Information Management and Market Engineering

2010·13.5 MB·English

by  Thomas Dreier

1
Studies on eOrganisation and Market Engineering 1
ThomasDreier/JanKramer/RudiStuder/ChristofWeinhardt(Eds.)
Information Management
and Market Engineering
Vol.
II
^CIT Scientlflc
Publishing
aterial
Copyrightedmaterial
ThomasDreier/Jan Kramer/RudiStuder/ChristofWeinhardt(Eds.)
InformationManagementand MarketEngineering
Vol.II
Copyrightedmaterial
StudiesoneOrganisationand MarketEngineering
KarlsruherInstitutfurTechnologie
Herausgeber:
Prof. Dr.ChristofWeinhardt
Prof.Dr.ThomasDreier
Prof. Dr. RudiStuder
Information Management
and Market Engineering
Vol. II
ThomasDreier
Jan Kramer
Rudi Studer
ChristofWeinhardt
(Eds.)
Scientific
«5KIT
Publishing
Copyrightedmat
Impressum
KarlsruherInstitutfurTechnologie(KIT)
KITScientificPublishing
StraBeamForum2
D-76131 Karlsruhe
www.ksp.kit.edu
KIT-UniversitatdesLandesBaden-Wurttembergundnationales
ForschungszentruminderHelmholtz-Gemeinschaft
DieseVeroffentlichungistimInternetunterfolgenderCreativeCommons-Lizenz
publiziert:http://creativecommons.Org/licenses/by-nc-nd/3.0/de/
KITScientificPublishing2010
PrintonDemand
ISSN1862-8893
ISBN978-3-86644-589-5
Copyrightedmaterial
Preface
AttheKarlsruheInstituteofTechnology(KIT),theGraduateSchoolInformation
Managementand MarketEngineering(IME)whichisfinancedby theGerman
Research Association (DeutscheForschungsgemeinschaft, DFG),offersan inter-
disciplinarydoctoralprogramontheeconomic,technologicalandlegaldesignof
institutions,services,systemsandbusinessmodelsforelectronicmarkets. The
expressed aimoftheGraduateSchoolistoendow itsdoctoralstudentswitha
profoundinterdisciplinaryunderstandingofelectronicmarketsandinformation
managementthatenablesthemtopursueanoutstandingcareerinacademiaas
wellasindustry. SinceitsfoundationinApril2004,sixteengraduateshavevery
successfullycompletedthedoctoralprogramoftheGraduateSchoolandwenton
tobecomeprofessorsthemselvesorholdkeymanagementpositionsintheindustry
today,providingprooffortheGraduateSchool'ssuccessinachievingitsaim.
TheresearchthatisconductedintheGraduateSchoolisdirectlyapplicableto
thelargedomainofelectronicmarketsandinformationmanagementandhasto
steadilykeeppacewithtechnologicalprogress. In2006thefirstvolumeofthis
bookwaspublished,whichassembledanoverviewoftheresearchthatwasand
stillisongoingintheGraduateSchool.Thepresentandsecondvolumeshowsthe
advancementssincethen,butalsopointsatnewresearchfieldsthathaverecently
beenexplored. Altogether,sixteenresearchpapershavebeenselected,refereed
andcompiledforthisvolume. Theycoveralmostallrelevantaspectsofthefield
InformationManagementandMarketEngineeringanddemonstratetheintellectual
challengesinthisdomain.
Inshort,InformationManagementandMarketEngineeringcomprisesthestructured,
systematicandtheoreticallyfoundedprocedureofanalyzing,designing,introducing
and alsoquality assuringofelectronic marketplatformsaswell as theirlegal
frameworkregardingsimultaneouslytheirmarketmechanismsandtradingrules,
systems,platformsandmedia,andtheirbusinessmodels.Thisbookisstructured
infourparts,whichreflectthedifferentlevelsofthisMarketEngineeringprocess.
Electronicmarketsoftengenerateatremendousamountoftransactionaldata
and,ontheotherhand,reactsensitivelytoexogenousinformationalinfluences.In
ordertoanalyzeelectronicmarkets,itisthereforeindispensabletodevelopproper
methodsandtoolswhichfacilitatethe(i)processingandstructuringofthisdata,
Copyrightedmateriai
VI Preface
(ii)extractionoftheinformationcontentofthisdata,and(iii)analysisoftheimpact
ofthisinformationonthemarket.Theresearchpapersinthefirstpartofthisbook
areallconcernedwiththistaskofMarketInformationProcessingandAnalysis.
ThesecondpartcomprisesresearchpapersontheDesignofMarketMechanisms
andSystems. InthiscoretaskoftheMarketEngineeringprocess,newtheoretical
designsareproposed thatarebelievedtoimprovetheperformanceofelectronic
markets. Themarketdesigncaneitherinfluencemarketbehaviordirectly, for
