http://hdl.handle.net/2005/306 2013-05-01T21:49:58Z http://hdl.handle.net/2005/1761 Title: Studies On Some Aspects Of Liquidity Of Stocks : Limit Order Executions In The Indian Stock Market Authors: Chatterjee, Devlina Abstract: We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India. Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity. Subsequently, we study execution of limit orders in the NSE from three angles. First we consider order execution probability, using 106 stock-specific logistic models. Important predictors of order execution probability are price premium followed by volatility, relative activity, bid ask spread and order imbalance. Some differences are noted when comparing companies of different sizes and between buy and sell orders. Second, we study order execution times using survival analysis. Several diagnostic tests indicate that parametric Accelerated Failure Time models using the log-logistic distribution for the survival time S(t) are suitable for current data. 100 stock-specific models are built; results are consistent with the logistic models. Additionally depth is also found to be important. Finally we build 4 combined models across stocks for both execution probabilities as well as times. These models perform well on out of sample data, suggesting their predictive utility. 2012-06-25T18:30:00Z http://hdl.handle.net/2005/1762 Title: Modeling And Evaluation Of Operational Performance Of An Aeroengine Authors: Samuel, Mathews P Abstract: This thesis explores methodologies of modeling and evaluating the operational performance of a typical aeroengine having field experience over two decades. Upon failure, the engine is repaired and restored to flight worthy condition and hence comes under the purview of repairable systems. Operational performance of the engine is being measured in terms of five functions of time, namely, M(t), which is the expected number of system failures in the time interval [0,t]; system failure rate m(t), which is an unconditional quantity and is simply the derivative of M(t); ρ(t), the conditional failure intensity given the history of a system Ht, which is nothing but limdt→1 Prob(System fails in [t,t + dt] |Ht); and M′(t) and m′(t), which are 0 dt conditional entities analogous to M(t) and m(t) defined in the same spirit as that of ρ(t), the details of which are given in the third chapter of the thesis. These functions are being estimated using field failure-repair data of 418 aeroengines, where the observations on time between failures are being measured in number of flying hours logged in between failures, and the corresponding repair duration is being measured in number of calendar days. To start with, using the superimposed renewal process model the above quantities M(t), m(t), m′(t), M′(t) and ρ(t) are estimated both in the frequentist as well as the Bayesian framework. Subsequently repair times have been incorporated into the model and analysed using both frequentist and Bayesian approaches. Next, the model of Lawless and Thiagarajah (1996) which incorporates both renewal and time trend, has been generalized to include repair time as well, and a comprehensive methodology of Bayesian model selection under this model has been developed. After introducing the research problem in the first chapter, the engineering system description leading to the identification of the failure modes, repair practice and the variables of interest is taken up in the following chapter at the outset, as a pre-requisite to the stochastic modeling and the statistical analysis that to follow in the remainder of the thesis. As the first stochastic model, the number of system failures in a given time interval is modeled as a superimposed renewal process with the constituent independent renewal processes running in different component sockets having Weibull inter failure times. This model is first empirically validated using the field failure data and then using this model, the five quantities of interest as mentioned above viz. M(t), m(t), ρ(t), M′(t) and m′(t) are analysed from a frequentist maximum likelihood perspective. A Bayesian analysis of the same follows in the subsequent chapter. Next, the repair effect is incorporated into the superimposed renewal process model by considering the Weibull parameters of inter failure times of the constituent renewal processes running in independent component sockets as a polynomial in the last repair time. The nature of this polynomial relationships are empirically deter-mined and the Weibull assumption is validated through a test of hypothesis. Different polynomial relationships lead to consideration of several models, with the correct ones chosen through a series of likelihood ratio tests. Next based on the appropriate models a maximum likelihood analysis of M(t), ρ(t) and M′(t) has been carried out. Like the simple superimposed renewal process model, Bayesian analysis of this model incorporating repair times is carried out in the following chapter. In the Bayesian setup however, the problem of model selection could be kept unrestricted to non-nested models as well (unlike the previous chapter, where only nested models could be considered), and a comprehensive model selection exercise has been carried out with the aid of intrinsic Bayes factors and training data sets. The last but one chapter presents a generalised model of Lawless and Thiagarajah (1996) for performance evaluation of aeroengines that incorporate renewals, time trends and the repair characteristics. Here also since the primary problem is one of model selection, the entire analysis like in the preceding chapter has been carried out under the Bayesian frame-work. The final chapter concludes the thesis by comparing the empirical results obtained in the previous five chapters, summarising the main contributions of the thesis and providing directions for future research. 2012-06-25T18:30:00Z http://hdl.handle.net/2005/1466 Title: Social Capital And Its Impact On New Venture Performance Authors: Sharada, B Abstract: Entrepreneurship is the process of transforming an idea into a tangible product or service that can be traded. High-growth entrepreneurial firms contribute a disproportionate share of all new jobs created by new firms. Past research has shown that a significant percentage of the population in a society is employed in entrepreneurial firms and small businesses. Entrepreneurship drives economic growth by stimulating innovation, by commercializing new technologies, by intensifying competition and by generating employment. Typically seven out of ten new employer firms last at least two years, and about half survive five years. One critical area of study is investigating the factors that contribute to the success of a new venture. Social capital and social networks are two such important determinants of entrepreneurial success. Social Capital is the sum of the actual and potential resources embedded within, available through, and derived from the network of relationships possessed by an individual or social unit (Nahapiet and Ghoshal,1998).This study investigates the relationship between the social capital of the firm , its key founders and new venture performance. The independent variables are Social Capital of the firm with its associates, Social Capital of the firm with its customers, Social Capital of the founder in entrepreneurial networks, Social Capital of the founder with his/her alumni networks and Social Capital of the founder with his/her ex-colleagues. These relationships are studied under the framework of ties, trust, obligation and expectations, identification, shared language and shared values. New Venture Performance has been measured using both perceptual measures and financial measures. The perceptual measures used are Employee and Customer Retention & Founders Satisfaction with the venture’s performance. The financial measure used is Revenue normalized by the age of the firm. Data was collected through a questionnaire survey and administered to key founders of 28 software startups in Bangalore. The age of these startups ranged from 1 to 6 years. The results of correlation analysis, T-tests and Mann Whitney tests revealed that only Social Capital of the firm with its business associates and Social Capital of the founder with his/her ex-colleagues are significantly correlated with the new venture performance measured as Employee and Customer Retention. Any network is as good as the people belonging to it. Social networks will be significantly beneficial for entrepreneurial success to the extent of the ability and the willingness of the members in the network to help each other. 