David Kuo Chuen Lee

The vehicle quota system in Singapore: An assessment☆

This paper reviews the developments since the vehicle quota system was introduced in Singapore in May 1990. We discuss the bidding strategies for the certificates of entitlement (COE) under both the transferable and nontransferable auctions, as well as the equity of the present system and the desirability of transferable COEs. We argue that the COE auction should be made discriminatory and propose an alternative system of COE auction that we feel is both equitable and at the same time politically acceptable. We also survey developments in market competition in the car industry.

Share-price-changes–volume relation on the Singapore equity market

A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using a larger sample.

Moments Analysis in Risk and Performance Measurement

Noting that while hedge funds are well established in the United States and Europe, they have only begun to grow aggressively in Asia, the authors introduce a practical approach to analyzing the risk and performance of Asian hedge funds from the viewpoints of U.S. and Asia-Pacific based equity investors. They focus on the impact of including Asian hedge funds in these portfolios and examine whether the inclusion helps to insulate the overall portfolio when in down markets, capturing the upside and reducing the impact of market volatility during extreme events. They note that their approach alleviates the problems that can arise if hedge fund returns are skewed, leptokurtic, and non-linearly related to the market returns. They conclude that while all funds provided diversification in the sense that they were not perfectly correlated with market index returns, only 32 or 46% of the funds were negatively correlated with the S&P 500 index returns in a down market (defined as the lowest return quartile of the S&P 500). Their results also showed that very few of the funds provided downside protection, upside capture, and low volatility on the down-side. They also found that their results are sensitive to the choice of benchmark and conclude that this makes the methodology suitable for performance and risk measurement relative to existing investments.

An Equitable Structure for Hedge Fund Incentive Fees

There are a variety of problems in fee structures between hedge fund managers and their clients. Examples here illustrate issues such as the free rider problem and the “claw-back” syndrome that can arise in fee contracts. A different “equalization” process that is both equitable and transparent to investors would involve multiportfolios that give any fund a structure similar to that of a partnership organization, and overcomes the current drawbacks in contracts. Application of this structure should improve fund manager and investor compatibility.

Cross-Validation in Semiparametric Models: Some Monte Carlo Results

We present some Monte Carlo results on three semi parametric models, namely, partly linear, error-in-variables, and generalised least squares models. The results favour the use of computational expensive cross-validation criterion for bandwidth selection only when the relative sample size is large.

Distinguishing Posed and Spontaneous Smiles by Facial Dynamics

Smile is one of the key elements in identifying emotions and present state of mind of an individual. In this work, we propose a cluster of approaches to classify posed and spontaneous smiles using deep convolutional neural network (CNN) face features, local phase quantization (LPQ), dense optical flow and histogram of gradient (HOG). Eulerian Video Magnification (EVM) is used for micro-expression smile amplification along with three normalization procedures for distinguishing posed and spontaneous smiles. Although the deep CNN face model is trained with large number of face images, HOG features outperforms this model for overall face smile classification task. Using EVM to amplify micro-expressions did not have a significant impact on classification accuracy, while the normalizing facial features improved classification accuracy. Unlike many manual or semi-automatic methodologies, our approach aims to automatically classify all smiles into either ‘spontaneous’ or ‘posed’ categories, by using support vector machines (SVM). Experimental results on large UvA-NEMO smile database show promising results as compared to other relevant methods.

Inclusive FinTech: Blockchain, Cryptocurrency and ICO

Cryptocurrency market has been growing fast since its emergence in recent years. Moreover, digital finance has forged the convergence of profit motives with social objectives creating a class of large FinTech companies. In addition, the underlying technology innovation may be applied to a wide range of industries, not limited to financial sector. Yet, few researches have been done to study these phenomena. Hence, it is the task of this book to shed light on the introduction and trends in FinTech, blockchain and token sales.