We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also studied the influencing factors of the log-return of S&P Energy Sector and S&P Health Care Sector. We found that volatility is significantly affected by both the epidemic and cross-sectional return dispersion, and the coefficients in front of them are all positive, which means that the herding behaviour did not exist and as the cross-sectional return dispersion increases and the epidemic becomes more severe, the volatility of stock returns is also increasing. We also found that the epidemic has a significant negative impact on the return of the energy sector, and finally we provided our suggestions to investors.

Given a finite honest time, we first derive representations of the additive and the multiplicative decomposition of its Azema optional supermartingale in terms of the drawdown and the relative drawdown of some optional supermartingales with continuous running supremum. The multiplicative representation then allows us to give a characterisation of finite honest times using a family of non-negative optional supermartingales with continuous running supremum which converges to zero at infinity. Then we extend the notion of semimartingales of class-($\Sigma$) by allowing for jumps in its finite variation part of the semimartingale decomposition. This allows one to establish the Madan-Roynette-Yor option pricing formula for a larger class of processes, and we apply the extended formula to the construction of finite honest times.

In higher education, gamification offers the prospect of providing a pivotal shift from traditional asynchronous forms of engagement, to developing methods to foster greater levels of synchronous interactivity and partnership between and amongst teaching and learning stakeholders. The small vein of research that focuses on gamification in teaching and learning contexts, has mainly focused on the implementation of pre-determined game elements. This approach reflects a largely asynchronous approach to the development of learning practices in educational settings, thereby limiting stakeholder engagement in their design and adoption. Therefore, we draw on the theory of co-creation to examine the development process of gamification-based learning as a synchronous partnership between and amongst teaching and learning stakeholders. Empirical insights suggest that students gain a greater sense of partnership and inclusivity as part of a synchronous co-creation gamification-based learning development and implementation process.

We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we uncover an uncertainty hub role for the communications, industrials and information technology sectors, while shocks to materials, real estate and utilities do not create strong linkages in the network. Moreover, we find that this ex-ante network of uncertainty is a useful predictor of business cycles, especially when it is based on uncertainty hubs. The industry uncertainty network behaves counter-cyclically in that a tighter network tends to associate with future business cycle contractions.

This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional L\'evy-stable motion. The second approach combines, in the same model of dynamic, an alpha-stable distribution and a dependence structure between price returns. We provide a dynamic estimation method for the two efficiency indicators. This method introduces a free parameter, the discount factor, which we select so as to get the best alpha-stable density forecasts for observed price returns. The application to stock indices during the COVID-19 crisis shows a strong loss of efficiency for US indices. On the opposite, Asian and Australian indices seem less affected and the inefficiency of these markets during the COVID-19 crisis is even questionable.

During the early stages of the Covid-19 pandemic, national and local governments introduced a large number of policies, particularly non-pharmaceutical interventions, to combat the spread of Covid-19. Understanding the effects that these policies had (both on Covid-19 cases and on other outcomes) is particularly challenging though because (i) Covid-19 testing was not widely available, (ii) the availability of tests varied across locations, and (iii) the tests that were available were generally targeted towards individuals meeting certain eligibility criteria. In this paper, we propose a new approach to evaluate the effect of policies early in the pandemic that accommodates limited and nonrandom testing. Our approach results in (generally informative) bounds on the effect of the policy on actual cases and in point identification of the effect of the policy on other outcomes. We apply our approach to study the effect of Tennessee's open-testing policy during the early stage of the pandemic. For this policy, we find suggestive evidence that the policy decreased the number of Covid-19 cases in the state relative to what they would have been if the policy had not been implemented.

Organisations are currently lacking in developing and implementing business systems in meaningful ways to motivate and engage their staff. This is particularly salient as the average employee spends eleven cumulative years of their life at work, however less than one third of the workforce are actually engaged in their duties throughout their career. Such low levels of engagement are particularly prominent with younger employees, referred to as Generation Y (GenY), who are the least engaged of all groups at work. However, they will dedicate around five cumulative years of their life immersed playing video games such as Clash of Clans, whether for social, competitive, extrinsic, or intrinsic motivational factors.

Using behavioural concepts derived from video games, and applying game design elements in business systems to motivate employees in the digital economy, is a concept which has come to be recognised as Business Gamification. Thus, the purpose of this research paper is to further our understanding of game design elements for business, and investigate their properties from design to implementation in gamified systems. Following a two-year ethnographic style study with both a system development, and a communication agency largely staffed with GenY employees, findings suggest properties in game design elements are emergent and temporal in their instantiations.

