تحقیق در عملیات استعاره‌ای (MOR) ـ نگاهی نو به استعاره‌های سهام جفتی و ستاره‌های دوتایی

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 استاد، گروه مدیریت صنعتی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران.

2 دانشجوی دکتری، گروه مدیریت صنعتی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران.

3 دانشیار، گروه مدیریت دولتی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران.

4 دانشیار، گروه مدیریت صنعتی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران.

10.22059/imj.2022.333040.1007878

چکیده

هدف: این پژوهش در پی معرفی تحقیق در عملیات استعاره‌ای (MOR) به‌عنوان نگاهی نو در تصمیم‌گیری و ارائه پاسخ به برخی انتقادهای وارد بر تحقیق در عملیات (OR) کلاسیک است. همچنین در این مطالعه، توانایی MOR در توصیف مسائل معاملات جفتی نشان داده می‌شود.
روش: پیش‌فرض اساسی پژوهش حاضر این است که OR کلاسیک همچنان در مرحله بحران قبل از شیفت پارادایمی قرار دارد و هنوز هیچ پارادایم رقیبی موفق نشده است که آن را کنار بزند یا پاسخ کاملی برای انتقادهای مطرح بر آن ارائه دهد. از ‌این ‌رو، پژوهش حاضر در تلاش است تا به‌منظور پاسخ به برخی انتقادهای وارد بر OR کلاسیک، MOR را به‌عنوان مکتب جدید و رقیب معرفی کند. در پژوهش حاضر از رویکرد نوین MOR برای ساختاردهی به مسئله استفاده شده است. این رویکرد به معرفی فرایند بازنمایی مسئله به‌عنوان نقطه بحرانی OR کلاسیک می‌پردازد. همچنین در این مقاله، به‌منظور نشان دادن توانایی MOR، از معاملات جفتی به‌عنوان مورد مطالعه و از ستاره‌های دوتایی به‌عنوان قلمرو منبع استفاده شده است. در این مورد مطالعه، به‌منظور بازتعریف مسائل معاملات جفتی در قالب ستاره‌های دوتایی و نظریه‌پردازی در آن حوزه، از MOR استفاده شده است.
یافته‌ها: یافته‌های پژوهش نشان می‌دهد که شش اصل به‌عنوان نظریه‌های اصلی این تحقیق در حوزه مسائل معاملات جفتی با نگاه به آن از پنجره ستاره‌های دوتایی وجود دارد. این اصول عبارت‌اند از: اصل مرکز ثقل مشترک، اصل سوابق تاریخی، اصل هم‌گرایی واگرایی، اصل تأثیرناپذیری از شرایط بیرونی، خاصیت جفتی ‌بودن و وجود طبقه‌‌های مختلف جفتی ‌بودن.
نتیجه‌گیری: از تحقیق حاضر دو نتیجه کلی به‌دست می‌آید: یک) برقراری ارتباط میان ستاره‌های دوتایی و سهم‌های جفتی از طریق MOR امکان‌پذیر است؛ دو) MOR قادر است برخی از مسائلی را که OR کلاسیک از حل آنها ناتوان است، حل کند.

کلیدواژه‌ها


عنوان مقاله [English]

Metaphorical Operational Research (MOR) – A new insight Metaphors of Paired Shares and Binary Stars

نویسندگان [English]

  • Mohammadreza Mehrgan 1
  • Alireza Dehghan 2
  • Mohammad Abooyee Ardakan 3
  • Mohammad Reza Sadeghi Moghadam 4
1 Prof., Department of Industrial Management , Faculty of Management, University of Tehran, Tehran, Iran.
2 , Ph.D. Candidate, Department of Industrial Management, Faculty of Management, University of Tehran, Tehran, Iran.
3 Associate Prof., Department of Public Administration, Faculty of Management, University of Tehran, Tehran, Iran.
4 Associate Prof., Department of Industrial Management, Faculty of Management, University of Tehran, Tehran, Iran.
چکیده [English]