examplethroughappropriateincentivemechanisms, orindirectly,forexample
throughnewmeansofcommunicationorinteraction.
TheinfluenceofdifferenttheoreticaldesignsonactualMarketInteractionand
Behaviorisconsidered inthenextleveloftheMarketEngineeringprocess,and
exemplifiedbytheresearchpapersinthethirdpartofthisvolume. Inparticular
theemotionalprocessesofmarketparticipants,suchasauctionfever,arestillnot
fullyunderstoodtoday.Someoftheresearchpapersinthispartdemonstratehow
theseemotionalprocessescanbemeasuredandevaluatetheirinfluenceonmarket
behavioranddesign.Theotherpapersevaluatetheoreticalmarketdesignsonthe
basisofactuallyobservedmarketbehavior.
Finally, the papers in the fourthpartconsider various aspects of Electronic
MarketRegulation,i.e.theongoingnormativeevaluationofpresentmarketdesigns.
Morespecifically,marketregulationseekstoensurethelongrunfunctioningand
effectivenessofelectronicmarkets. Theregulatoryissuesthatarecoveredinthis
partrangefromtheprotectionofintellectualpropertyrightsandpersonaldatato
thestimulationandfacilitationofinformationsharing.
However,thesedifferentperspectivesonMarketEngineeringandInformation
Managementarenottreatedseparately.Eachlevelofthemarketanalysisisinput
toandoutputoftheMarketEngineeringprocessatthesametime,andthereby
contributestotheperennialeffortofimprovingmarketdesign.
ThisadvancementsinMarketEngineeringandInformationManagement,which
arecompiled in thisbook,haveonlybeenpossiblebecausetheprofessorsand
studentsoftheGraduateSchoolhaveshowedgreateffortandenthusiasmwhile
workingforacommongoal.Indoingso,old-fashionedboundariesbetweendiffer-
entdepartmentsanddisciplineswerebroken-up,makingtheresearchandteaching
program oftheGraduateSchool trulyinterdisciplinary. Whileinterdisciplinary
researchalsobearsmanychallenges,thisbookisampleevidencethatitcanalso
providetheresearcherswithgreatrewards.
Karlsruhe, ThomasDreier
October2010 JanKramer
RudiStutter
ChristofWeinhardt
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Contents
Part1 MarketInformation Processingand Analysis
NewEventDetectioninFinancialNewsAnalysis
UfaLQsch,RudiStttder,andChristofWeinhardt 3
towardsaBenchmarkingFtameworkforFinancialTextMining
CaslavBozic,RyanRiordan,DetlefSeese,ChristofWeinluinlt 21
TheImpactofEconomicNewsonInformationandLiquidityinElectronic
FuturesTrading
AndreasStorkenmaier,RyanRiordan,ChristofWeinhardt,RudiStuder 37
MarketResponsestotheIntroductionofInteractiveData: TheCaseof
XBRL
S.SarahZhang,ChristofWeinlwrdt,RyanRiordan 55
The ImpactoftheYearly EmissionsAnnouncementonCCh Prices: An
EventStudy
SteffenHitzemann,MarlieseUhrix-Homburx,Karl-MartinEhrhart 63
EstimatingEvent-based Exponential RandomGraph Models
ChristophStadtfeld,AndreasGeyer-Schulz,Karl-HeinzWaldmann 79
PartII DesignofMarketMechanismsandSystems
A BonusMechanismtoStimulateReciprocityinthePresenceof
ManipulatedFeedback
Jin$Z/hYue,KlemensBohm,Karl-MartinEhrlmrt 97
RequirementsforFormalizingUsagePoliciesofWebServices
SebastianSpeiser,RudiStuder,ThomasDreier 107
AFeature-basedApplicationInterfaceforFutureNetworks
HelgeBackhaus,MartinaZitterbart 125
VIII Contents
Part111 AnalysisofMarketInteractionand Behavior
InvestigatingAuctionFever
MarcT.P.Adam,fanKramer,ChristofWeinhardt,Karl-MartinEhrhart 141
AnticipatedEmotionsintheReference-DependentValuationofGainsand
Losses
LauraGoebes,Karl-MartinEhrfiart,ChristofWeinhardt 159
ConsumerPerceptionofTime-BasedPricing
LukasWieiviorra,fanKramer,ChristofWeinhardt,Karl-MartinEhrhart 179
TradingDevelopment Rights;ALaboratoryAssessment
JensE.Miiller,StefanSeifert,Karl-MartinEhrhart 191
PartIV LlectronicMarketRegulation
ElectronicMarketsandtheirMechanismsasIntellectualProperty
TimKHlmper,ThomasDreier 211
MunicipalInformation-AmountsofDatabutnoStructure?Anoutline
overLegalAspectsofInformationalTechnologiesWithinPublicEntities
SimoneTraub,IndraSpiecker%en.Difhmann 229
HowDesignPrinciplescanGoverntheKnowledgeCommons: Elinor
OstromandtheCaseofWikipedia
KathrinNoack,ChristofWeinhardt,ThomasDreier 243
Co