I show that the Zero Lower Bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I develop a general econometric methodology for the identification and estimation of structural vector autoregressions (SVARs) with an occasionally binding constraint. The method provides a simple way to test the efficacy of unconventional policies, modelled via a `shadow rate'. I apply this method to U.S. monetary policy using a three-equation SVAR model of inflation, unemployment and the federal funds rate. I reject the null hypothesis that unconventional monetary policy has no effect at the ZLB, but find some evidence that it is not as effective as conventional monetary policy.

Financial markets are a source of non-stationary multidimensional time series which has been drawing attention for decades. Each financial instrument has its specific changing over time properties, making their analysis a complex task. Improvement of understanding and development of methods for financial time series analysis is essential for successful operation on financial markets. In this study we propose a volume-based data pre-processing method for making financial time series more suitable for machine learning pipelines. We use a statistical approach for assessing the performance of the method. Namely, we formally state the hypotheses, set up associated classification tasks, compute effect sizes with confidence intervals, and run statistical tests to validate the hypotheses. We additionally assess the trading performance of the proposed method on historical data and compare it to a previously published approach. Our analysis shows that the proposed volume-based method allows successful classification of the financial time series patterns, and also leads to better classification performance than a price action-based method, excelling specifically on more liquid financial instruments. Finally, we propose an approach for obtaining feature interactions directly from tree-based models on example of CatBoost estimator, as well as formally assess the relatedness of the proposed approach and SHAP feature interactions with a positive outcome.

The COVID19 pandemic has forced Indian engineering institutions (EIs) to bring their previous half shut shades completely down. Fetching new admissions to EI campuses during the pandemic has become a now or never situation for EIs. During crisis situations, institutions have struggled to return to the normal track. The pandemic has drastically changed students behavior and family preferences due to mental stress and the emotional life attached to it. Consequently, it becomes a prerequisite, and emergencies need to examine the choice characteristics influencing the selection of EI during the COVID19 pandemic situation.

The purpose of this study is to critically examine institutional influence and pandemic influence due to COVID19 that affects students choice about an engineering institution (EI) and consequently to explore relationships between institutional and pandemic influence. The findings of this quantitative research, conducted through a self-reported survey, have revealed that institutional and pandemic influence have governed EI choice under the COVID19 pandemic. Second, pandemic influence is positively affected by institutional influence. The study demonstrated that EIs will have to reposition themselves to normalize pandemic influence by tuning institutional characteristics that regulate situational influence and new enrollments. It can be yardstick for policy makers to attract new enrollments under pandemic situations.

We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of leverage targeting banks, which rebalance their portfolios in response to asset shocks. We characterize market inefficiency in terms of two key drivers, the banks' systemic significance and the statistical moments of asset shocks, and develop an explicit expression for the matrix of asset holdings which minimizes such inefficiency. Our analysis shows that to reduce inefficiencies, portfolio holdings should deviate more from a full diversification strategy if there is little heterogeneity in banks' systemic significance.

We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect all past crises in the French industrial stock market starting with the crash of 1929, including financial crises after 1990 (e.g. dot-com bubble burst of 2000, stock market downturn of 2002), and all past crashes in the cryptocurrency market, namely in 2018, and also in 2020 due to covid-19. We leverage copulae clustering, based on the distance between probability distributions, in order to validate the reliability of the framework; we show that clusters contain copulae from similar market states such as normal states, or crises. Moreover, we propose a novel regression model that can detect successfully all past events using less than 10% of the information that the previous framework requires. We train our model by historical data on the industry assets, and we are able to detect all past shock events in the cryptocurrency market. Our tools provide the essential components of our software framework that offers fast and reliable detection, or even prediction, of shock events in stock and cryptocurrency markets of hundreds of assets.

Aircraft manufacturing relies on pre-order bookings. The configuration of the to be assembled aircraft is fixed by the design assisted market surveys. The sensitivity of the supply chain to the market conditions, makes, the relationship between the product (aircraft) and the associated service (aviation), precarious. Traditional model to mitigate this risk to profitability rely on increasing the scales of operations. However, the emergence of new standards of air quality monitoring and insistence on the implementation, demands additional corrective measures. In the quest for a solution, this research commentary establishes a link, between the airport taxes and the nature of the transporting unit. It warns, that merely, increasing the number of mid haulage range aircrafts (MHA) in the fleet, may not be enough, to overcome this challenge. In a two-pronged approach, the communication proposes, the use of mostly electric assisted air planes, and small sized airports as the key to solving this complex problem. As a side-note the appropriateness of South Asian region, as a test-bed for MEAP based aircrafts is also investigated. The success of this the idea can be potentially extended, to any other aviation friendly region of the world.

