Market area of intermodal rail-road container terminals embedded in a hub-and-spoke network

Conference (2009)

This paper presents a methodology able to compare road and rail-road intermodal market areas that takes the network structures, the operation costs and the location of the rail-road terminals into account ... [more ▼]

This paper presents a methodology able to compare road and rail-road intermodal market areas that takes the network structures, the operation costs and the location of the rail-road terminals into account.Aparticular way to model rail-road transport on hub-and-spoke networks is outlined and illustrated on the trans-European networks. The market area of an optimal eight hubs network configuration is presented both for the p-hub median and the p-hub centre problem. This is followed by a discussion about the evolution of the market area according to the number and locations of the implemented hubs. [less ▲]

Market dynamics driven by the decision-making power producers

in Proceedings of 2004 IREP Symposium - Bulk Power System Dynamics and Control - VI (2004)

In this paper we consider a tool for analyzing the market outcomes when competitive agents (power producers) interact through the market place. The market clearing mechanism is based on the locational ... [more ▼]

In this paper we consider a tool for analyzing the market outcomes when competitive agents (power producers) interact through the market place. The market clearing mechanism is based on the locational marginal price scheme. A model of the strategic behavior is formulated for the agents. Each agent chooses its bid in order to maximize its profit by assuming that the other agents will post the same bid as at the previous session of the market, and by knowing the network characteristics. The income of each agent over a certain temporal horizon for different power system configurations (the addition of new transmission capabilities, new power plants) is evaluated according to this market dynamics and by integrating this dynamics over the chosen temporal horizon. The mathematical formulation, for the sake of simplicity, is related to a two node power system. In the simulations, the influence of different conditions (line transfer capacity, the number and size of generators, the presence of portfolio) on market outcomes is analyzed, and interesting and sometimes counterintuitive results are found. [less ▲]

Market index specification and estimation of risk on the Brussels Stock Exchange

in Recherches Economiques de Louvain (1992), 58(1), 85-107

Cet article démontre que le degré d'autocorrélation dans les rendements des indices de marché de la Bourse de Bruxelles dépend du nombre de titres qui interviennent dans le calcul de ces indices ainsi que ... [more ▼]

Cet article démontre que le degré d'autocorrélation dans les rendements des indices de marché de la Bourse de Bruxelles dépend du nombre de titres qui interviennent dans le calcul de ces indices ainsi que du délai d'ajustement du prix de ces titres à toute nouvelle information. Il examine également la relation entre la valeur du risque systématique, le choix d'un indice de marché et la longueur de l'intervalle utilisé pour calculer les rendements. De plus, les résultats obtenus révèlent l'existence de fluctuations saisonnières dans les coefficients d'autocorrélation et la valeur des coefficients betas. [less ▲]

Market Maker

in Wankel, Charles (Ed.) Encyclopedia of Business in Today's World (2008)

Market potential, productivity and foreign direct investment: some evidence from three case studies

in European Planning Studies (2010), 18(2), 147-168

This paper aims at analysing the importance of local determinants to foreign direct investment (FDI) in three European regional case studies. The originality of the approach lies in the use of ... [more ▼]

This paper aims at analysing the importance of local determinants to foreign direct investment (FDI) in three European regional case studies. The originality of the approach lies in the use of disaggregated data by sector and by region. The results are threefold. First, regional demand and productivity are fundamental FDI determinants, confirming most studies with national data. Second, regional FDI inflows are more dependent on regional than national determinants. Finally, the effect of market potential measured with absolute GDP on regional FDI diminishes linearly with distance and does not when measured with GDP per capita. [less ▲]

The Market Timing Skills of Hedge Funds during the Financial Crisis

Conference (2011, March 22)

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The ... [more ▼]

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Findings -- Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify "positive", "mixed" and "negative" market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. Research limitations/implications -- The adjustment for market timing opens up the way to numerous tests over longer periods, and in particular comparative studies of hedge fund returns using nonlinear risk factors versus exposures to quadratic returns. Originality/value -- The paper suggests that the convexity in returns that is generally associated with market timing can be attributed to three sources: timing skills, exposure to nonlinear risk factors, or liquidity pressures. We manage to identify the impact of the latter two effects in the context of hedge funds. [less ▲]

The Market Timing Skills of Hedge Funds during the Financial Crisis

in Gregoriou, Greg.N. (Ed.) Managerial Finance (2011)

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio ... [more ▼]

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify “positive”, “mixed” and “negative” market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. [less ▲]

Marketing antecedents of industrial brand equity: An empirical investigation in specialty chemicals

in Industrial Marketing Management (2005), 34(8), 841-847

Marketing-Expert: Logiciels d'Aide à la Décision

Book published by McGraw-Hill (1985)

Marocains de Belgique : du travailleur immigré au citoyen transnational

in Hommes & Migrations (2003), 1242(Mars-Avril), 94-106