We introduce a new relaxation framework for nonconvex quadratically constrained quadratic programs (QCQPs). In contrast to existing relaxations based on semidefinite programming (SDP), our relaxations incorporate features of both SDP and second order cone programming (SOCP) and, as a result,...

Using 550 million limit orders submitted in the Korea Stock Exchange, we estimate demand and supply elasticities of heterogeneous investor types and their changes around the Asian financial crisis. We find that domestic individuals have substantially more inelastic demand and supply curves than...

Using U.S. firm-level data from 1971 to 2000, this paper quantifies the importance of production input reallocation in explaining the information technology (IT) driven productivity growth. We find that cross-industry variation in input reallocation explains more than 30% of differences in the...

This paper examines the key characteristics of Singapore's exchange rate-centered monetary policy; in particular, its managed float regime which incorporates key features of the basket, band and crawl system popularized by Williamson (1998, 1999). We assess how the flexibility accorded by this...

Using intraday data, this study examines the lead/lag relations of prices and trading activity between the option and stock option markets during the period surrounding quarterly earnings announcements. We are unable to support Stephan and Whaley's (1990) findings that, in general, trading...

Using 550 million limit orders submitted in the Korea Stock Exchange, we estimate demand and supply elasticities of heterogeneous investor types and their changes around the Asian financial crisis. We find that domestic individuals have substantially more inelastic demand and supply curves than...