Objective: This study introduces Metaphorical Operational Research (MOR) as a new insight into decision making and answers to some criticisms of classical Operational Research (OR). It also shows the ability of MOR to describe pairs trading problems.
Methods: The basic assumption of the study is that classic OR is still in the crisis phase before the paradigm shift and no competing paradigm has ever been able to overcome it and provide a complete response to the criticisms. Therefore, in order to respond to some of the criticisms, this study tried to introduce MOR as a new subject in the field of OR. The main focus of this paper was to introduce the problem representation process (as a classic OR critical point) using MOR as a novel approach to problem structuring. Also, in order to show the ability of MOR, this study used pairs trading problems as a case study and binary stars as a source domain. This study used MOR to redefine the pairs trading problems in the form of binary stars and theorize in this field.
Results: The findings of this study show that there are six principles as the main theories of this research in pairs trading problems by looking at it through the window of binary stars. These principles include the principle of the common center of gravity, the principle of historical records, the principle of divergence convergence, the principle of external conditions neutrality, the property of being a pair, and the existence of different classes of pairs.
Conclusion: Two general conclusions can be drawn from the study. First, it is possible to communicate between binary stars and paired shares through MOR. Second, MOR can solve some problems that classical OR cannot address.

کلیدواژه‌ها [English]

  • Metaphorical Operational Research
  • theory-constitutive metaphors
  • binary stars
  • paired shares
  • Pairs Trading
استروو، او.، لیندز، ب.، پیلانز، اچ. (۱۳۶۴). مبانی نجوم (حسین زمردیان و بهروز حاجبی، مترجمان) (چاپ دوم)، تهران: انتشارات دانشگاه تهران.
اسحق‌زاده، نیره (1398). طراحی سیستم تحقیق در عملیات اتوپایتیک. رساله دکتری، تهران: دانشکده مدیریت، دانشگاه تهران.
جونز، چارلز پی. (۱۳۹۲). مدیریت سرمایه‌گذاری. (رضا تهرانی و عسگر نوربخش، مترجمان) (چاپ یازدهم)، تهران: نگاه دانش.
دباغ، حسین (1393). مجاز در حقیقت ورود استعاره‌ها در علم. انتشارات هرمس.
مهرگان، محمدرضا؛ حسین‌زاده، مهناز (۱۳۹۶). مبانی نظری تحقیق در عملیات (چاپ اول)، تهران: نشر کتاب دانشگاهی.
 
