Performance pay and managerial experience in multitask teams: evidence from within a firm

This article exploits a quasi‐experimental setting to estimate the impact that a commonly used performance‐related pay scheme had on branch performance in a large distribution firm. The scheme, which is based on the Balanced Scorecard, was implemented in all branches in one division but not in another. Branches from the second division are used as a control group. Our results suggest that the Balanced Scorecard had some impact but that it varied with branch characteristics, and, in particular, branches with more experienced managers were better able to respond to the new incentives

Incentives and managerial experience in multi-taskteams: evidence from within a firm

This paper exploits a quasi-experimental setting to estimate the impact thata multi-dimensional group incentive scheme had on branch performance in a largedistribution firm. The scheme, which is based on the Balanced Scorecard, wasimplemented in all branches in one division, but not in another. Branches from thesecond division are used as a control group. Our results suggest that the balancedscorecard had some impact, but that it varied with branch characteristics, and inparticular, branches with more experienced managers were better able to respond tothe new incentives. This paper exploits a quasi-experimental setting to estimate the impact thata multi-dimensional group incentive scheme had on branch performance in a largedistribution firm. The scheme, which is based on the Balanced Scorecard, wasimplemented in all branches in one division, but not in another. Branches from thesecond division are used as a control group. Our results suggest that the balancedscorecard had some impact, but that it varied with branch characteristics, and inparticular, branches with more experienced managers were better able to respond tothe new incentives

Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics

This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics models for two currencies, DEM and JPY. Although the GARCH/RiskMetrics models appear to have a inconsistent marginal edge over the genetic program using the mean-squared-error (MSE) and R2 criteria, the genetic program consistently produces lower mean absolute forecast errors (MAE) at all horizons and for both currencies.Foreign exchange rates ; Forecasting ; Programming (Mathematics)

Technical analysis in the foreign exchange market

This article introduces the subject of technical analysis in the foreign exchange market, with emphasis on its importance for questions of market efficiency. Technicians view their craft, the study of price patterns, as exploiting traders’ psychological regularities. The literature on technical analysis has established that simple technical trading rules on dollar exchange rates provided 15 years of positive, risk-adjusted returns during the 1970s and 80s before those returns were extinguished. More recently, more complex and less studied rules have produced more modest returns for a similar length of time. Conventional explanations that rely on risk adjustment and/or central bank intervention are not plausible justifications for the observed excess returns from following simple technical trading rules. Psychological biases, however, could contribute to the profitability of these rules. We view the observed pattern of excess returns to technical trading rules as being consistent with an adaptive markets view of the world.Foreign exchange rates

Lessons from the evolution of foreign exchange trading strategies

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and emerging markets, the carry trade, and U.S. equities. The results show that forex trading alone dramatically outperforms the S&P 500 but there is little gain to coordinating forex and equity strategies, which explains why practitioners consider these tools separately. In addition, a backtesting procedure to choose optimal portfolios does not select carry trade strategies until well into the 1990s, which helps to explain the relatively recent surge in interest in this strategy. Forex trading returns dip significantly in the 1990s but recover by the end of the decade and have greatly outperformed an equity position since 1998. Overall, trading rule returns still exist in forex markets—with substantial stability in the types of rules—though they have migrated to emerging markets to a considerable degree.Foreign exchange ; Trade

Central bank intervention with limited arbitrage

Shleifer and Vishny (1997) pointed out some of the practical and theoretical problems associated with assuming that rational risk-arbitrage would quickly drive asset prices back to long-run equilibrium. In particular, they showed that the possibility that asset price disequilibrium would worsen, before being corrected, tends to limit rational speculators. Uniquely, Shleifer and Vishny (1997) showed that “performance-based asset management” would tend to reduce risk-arbitrage when it is needed most, when asset prices are furthest from equilibrium. We analyze a generalized Shleifer and Vishny (1997) model for central bank intervention. We show that increasing availability of arbitrage capital has a pronounced effect on the dynamic intervention strategy of the central bank. Intervention is reduced during periods of moderate misalignment and amplified at times of extreme misalignment. This pattern is consistent with empirical observation.

Mesoscopic dynamical differences from quantum state preparation in a Bose-Hubbard trimer

Conventional wisdom is that quantum effects will tend to disappear as the number of quanta in a system increases, and the evolution of a system will become closer to that described by mean field classical equations. In this letter we combine newly developed experimental techniques to propose and analyse an experiment using a Bose-Hubbard trimer where the opposite is the case. We find that differences in the preparation of a centrally evacuated trimer can lead to readily observable differences in the subsequent dynamics which increase with system size. Importantly, these differences can be detected by the simple measurements of atomic number.Comment: 5 pages, 4 figures, theor

Intraday technical trading in the foreign exchange market

This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. Thus, our results are consistent with market efficiency. We do, however, find that the trading rules discover some remarkably stable patterns in the data.Foreign exchange

Reducing numerical diffusion for incompressible flow calculations

A number of approaches for improving the accuracy of incompressible, steady-state flow calculations are examined. Two improved differencing schemes, Quadratic Upstream Interpolation for Convective Kinematics (QUICK) and Skew-Upwind Differencing (SUD), are applied to the convective terms in the Navier-Stokes equations and compared with results obtained using hybrid differencing. In a number of test calculations, it is illustrated that no single scheme exhibits superior performance for all flow situations. However, both SUD and QUICK are shown to be generally more accurate than hybrid differencing

Upstream Influence of a Porous Screen on the Flow Field of a Free Jet

This paper investigates the upstream influence of a range of transverse porous screen geometries on the flow fields of free jets. Infrared thermography was used to map the vertical distribution of temperature in a horizontal heated jet and measure the upstream influence of the screen. Two-dimensional CFD simulations of the flow fields of jets passing through a transverse porous screen, modelled as an array of cylindrical filaments, were also performed for a range of flow speeds (ReD = 6847 to 54779) and screen porosities (! = 0.5 to 1). Reasonable agreement in flow behaviour was obtained using the two methodologies, both of which identified a spreading of the jet flow at the plane of the screen which was primarily dependent on the screen porosity and to a lesser degree the flow Reynolds number. The numerical simulations for these flow conditions predicted that, for a screen placed at x/D = 2, the increase in the full-width half-maximum of the jet velocity profile in the plane of the screen was less than 5% for porosities above 0.85 but increased an order of magnitude when the screen porosity was reduced to 0.5