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Decomposing informed trading in equity options
No full textWe develop a multi-asset model to decompose informed trading into the components concerning the underlying stock-value and the volatility in equity options. We isolate the stock-value and volatility components by characterizing their distinct intraday price responses in contracts with different option deltas and vegas, respectively. The stock-value (volatility) component represents on average 41 % (19 %) of the option spread, which remains substantial under various statistical validity analyses and robustness checks. In daily empirical applications, we also show that volatility-informed trading anticipates a 'Volmageddon' high-volatility event, and straddle trades are positively associated with volatility-informed trading.(Agencia Nacional de Investigación y Desarrollo, Division of Grants & Agreements, Directorate for Computer & Information Science & Engineering, City University of New York
Does Algorithmic Trading Induce Herding?
No full textABSTRACT Algorithmic trading (AT) plays a major role in the trading activities of developed markets. This research breaks new ground by investigating how AT influences herding behaviour in stock markets. Utilising the implementation of the Markets in Financial Instruments Directive (MiFID II), we show that AT‐induced herding is quantitatively 14 times more pronounced compared to herding triggered by non‐AT elements. Algorithmic traders herd more when international volatility and market uncertainty are high, revealing a heightened sensitivity to global market signals. However, during periods of high local volatility, AT seems to disregard these fluctuations, indicating an ‘inattention effect’. AT‐induced anti‐herding is prominent in the volatile aggressive stocks, while no such behaviour is observed in the more stable defensive stocks. The findings carry critical implications for both regulators and market professionals, as we uncover dual behaviours of AT‐induced herding and anti‐herding in varying market conditions
A different kind of trust: Cross‐cultural evidence of trust through self‐expansion
No full textExtending prior research on cultural differences in interpersonal trust, we propose that the relationship between culture and trust is influenced by self‐expansion relative to the trust target. Across three studies with mixed methodologies, we assessed cultural differences in how the nature of the relationship between individuals shapes self‐expansion and interpersonal trust. In Study 1, building on the framework of cultural logics associated with honor, dignity, and face, our analysis of data from the World Values Survey showed that trust varies across cultures depending on the social relationship between trustor and a trustee ( N = 64,167). In Study 2, we demonstrate that cultures differ in the extent to which they report self‐expansion with targets to which they hold different levels of social relationships and that these differences closely match the trust patterns established in Study 1. Finally, in a pre‐registered experimental study, we tie these findings together by showing that cultural norms predict levels of trust through the amount of self‐expansion people report with the trust target in a Trust game. Our research qualifies previous findings on cultural differences in interpersonal trust, especially in so‐called “low trust societies,” and contributes to our understanding of the role of self‐expansion in trust across cultures
Understanding psoriasis care costs and the impact of comorbidities: a time-driven activity-based costing analysis in an integrated practice unit
No full textOBJECTIVES: The study aims to evaluate the cost of managing psoriasis and its comorbidities across multiple medical departments and to identify cost determinants based on patient, disease and treatment characteristics. Additionally, it compares the cost of care with reimbursements under the fee-for-service (FFS) system to assess how well they reflect patient-specific care needs.
DESIGN: Seven-step, time-driven activity-based costing (TD-ABC) analysis based on direct observations and interviews to generate patient-level cost estimates over the full cycle of care for participants prospectively enrolled in a clinical trial.
SETTING: An integrated practice unit (IPU) at a Belgian University Hospital, centred around the treatment of psoriasis, including the management of associated comorbidities.
PARTICIPANTS: A total of 52 patients meeting the trial's inclusion criteria, enrolled between January 2023 and November 2023, undergoing treatment within the IPU.
RESULTS: The individual cost of care over a 6-month period ranged from €169.78 to €1454.97, highlighting significant variability. Major cost drivers included mental health status and disease severity. Additionally, the presence of one or more comorbidities had a substantial impact on care costs, affecting not only expenses directly related to comorbidity management but often also those associated with dermatological care. Finally, a comparison between the TD-ABC cost variability and reimbursement tariffs variability revealed disparities, indicating that current tariffs do not sufficiently account for patient-specific cost differences.
