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New estimation approaches for graphical models with elastic-net penalty
Abstract In the context of undirected Gaussian graphical models, we introduce three estimators based on elastic-net penalty for the underlying dependence graph. Our goal is to estimate the sparse precision matrix, from which to retrieve both the underlying conditional dependence graph and the partial correlation graph. The first estimator is derived from the direct penalization of the precision matrix in the likelihood function, while the second from using conditional penalized regressions to estimate the precision matrix. Finally, the third estimator relies on a 2-stages procedure that estimates the edge set first and then the precision matrix elements. Through simulations we investigate the performances of the proposed methods on a large set of well-known network structures. Empirical results show that the 2-stages procedure outperforms all other estimators both w.r.t. estimating the sparsity pattern in the graph and the edges’ weights.
Real time identification of high frequency trading
Uncertainty in Individual Exploration and Exploitation: an experimental study
The literature on exploration and exploitation initially grew within the boundaries of the organizational learning research (Levinthal and March, 1981; Levitt and March, 1988; March, 1991; Levinthal and March, 1993) as it was with James March’s first contribution (1991). More recently, prominent scholars started a new research stream that is more concerned with individual exploration and exploitation decision-making (Gupta et al., 2006; Cohen et al., 2007; Mom et al., 2007,2015). However, this growing body of literature appears to have neglected the role of uncertainty and its sources in investigating individual decisions to explore or exploit knowledge. This study aims to fill this gap by proposing: a more inclusive theoretical framework based on individual routinization (Laureiro-Martinez, 2014; Oehler, 2019) and genuine uncertainty (Heiner, 1983) to define individual uncertainty, and literature about uncertainty in psychology (Howell and Burnett, 1978; Kahneman and Tversky, 1982) and strategic decision-making (Jauch and Kraft, 1986) to define external uncertainty; an innovative laboratory experimental design based on real-effort tasks (Brüggen and Strobel, 2007) to measure exploration and exploitation decisions. The laboratory experiment is divided in two phases. A training phase, during which participants develop individual routines, and an active phase, where they can whether exploit the routines or explore unknown alternatives. Exploration is incentivized. Our findings show that positive short-term feedbacks, complexity of the initial routine, and being exposed to external uncertainty foster exploitation, whereas unfulfilled aspirations and high cumulative performance make subjects to engage in exploration of alternatives.
Directive 2014/95/EU: Building a Research Agenda
Purpose: This paper discusses the current state of research into Directive 2014/95/EU and nonfinancial disclosure, with the aim of offering a future research agenda. Design/methodology/approach: The authors have conducted a systematic literature review of 78 studies spanning seven years (2014 to 2020) that address Directive 2014/95/EU. Findings: The literature review revealed four main avenues for future research. First, future studies could focus on addressing issues related to the EU directive’s potential impacts, both in terms of nonfinancial disclosure and companies’ financial performance. Second, because context plays an important role in defining the regulation’s impact, future research should consider these contextual factors in non-financial disclosure. Third, further research should investigate the interplay between the binding requirements of the Directive and the non-binding guidelines suggested to implement it. Finally, future research would do well to employ additional theoretical approaches in order to interpret the Directive’s diverse effects for various countries, organisations, and timelines. Originality: To date, many studies have focused on specific issues regarding the EU Directive. This paper, however, presents the first systematic literature review considering the current state of research into the EU Directive, thus drawing a future research agenda. Practical implications: Focusing on the Directive's implementation across countries and organisations with a longitudinal approach, this paper could indicate whether or not mandatory reporting enhances non-financial information disclosure, and consequently, organisational actions. This work could inform both companies’ and policy-makers’ approach to disclosure, whether mandatory or otherwise.