This paper presents a methodology for the design of optimal transport strategies and demonstrates its application to six UK cities. An objective function representing the total welfare of a transport strategy is used to measure the performance of the strategy; the levels of policy instruments in...

In this paper, we conduct an empirical comparison of travel time estimation methods based on single-loop detector data. The methods of concern are the regression method based on an intuitive stochastic model as proposed by Petty et al. in [7], and the conventional method of using an identity...

Over the years, many TMCs have accumulated large loop detector datasets due to the loops' extensive presence in existing infrastructure. However, the information in these data sets often lies dormant partly because of the lack of effective means to summarize and display it. We present a simple...

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular <link rid="b36">Heston-Rouwenhorst (1994)</link> model. We then...

The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Stocks exhibiting the steepest smirks in their traded options underperform stocks with the least pronounced volatility smirks in their options by 10.9% per year on a risk-adjusted basis....

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample till 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process...

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process...

In September 2008, the U.S. Securities and Exchange Commission (SEC) temporarily banned most short sales in nearly 1,000 financial stocks. We examine the ban's effect on market quality, shorting activity, the aggressiveness of short sellers, and stock prices. The ban's effects are concentrated...

This paper investigates the stability of the classical car-following model (for example, Chandler et al., Operations Research, 6, 165-184, 1958; Herman et al., Operations Research, 7, 86-106, 1959; Wilhelm and Schmidt, Transportation Engineering Journal (ASCE) 99, 923-933, 1973). Conditions for local...