In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process. To this end, we first calculate the characteristic function of the transition law of such processes in closed form. This result is instrumental for the derivation of non-arbitrage conditions such that the spot dynamics is consistent with the forward curve. Moreover, based on the results of Cufaro Petroni and Sabino (2020), we also conceive efficient algorithms for the exact simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the context of the pricing different contracts namely, strips of daily call options, Asian options with European style and swing options. Finally, we present an extension to future markets.

We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time optimal strategies in portfolio optimization problems depend crucially on the drift. We approach this problem by setting up a worst-case optimization problem with a time-dependent uncertainty set for the drift. Investors assume that the worst possible drift process with values in the uncertainty set will occur. This leads to local optimization problems, and the resulting optimal strategy needs to be updated continuously in time. We prove a minimax theorem for the local optimization problems and derive the optimal strategy. Further, we show how an ellipsoidal uncertainty set can be defined based on filtering techniques and demonstrate that investors need to choose a robust strategy to be able to profit from additional information.

Difference-in-differences estimation is a widely used method of program evaluation. When treatment is implemented in different places at different times, researchers often use two-way fixed effects to control for location-specific and period-specific shocks. Such estimates can be severely biased when treatment effects change over time within treated units. I review the sources of this bias and propose several simple diagnostics for assessing its likely severity. I illustrate these tools through a case study of free primary education in Sub-Saharan Africa.

As an integral part of the Decentralized Finance (DeFi) ecosystem, Automated Market Maker (AMM) based Decentralized Exchanges (DEXs) have gained massive traction with the revived interest in blockchain and distributed ledger technology in general. Most prominently, the top six AMMs -- Uniswap, Balancer, Curve, Dodo, Bancor and Sushiswap -- hold in aggregate 15 billion USD worth of crypto-assets as of March 2021. Instead of matching the buy and sell sides, AMMs employ a peer-to-pool method and determine asset price algorithmically through a so-called conservation function. Compared to centralized exchanges, AMMs exhibit the apparent advantage of decentralization, automation and continuous liquidity. Nonetheless, AMMs typically feature drawbacks such as high slippage for traders and divergence loss for liquidity providers. In this work, we establish a general AMM framework describing the economics and formalizing the system's state-space representation. We employ our framework to systematically compare the mechanics of the top AMM protocols, deriving their slippage and divergence loss functions.

This brief technical note introduces PRZI (Parameterised-Response Zero Intelligence), a new form of zero-intelligence trader intended for use in simulation studies of auction markets. Like Gode & Sunder's classic Zero-Intelligence Constrained (ZIC) trader, PRZI generates quote-prices from a random distribution over some specified domain of discretely-valued allowable quote-prices. Unlike ZIC, which uses a uniform distribution to generate prices, the probability distribution in a PRZI trader is parameterised in such a way that its probability mass function (PMF) is determined by a real-valued control variable s in the range [-1.0, +1.0] that determines the strategy for that trader. When s is zero, a PRZI trader behaves identically to the ZIC strategy, with a flat/rectangular PMF; but when s is close to plus or minus one the PRZI trader's PMF becomes asymptotically maximally skewed to one extreme or the other of the price-range, thereby enabling the PRZI trader to act in the same way as the "Shaver" strategy (SHVR) or the "Giveaway" strategy (GVWY), both of which have recently been demonstrated to be surprisingly dominant over more sophisticated, and supposedly more profitable, trader-strategies that incorporate adaptive mechanisms and machine learning. Depending on the value of s, a PRZI trader will behave either as a ZIC, or as a SHVR, or as a GVWY, or as some hybrid strategy part-way between two of these three previously-reported strategies. The novel smoothly-varying strategy in PRZI has value in giving trader-agents plausibly useful "market impact" responses to imbalances in an auction-market's limit-order-book, and also allows for the study of co-adaptive dynamics in continuous strategy-spaces rather than the discrete spaces that have traditionally been studied in the literature.

Because of the ongoing Covid-19 crisis, supply chain management performance seems to be struggling. The purpose of this paper is to examine a variety of critical factors related to the application of contingency theory to determine its feasibility in preventing future supply chain bottlenecks. The study reviewed current online news reports, previous research on contingency theory, as well as strategic and structural contingency theories. This paper also systematically reviewed several global supply chain management and strategic decision-making studies in an effort to promote a new strategy. The findings indicated that the need for mass production of products within the United States, as well as within trading partners, is necessary to prevent additional Covid-19 related supply chain gaps. The paper noted that in many instances, the United States has become dependent on foreign products, where the prevention of future supply chain gaps requires the United States restore its manufacturing prowess.