Informs 2015

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INFORMS Philadelphia – 2015
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2 - Toward Effective Information Diffusion on Social Media Platforms:
An Analysis of Dyadic Relationship
Jing Peng, The Wharton School, University of Pennsylvania, 3730
Walnut Street Suite 500, Philadelphia, PA, 19104, United States
of America, , Ashish Agarwal,
Kartik Hosanagar, Raghuram Iyengar
We investigate the impact of dyadic network characteristics on information
diffusion in social media platforms with directed networks. We propose a novel
hazard model to deal with the problem that a user may receive the information
from multiple others. The model is estimated using diffusion of ads on
We find that a non-reciprocal follower is more likely to adopt than a reciprocal
follower and the effects of network embeddedness are more complicated than
that in undirected networks.
3 - Monetizing Sharing Traffic through Incentive Design:
A Randomized Field Experiment
Tianshu Sun, University of Maryland Smith School of Business,
3330 Van Munching Hall, College Park, MD, 20740-2840,
United States of America, ,
Siva Viswanathan, Elena Zheleva
Customers share product information with each other everyday. While the share
of a product indicates clear purchase intent of either sender or recipient, most of
such sharing traffic does not lead to successful purchases. In collaboration with a
daily deal platform, we conduct a large field experiment to study whether and
how firms can monetize sharing traffic, by targeting senders with incentive.
Specifically, we examine the impact of incentive design on sender’s purchase as
well as referrals
4 - Founder and Funder, Just One Click Apart: How Social Media
Facilitates Investor Entrepreneur Match
Fujie Jin, the Wharton School, University of Pennsylvania, 500
Jon M Huntsman Hall, 3730 Walnut Street, Philadelphia, PA,
19104, United States of America,
This study examines how entrepreneurs’ social media presence facilitates the
funding process across geographic regions. Comparison will be drawn between
traditional angel investors or VCs and the new crowdfunding platform to show
how entrepreneurs could optimally manage their social media profile to appeal to
different investor groups.
TB06
06-Room 306, Marriott
Engineering Approaches in Finance
Sponsor: Financial Services
Sponsored Session
Chair: James Primbs, Associate Professor, California State University
Fullerton, 800 N. State College Blvd., Fullerton, CA, United States of
America,
1 - On Feedback Control-based Stock Trading: Some Back Tests
with High-frequency Data
B. Ross Barmish, Professor, University of Wisconsin, ECE
Department, Madison, WI, 53706, United States of America,
The takeoff point for this paper is a new paradigm for stock trading involving
adaptive feedback control loops. I will first overview the key elements of our
theory with emphasis on “model-free” trading and money management.
Subsequently, I will describe recent back tests of our trading algorithms using
high-frequency data. Given that our underlying theory requires continuity of the
stock price, it is natural to study whether performance improves as a function of
the trading frequency.
2 - Construction of Nonlinear Simultaneous Equations Models for
Electricity Supply and Demand Functions
Yuji Yamada, Professor, University of Tsukuba,
3-29-1 Otsuka, Bunkyo-ku, Tokyo, 112-0012, Japan,
In this work, we develop a new methodology for estimating supply and demand
functions in the Japan Electric Power Exchange (JEPX) spot market. To this end,
we generalize the standard simultaneous equations approach using linear
regressions for nonlinear case and show that the nonlinear structural equations
may be constructed based on the reduced equations of a nonparametric
regressions model. Then, we demonstrate the proposed approach using empirical
data.
3 - Trading a Portfolio of Pairs in the Presence of Transaction Costs
James Primbs, Associate Professor, California State University
Fullerton, 800 N. State College Blvd., Fullerton, CA, United States
of America, Yuji Yamada
In this work we consider the problem of trading a portfolio of pairs when
transaction costs are present. We develop a receding horizon approach based on a
power utility function and proportional transaction costs. The resulting
methodology is very computational tractable, even for a portfolio of many
potentially correlated pairs. Backtested results on historical data are provided.
4 - Backtesting Simultaneous Long-short and Proportional-integral
Investment Schemes
Sean Warnick, Associate Professor, Brigham Young University,
TMCB 2222, Provo, UT, 84602, United States of America,
, Scott Condie, Nathan Woodbury
Simultaneous Long-Short is an investment strategy analyzed by Barmish and
Primbs that uses feedback control techniques to make investment decisions. An
extension of the technique uses proportional-integral control to make such
decisions. Importantly, these methods use a feedback architecture—and no
explicit market model—to manage investments. This study explores the
performance of these methods compared to other methods that use some estimate
of a market model through various backtests.
TB07
07-Room 307, Marriott
Quantitative Risk Measurement and Modeling
Cluster: Risk Management
Invited Session
Chair: Nan Chen, Professor, Chinese University of Hong Kong, 709A
William Mong Engineering Building, Hong Kong, Hong Kong - PRC,
1 - On the Measurement of Economic Tail Risk
Xianhua Peng, Assistant Professor, Hong Kong University of
Science and Technology, Department of Mathematics,
Hong Kong, Hong Kong - PRC,
We show that the only risk measures that satisfy a set of economic axioms for the
Choquet expected utility and the statistical property of elicitability (i.e. there
exists an objective function such that minimizing the expected objective function
yields the risk measure) are the mean functional and the median shortfall, which
is the median of tail loss distribution. We argue that median shortfall is a better
alternative than expected shortfall for setting capital requirements in Basel
Accords.
2 - Leverage, Market Liquidity, and Financial Fragility
Nan Chen, Prof, Chinese University of Hong Kong, 709A William
Mong Engineering Building, Hong Kong, Hong Kong - PRC,
Jing Chen
We provide a simple model to show how systemic fragility is built up as highly
leveraged investors crowd to similar trading strategies. As their wealth grows over
time, the destabilizing impact of their trading becomes more imminent, causing
amplified volatility, jump risk, and correlation co-movements in the security
prices.
3 - A Simulation Measure Approach to Monte Carlo Methods for
Default Timing Problems
Alex Shkolnik, University of California, Berkeley, CA, United
States of America, , Kay Giesecke
Reduced-form models of name-by-name default timing are widely used to
measure portfolio credit risk and to analyze securities exposed to a portfolio of
names. Monte Carlo (MC) simulation is a common computational tool in such
settings. We introduce a new change of measure perspective for MC simulation
for default timing problems. The perspective provides the means of analyzing
current methods and suggests a new MC algorithm which outperforms a widely
used and standard technique.
TB06