2011-10-09T18:30:00Z http://hdl.handle.net/2005/945 Title: Modeling Private Information In Bilateral Relationships For Revenue Management Authors: Vanamalla, Sri V Abstract: This thesis addresses two issues which arise in the context of airline revenue management. In the first part of the thesis, we develop an incentive mechanism to prevent revenue leakage caused by customers buying down. In the second part of the thesis, we discuss the revenue sharing problem between alliance partners and develop a mechanism by which the combined revenue can be distributed fairly among them. Situations which give rise to impossibility and possibility results are established. The practice of revenue management, employs the principle of differential pricing of a product based on various product restrictions. These product restrictions segment the market in such a manner so as to maximize the revenue. Airline industry which pioneered the practice of revenue management generally prices low for those who book early and high for those who book late for essentially the same seat. The low-fare products are targeted towards the market segment comprising of those customers who have a low valuation (reservation price) for the product (who are typically leisure customers, also called as low-fare customers).The high-fare product, on the other hand is targeted at the market segment comprising of customers who have a high valuation (reservation price) for the product (business class customers, also called as high-fare customers). However, it may happen that customers with high valuation for the product may also buy the low-fare product if it is available. This behavior of high-fare customers buying a low-fare product due to its availability is called the customer buy-down behavior. Such a customer behavior causes revenue leakage to the airline industry. Revenue management literature that primarily focuses on pricing and seat inventory control does not account for the customer buy-down behavior. In Part I of the thesis we address this issue of customer buy-down behavior. We develop an incentive mechanism in the form of a new product bundle which would attract only the high-fare customer. High fare customers such as business class customers typically have repeated travel plans, while low fare customers such as leisure travelers typically do not travel repeatedly. The proposed incentive mechanism takes advantage of this characteristic of high fare customers that distinguishes them from the low fare customers. In general, high fare product permits cancellation and does not impose any travel restrictions, and a low fare product, on the other hand does not permit cancellation and has other travel restrictions associated with them. A high fare customer with potential future travel plan might associate uncertainties with respect to travel dates and his ability to procure a low fare ticket for future travel. This uncertainty is exploited in the proposed product bundle. The new product bundle permits the customer to cancel the ticket for the future journey and relaxes the restrictions associated with the requested day and the future travel day. Such incentives would attract only the high fare customer and the low-fare customer will not be enticed by this product bundle. This is because the low fare customer is a one-off traveler. Thus, the acceptance of the product bundle by the customer reveals that he is a high-fare customer and its denial reveals that he is truly a low-fare customer. We determine the optimal price to be charged for each of the days (requested day and the future travel day) and the refund value for the future travel day. We find that multiple optimal solutions exist, and its existence indicate a win-win situation for both the customer and the seller. The customer benefits through the incentives offered and the seller benefits in the form of additional revenue that is achieved in the process of preventing revenue leakage. In Part II of the thesis, we discuss the revenue sharing problem between alliance partners of a network. Airlines form alliances and coordinate through activities such as code sharing, scheduling of flight arrival and departure times, arrival and departure gates, frequent flyer programs, airport lounges and ground facilities among several others. Code sharing is a key feature among the coordinated activities of alliance partners. Parallel code sharing refers to code sharing between carriers operating on the same route to increase frequency of services and to strengthen market position. Complementary code sharing refers to carriers using each other’s flights to provide connecting services, where they do not offer a full service on their own. The main objective of the complementary code share flights is to increase scope of the partner’s network, allowing them to supply service on markets where they did not operate before. When complementary code shared flights aim at maximizing their combined revenue, it might lead to inequitable distribution of revenue and may cause an alliance partner to lose revenue. In Part II of the thesis, we address this issue of achieving a fair division of the combined revenue generated by the alliance network. The common assumption in revenue sharing methods that are generally practiced is that airline’s valuation of seats in the alliance network is common knowledge. However, in reality it is not true. We therefore consider the valuations of the carriers of their respective products as private information and the price of the product over the entire network to be common knowledge. Under such an information environment, we formulate the problem in the bargaining framework. We discuss the implementation of two solution concepts; namely the Shapley value and the Core of a cooperative game. For the two person cooperative game, the Shapley value equally distributes the surplus among the two parties, while the core allocations of two person cooperative game consists of all possible proportions of the distribution of the surplus. In a bargaining set up, the parties communicate their valuations through sealed bids and agree upon a transfer rule. We analyze two situations. In the first situation we assume that the two parties do not associate any cost towards failure to arrive at an agreement. We determine the optimal bids for the two parties and prove that these optimal bids do not implement any desired point on the core i.e., desired proportion of the distribution of the surplus (which includes the Shapley value).This impossibility result motived the analysis of the second situation, in which we assume that the two parties associate costs towards failure to arrive at an agreement. We once again determine the optimal bids and prove that for a certain structure of the bargaining costs, any desired point on the core, including the Shapley value can be implemented by enticing the players to reveal their true valuations. 2010-11-30T18:30:00Z