References
Ackermann, F. (2011). Getting “Messy” with problems: The challenges of teaching “Soft” OR. INFORMS Transactions on Education, 12(1), 55–64.
Ackermann, F. (2012). Problem structuring methods ‘in the Dock’: Arguing the case for Soft OR. European Journal of Operational Research, 219(3), 652–658.
Ackermann, F., Alexander, J., Stephens, A., & Pincombe, B. (2020). In defence of Soft OR: Reflections on teaching Soft OR. Journal of the Operational Research Society, 71(1), 1-15.
Ackoff, R. L. (1973). Science in the systems age: Beyond IE, OR, and MS. Operations Research, 21(3), 661-671.
Ackoff, R. L. (1977). Optimization+ objectivity= optout. European Journal of Operational Research, 1(1), 1-7.
Ackoff, R. L. (1979). The future of operational research is past. Journal of the operational research society, 30(2), 93-104.
Arendt, H. (1971). Thinking and moral considerations: A lecture. Social Research, 417-446.
Bailer-Jones, D. M. (2000). Scientific models as metaphors. In Metaphor and analogy in the sciences (pp. 181-198). Springer, Dordrecht.
Bailer-Jones, D. M. (2002). Models, metaphors and analogies. The Blackwell guide to the philosophy of science, 114.
Batten, A. H. (2013). Binary and Multiple Systems of Stars: International Series of Monographs in Natural Philosophy (Vol. 51). Elsevier.
Bhushan, N., & Rosenfeld, S. (1995). Metaphorical models in chemistry. Journal of Chemical Education, 72(7), 578.
Boguslavsky, M. and Boguslavskaya, E. (2004) Arbitrage under power. Risk, 17(6), 69–73.
Borck, C. (2011). Models and metaphors in brain research. Critical neuroscience: A handbook of the social and cultural contexts of neuroscience, 113.
Bousquet, A., & Curtis, S. (2011). Beyond models and metaphors: complexity theory, systems thinking and international relations. Cambridge review of international affairs, 24(01), 43-62.
Bowdle, B. F., & Gentner, D. (2005). The career of metaphor. Psychological review, 112(1), 193.
Boyd, R. N. (1993). Metaphor and theory change.
Bradie, M. (1998). Models and metaphors in science: the metaphorical turn. Protosociology, 12, 305-318.
Bradie, M. (1999). Science and metaphor. Biology and Philosophy, 14(2), 159-166.
Cantley, M. (1968). Book review. The Journal of operational research society, 19, 209-210.
Chang, V., Man, X., Xu, Q., & Hsu, C. H. (2021). Pairs trading on different portfolios based on machine learning. Expert Systems, 38(3), e12649.
Chen, H., Chen, S., Chen, Z., & Li, F. (2019). Empirical investigation of an equity pairs trading strategy. Management Science, 65(1), 370-389.
Chen, Y. S., Rungtusanatham, M. J., Goldstein, S. M., & Koerner, A. F. (2013). Theorizing through metaphorical transfer in OM/SCM research: Divorce as a metaphor for strategic buyer–supplier relationship dissolution. Journal of Operations Management, 31(7-8), 579-586.
Chiu, M. C., & Wong, H. Y. (2018). Robust dynamic pairs trading with cointegration. Operations Research Letters, 46(2), 225-232.
Chiu, M.C. and Wong, H.Y. (2015) Dynamic cointegrated pairs trading: mean–variance time-consistent strategies. Journal of Computational and Applied Mathematics, 290, 516–534.
Chu, C. C., & Chan, P. K. (2018, June). Mining Profitable High Frequency Pairs Trading Forex Signal Using Copula and Deep Neural Network. In 2018 19th IEEE/ACIS International Conference on Software Engineering, Artificial Intelligence, Networking and Parallel/Distributed Computing (SNPD) (pp. 312-316). IEEE.
Corbett, C., & Van Wassenhove, L. (1993). Trade-offs? What trade-offs? Competence and competitiveness in manufacturing strategy. California management review, 35(4), 107-122.
Dabbagh, H. (2014). Metaphor in reality, The entry of metaphors in science. Hormos.
(in Persian)
Dando, M. R., & Bennett, P. G. (1981). A Kuhnian crisis in management science? Journal of the Operational Research Society, 32(2), 91-103.
Determann, J. M. (2021). Just astronomy. Error! Hyperlink reference not valid., 5(4), 336-337.
Dickmeyer, N. (1989). Metaphor, model, and theory in education research. Teachers College Record, 91(2), 151-160.
Diputra, A. W., & Yasa, N. N. K. (2021). The Influence of Product Quality, Brand Image, Brand Trust on Customer Satisfaction and Loyalty. American International Journal of Business Management(AIJBM), 4(1), 25-34.
