2016 INFORMS Annual Meeting Program

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INFORMS Nashville – 2016
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SA43
SA40
207B-MCC
Applications in Efficiency Analysis
Invited: Data Envelopment Analysis
Invited Session
Chair: Kankana Mukherjee, Babson University, 231 Forest Street,
Babson Park, MA, 02457, United States,
1 - Malmquist Productivity Analysis With The Stoned Method
Endre Bjørndal, Norwegian School of Economics,
Xiaomei Cheng, Mette Bjorndal
We construct a Malmquist productivity index based on the Stochastic Non-
parametric Envelopment of Data (StoNED) method, and we discuss how the
distributional assumptions in the second StoNED stage affect estimates of
productivity change and its decompositions. Our results are also valid for similar
methods, such as COLS and MOLS, where a best-practice frontier is obtained
from an average-practice frontier. Data on Norwegian electricity distribution
companies is used to illustrate our discussion.
2 - Determinants Of Energy Efficiency In Indian Manufacturing
Kankana Mukherjee, Babson University,
This paper takes a production perspective and utilizes Data Envelopment Analysis
to examine the major determinants of the traditional index of energy efficiency in
the Indian manufacturing industry. The roles of technical efficiency of production,
capacity utilization, and the adoption of energy efficient technology in
determining energy efficiency is specifically addressed.
3 - Implicit Estimation For Stochastic Frontier Model
Mohamed Nejib Ouertani, Sfax University,
In this paper, a novel approach has been proposed to estimate stochastic frontier
models; namely the Implicit approach. As we reckon, to our limited knowledge
this method steel has not been applied to the stochastic frontier approach. For this
purpose, the Markov Chain Monte Carlo (MCMC) techniques are used and
implemented for both approaches subject of our study. As matter of fact, our new
approach has been illustrated by means of a data pertaining to a sample of
Saudian insurers.
4 - Inward Internationalization And Performance: An Application Of
The Bootstrapped Truncated Regression Model
Yi-Chun Liu, National Taiwan University, Taipei, Taiwan,
Yang Li, Homin Chen
This study is the first to study the influence of the breadth of inward
internationalization (BII) on the performance of internationalization of
international tourists (ITHs). We employ the bootstrapped truncated regression
model and takes into account the property of quasi-fixed inputs to analyze how
BII influences the operational performance of Taiwan’s ITHs. The data set consists
of 70 Taiwanese ITHs and 208 observations for the period 2011-2013. The
empirical results show that the BII contributes positively to ITHs’ efficiency,
benefits independent ITHs greater than it does for chain ones, and moderates the
relationship between core revenue and operational performance.
SA41
207C-MCC
Control and Optimization in Finance
Sponsored: Financial Services
Sponsored Session
Chair: James Primbs, Cal State Fullerton, Fullerton, CA, United States,
1 - Order Book Dynamics And Price Sensitivity At Nasdaq: Part 1
James Primbs, California State University Fullerton, Fullerton, CA,
92831, United States,
Scott Condie, Sean Warnick
The order book is a rich source of information detailing trading dynamics in
equity markets. Recent concerns with algorithmic trading activities suggest that
high frequency traders have unfair advantages compared with nominal traders.
The first part of this talk will introduce the order book and explore the data set
used in the analysis. Public concerns related to high frequency trading and Siren
orders will also be discussed.
2 - Order Book Dynamics And Price Sensitivity At Nasdaq: Part 2
James Primbs, California State University Fullerton, 925 Berenice
Dr, Brea, CA, 92821, United States,
Scott Condie, Sean Warnick
The order book is a rich source of information detailing trading dynamics in
equity markets. Recent concerns with algorithmic trading activities suggest that
high frequency traders have unfair advantages compared with nominal traders.
The second part of the talk will explore differences in market dynamics over
different time scales and price sensitivity to the shape of the order book. Efforts to
find evidence for the concerns detailed in Part I will be explained.
3 - On A New Class Of Pairs-trading Strategies
Atul Deshpande, University of Wisconsin, Madison, WI,
United States, , B. Ross Barmish
The starting point for this paper is a new class of pairs-trading strategies which
have rather weak requirements on the underlying stocks. We allow the user to
define a rather arbitrary spread function to relate the two stock prices under
consideration. Moreover, when this function, in conjunction with the price
processes, satisfies a certain mean-reversion condition, we deem the stocks to be a
tradeable pair. For such a case, we prove that our trading strategy results in
positive expected growth in the account value. For a limited number of backtests
using popular spread functions from literature, we see robust growth while
avoiding huge drawdowns.
4 - Robust Empirical Optimization Is Almost The Same As
Mean-variance Optimization
Jun-ya Gotoh, Chuo University,
We consider a robust optimization problem. Our main finding is that a large class
of robust empirical optimization problems are essentially equivalent to an in-
sample mean-variance. With this insight, we suggest a robust version of
cross-validation which can be beneficial to high-dimensional-small-data situation
such as portfolio optimization.
SA42
207D-MCC
Quantitative Methods in Finance
Sponsored: Financial Services
Sponsored Session
Chair: Richard Sowers, University of Illinois, Champaign, Urbana, IL,
61801, United States,
1 - Measures Of Financial Network Complexity:
A Topological Approach
Mark Flood, Office of Financial Research,
We present a general definition of complexity appropriate for financial
counterparty networks, and derive several topologically based implementations.
These range from simple and obvious metrics to others that are more
mathematically subtle. It is important to tailor a complexity measure to the
specific context in which it is used. This paper introduces measures of the
complexity of search and netting in dealer markets. We define measures of line
graph homology and collateral line graph homology that are sensitive to network
interactions, such as collateral commingling and interdependent chains of
obligations, that can be difficult or intractable to unwind.
SA43
208A-MCC
Military Applications of Decision Analysis
Sponsored: Decision Analysis
Sponsored Session
Chair: Gregory S Parnell, University of Arkansas, University of
Arkansas, Fayetteville, AR, 72701, United States,
1 - Stakeholder Requirements For Engineered Resilient Systems
Decision Support Tools
Christina Rinaudo, Operations Research Analyst, USACE Engineer
Research and Development Center (ERDC), Vicksburg, MS, 39180,
United States,
Randy Buchanan
Engineered Resilient Systems (ERS) seeks to improve engineering and design
development to generate adaptive, effective, and trusted systems in a physics
model-based environment. The ERS program strives to incorporate decision
analysis tools that enable customization of analytical tools. Through a
collaborative workshop held with ERS stakeholders, researchers gained an
understanding of multiple perspectives for decision analysis methods in a physics
model-based environment. This presentation explores the stakeholder
requirements identified by the workshop and proposes next steps to incorporate
decision analysis into the ERS tradespace analytical tool suite.