CONCLUSIONS: Healthcare delivery and costing studies often adopt a fragmented approach, limiting cost insights into the full cycle of care for a medical condition. The TD-ABC methodology can address this gap by generating detailed, patient-level cost estimates for both primary illness management and related comorbidities. Our findings underscore the importance of including comorbidity-related costs when discussing a condition's overall economic burden while also revealing significant cost variability among patients with the same disease. Notably, these variations are not sufficiently addressed by the current FFS reimbursement system.
TRIAL REGISTRATION NUMBER: NCT05480917 (ClinicalTrials.gov).(Flemish Government, LEO Foundation, United States National Library of Medicine
Who I Am Not: Enhancing Self-Clarity through Cultivating Not-Me Identities
No full text(Academic Research Fund (ARF) (ARF)
The organizational change capability of public organizations: Concept and measurement
No full textABSTRACTChange is inherent to public sector management, yet many change initiatives in public organizations fail due to a lack of relevant change capabilities within the organization. This article introduces a measurement scale designed specifically to assess the organizational change capability (OCC) of public organizations. Drawing on a literature search, expert review and empirical validation involving responses from 333 professionals across multiple military organizations in Belgium, this study constructs and tests a reliable and valid scale tailored to the unique operational, regulatory, and political landscapes of public organizations. The scale includes 77 items distributed across 15 identified components, highlighting the multidimensional nature of OCCs. Principal component analysis and reliability testing confirm the scale's robust psychometric properties. The OCC scale presented in this article deepens theoretical understanding of how public organizations manage and implement change and provides a foundation for future research in diverse public organizational contexts
Project monitoring and control with an empirically grounded budget-release model
No full textProject monitoring and control (PMC) is a process of measuring a project’s progress and taking corrective action when necessary to ensure successful project completion. However, most existing models lack empirical validation of their assumptions and effectiveness, which limits their practical use. We fill in this gap by using empirical data from 97 real projects to calibrate activity-duration distributions and assess activity-duration dependencies, integrating these empirical foundations into an enhanced PMC model. We further improve the model by incorporating budget-release timing constraints and introducing two new policies for crashing and fast-tracking based on a project’s specific time and cost characteristics. Extensive computational experiments using empirical and artificial data evaluate the effectiveness of these policies. Because the budget-release policies and corrective action types depend on project characteristics such as activity-duration dependencies and topological network structure, key insights from this study can be usefully applied by project managers as heuristics even without a detailed model of their project.(National Natural Science Foundation of China
Comparing and extending satisfiability solution methods for the resource-constrained project scheduling problem
No full textThis paper solves the resource-constrained project scheduling problem (RCPSP) with a satisfiability problem (SAT) solver. This paper builds further on various existing SAT models for this well-known project scheduling problem and extends them with two methods to satisfy the resource constraints. Specifically, we use the well-known minimal forbidden sets and compare them with the so-called covers that are traditionally used in SAT implementations. Moreover, we also implement an existing binary decision trees approach under various settings and extend the model with networks with adders, so far never used for solving the RCPSP, to guarantee that resource constraints are satisfied. The algorithms are tested under different settings on a set of 13,413 project instances with diverse network and resource structures, and the experiments demonstrate that a combination of these approaches help in finding better solutions within a reasonable time. Moreover, 393 new lower bounds, 62 new upper bounds, and 290 optimally solved instances (including 18 from the PSPLIB) have been discovered, which, to the best of our knowledge, had not been found before. The strong performance of the new algorithm motivated additional experiments, and the preliminary results suggest several promising directions for future research.(Flemish Government, Ghent University
Fifty years of research on resource-constrained project scheduling explored from different perspectives
No full textThe resource-constrained project scheduling problem is one of the most investigated problems in the project scheduling literature, and has a rich history. This article provides a perspective on this challenging scheduling problem, without having the ambition to provide a complete overview. Instead, the article does aim to summarize a number of reasons why this problem has been so intensely investigated from different perspectives. It will be shown that this scheduling problem has many faces, and therefore deserves a lot of research time from a computational and theoretical point of view as well as from a practical point of view. An overview of possible extensions to other problems and a detailed overview of the used (both heuristic and exact) solution methods will be given. In addition, the data used will be discussed and interesting avenues for further research will be mentioned throughout the different sections
Mirror, Mirror in the Field: Reflexivity in Qualitative Research… It’s Not all About You!
No full text“I felt uncomfortable when they [the participant] asked me where I come from, and how I ended up doing research in Europe… I think this curiosity is why they accepted the interview in the first place.” Author’s fieldnote – 202