027, United States of America, ac3827@columbia.edu We develop a tractable model for asset value processes of financial institutions trading with one central clearinghouse. Each institution allocates assets between his loan book and his clearinghouse account. We show that a unique equilibrium allocation profile arises when institutions adjust trading positions to hedge risks stemming from their loan books. The stochastic dynamic equilibrium path shows a buildup of systemic risk manifested through the increase of market concentration. 3 - Hidden Illiquidity with Multiple Central Counterparties Kai Yuan, Columbia Business School, 3022 Broadway, 4J, Uris Hall, New York, United States of America, kyuan17@mail.gsb.columbia.edu, Paul Glasserman, Ciamac Moallemi Convex margin requirements from CCPs create an incentive for a swaps dealer to split its positions across multiple CCPs, effectively “hiding” potential liquidation costs. To compensate, each CCP needs to set higher margin requirements than it would in isolation. In the case of linear price impact, we show that a necessary and sufficient condition for the existence of an equilibrium is that the two CCPs agree on liquidity costs and a difference in views can lead to a race to the bottom. TA06 06-Room 306, Marriott Systemic Risk Sponsor: Financial Services Sponsored Session

TA04 04-Room 304, Marriott Panel Discussion: Journal Publication Tips Sponsor: Junior Faculty Interest Group Sponsored Session

Chair: Cameron MacKenzie, Assistant Professor, Iowa State University, 3004 Black Engineering, Ames, IA, 50011, United States of America, camacken@iastate.edu 1 - Panel Discussion: Successful Journal Publication Tips Moderator: Cameron MacKenzie, Assistant Professor, Iowa State University, 3004 Black Engineering, Ames, IA, 50011, United States of America, camacken@iastate.edu, Panelists: Chris Tang, Martin Savelsbergh, Serguei Netessine, Stefanos Zenios, Jay Simon Panel discussion will include editors and associate editors from Management Science, Operations Research, Decision Analysis, Manufacturing & Service Operations Management, and Transportation Science.

TA05 05-Room 305, Marriott Social Media and Networks in Business Cluster: Social Media Analytics Invited Session

Chair: Xiaojing Dong, Associate Professor, Santa Clara University, 500 El Camino Real, Lucas Hall, Marketing, Santa Clara, CA, 95053, United States of America, xdong1@scu.edu 1 - Predicting Social Influence Based on Dynamic Network Structures Mandy Hu, Assistant Professor, The Chinese University of Hong Kong, CUHK Business School, Marketing, Shatin, Hong Kong - PRC, mandyhu@baf.cuhk.edu.hk This study examines how network structure and dynamics interplay with the effect of social influence to facilitate diffusion. The context we consider is the diffusion of a new smartphone from a major wireless carrier in two medium-sized cities in China. We are able to identify the two most significant network measures related to social influence are diversity of connection and time variation of edge numbers. Our findings provide foundation on the network-based targeting strategy. 2 - Matrix Metrics: Network-based Systemic Risk Scoring Sanjiv Das, William And Janice Terry Professor Of Finance, Santa Clara University, Leavey School of Business, 500 El Camino Real, Santa Clara, CA, 95053, United States of America, srdas@scu.edu I develop a network-based systemic risk score that depends on individual risk at each financial institution and interconnectedness across institutions. This risk metric is decomposable into risk contributions from each entity, forming a basis for taxing each entity appropriately. Spillover risk determines the scale of externalities that one institution might impose on the system. Splitting up too- big-to-fail banks from the system does not lower systemic risk. 3 - Motivation of User-Generated Content in a Social Network Xiaojing Dong, Associate Professor, Santa Clara University, 500 El Camino Real, Lucas Hall, Marketing, Santa Clara, CA, 95053, United States of America, xdong1@scu.edu This study focuses on understanding the motivation of user-generated content in open-source environments and online social networks. In our data, to encourage members to contribute more reviews on the site, the community introduced cash payment to those who offered reviews. We the find the effect of such reward actually depends on the level of social connectedness. Those with fewer connections responded positively to the reward, and those with more connections responded negatively.

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