Business Commons^™

Combinatorial Auctions, Peter Cramton, Yoav Shoham, Richard Steinberg

Peter Cramton

A comprehensive book on combinatorial auctions―auctions in which bidders can bid on packages of items. The book consists of original material intended for researchers, students, and practitioners of auction design. It includes a foreword by Vernon Smith, an introduction to combinatorial auctions, and twenty-three cross-referenced chapters in five parts. Part I covers mechanisms, such as the Vickrey auction and the ascending proxy auction. Part II is on bidding and efficiency issues. Part III examines computational issues and algorithmic considerations, especially the winner determination problem―how to identify the (tentative) winning set of bids that maximizes revenue. Part IV discusses implementation and …

Trading In The Australian Stockmarket Using Artificial Neural Networks, Bruce Vanstone

Bruce Vanstone

This thesis focuses on training and testing neural networks for use within stockmarket trading systems. It creates and follows a well defined methodology for developing and benchmarking trading systems which contain neural networks.

Four neural networks and consequently four trading systems are presented within this thesis. The neural networks are trained using all fundamental or all technical variables, and are trained on different segments of the Australian stockmarket, namely all ordinary shares, and the S&P/ASX200 constituents.

Three of the four trading systems containing neural networks significantly outperform the respective buy-and-hold returns for their segments of the market, demonstrating that neural …

Credit Risk Management: A Survey Of Practices, Ali M. Fatemi, Iraj Fooladi

Ali M Fatemi

Purpose – Proposes to investigate the current practices of credit risk management by the largest US-based financial institutions. Owing to the increasing variety in the types of counterparties and the ever-expanding variety in the forms of obligations, credit risk management has jumped to the forefront of risk management activities carried out by firms in the financial services industry. This study is designed to shed light on the current practices of these firms. Design/methodology/approach – A short questionnaire, containing seven questions, was mailed to each of the top 100 banking firms headquartered in the USA. Findings – It was found that …

Corporate International Diversification: Evidence From Canada, Ali M. Fatemi, Iraj Fooladi

Ali M Fatemi

This paper investigates the impact of corporate international diversification on the shareholders of Canadian firms. The results indicate that, within the context of Canada, multinationals outperform their purely domestic counterparts. Specifically, we find that the shareholders of Canadian multinationals earn significantly higher abnormal returns. This holds true despite the finding that these shareholders are also exposed to a higher degree of systematic risk. Further, these results indicate that both the abnormal returns and the degree of systematic risk are increasing functions of the degree of international involvement.