Do, B., Faff, R., & Hamza, K. (2006, May). A new approach to modeling and estimation for pairs trading. In Proceedings of 2006 financial management association European conference (Vol. 1, pp. 87-99).
Duit, R. (1991). On the role of analogies and metaphors in learning science. Science education, 75(6), 649-672.
Edwards, K. J., & Gaber, M. M. (2014). Astronomy and big data. Studies in Big Data. Springer.
Ehrman, D. S. (2006). The handbook of pairs trading: strategies using equities, options, and futures (Vol. 240). John Wiley & Sons.
Elliott, R.J., Van Der Hoek, J. and Malcolm, W.P. (2005). Pairs trading. Quantitative Finance, 5(3), 271–276.
Franco, L. A. (2013). Rethinking Soft OR interventions: Models as boundary objects. European Journal of Operational Research, 231(3), 720-733.
Forbes, C. A. (1997). Analyzing the growth of the critical thinking skills of college calculus students. Iowa State University.
Garfield, E. (1986). The metaphor-science connection. Current Contents, (42), 3-10.
Garud, R., & Kotha, S. (1994). Using the brain as a metaphor to model flexible production systems. Academy of Management Review, 19(4), 671-698.
Gass, S. I., & Assad, A. A. (2005). Model world: tales from the time line-the definition of OR and the origins of Monte Carlo simulation. Interfaces, 35(5), 429-435.
Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs trading: Performance of a relative-value arbitrage rule. The Review of Financial Studies, 19(3), 797-827.
Gatev, E., Goetzmann, W.N. and Rouwenhorst, K.G. (1999). Pairs trading: performance of a relative value arbitrage rule. Working paper, Yale School of Management’s International Center for Finance.
Gentner, D. (1983). Structure-mapping: A theoretical framework for analogy. Cognitive science, 7(2), 155-170.
Gentner, D., & Bowdle, B. (2008). Metaphor as structure-mapping. The Cambridge handbook of metaphor and thought, 109-128.
Gentner, D., & Bowdle, B. F. (2001). Convention, form, and figurative language processing. Metaphor and symbol, 16(3-4), 223-247.
Gentner, D., & Hoyos, C. (2017). Analogy and abstraction. Topics in cognitive science, 9(3), 672-693.
Gentner, D., & Markman, A. B. (1997). Structure mapping in analogy and similarity. American psychologist, 52(1), 45.
Gentner, D., Falkenhainer, B., & Skorstad, J. (1988). Viewing metaphor as analogy. In Analogical reasoning (pp. 171-177). Springer, Dordrecht.
Gilbert, J. K. (2004). Models and modelling: Routes to more authentic science education. International Journal of Science and Mathematics Education, 2(2), 115-130.
Girma, P.B. & Paulson, A.S. (1999). Risk arbitrage opportunities in petroleum futures spreads. Journal of Futures Markets, 19(8), 931–955.
Hawkes, T. (2018). Metaphor. Routledge.
Hesse, M. (1953). Models in Physics. British Journal for the Philosophy of Science, 4,
Huang, C. F., Hsu, C. J., Chen, C. C., Chang, B. R., & Li, C. A. (2015). An intelligent model for pairs trading using genetic algorithms. Computational Intelligence and Neuroscience, 2015.
Huang, Z., & Martin, F. (2019). Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor. Applied Economics, 51(22), 2436-2452.
Huck, N. (2009). Pairs selection and outranking: an application to the S&P 100 index. European Journal of Operational Research, 196(2), 819–825
Huck, N. (2010). Pairs trading and outranking: The multi-step-ahead forecasting case. European Journal of Operational Research, 207(3), 1702-1716.
Humar, M. (2021). Metaphors as models: Towards a typology of metaphor in ancient science. History and Philosophy of the Life Sciences, 43(3), 1-26.
Hutten, E. (1954). The Role of Models in Physics. The British Journal for the Philosophy of Science, 4, 284 - 301.
Iman, M. (2009). Paradigmatic foundations of quantitative and qualitative research methods in the humanities. Publications of the seminary and university research institute.
Indurkhya, B. (1987). Approximate semantic transference: A computational theory of metaphors and analogies. Cognitive Science, 11(4), 445-480.
Jacobs, B. I., & Levy, K. N. (1993). Long/short equity investing. Journal of Portfolio Management, 20(1), 52.
Jacobs, H. and Weber, M. (2015). On the determinants of pairs trading profitability. Journal of Financial Markets, 23, 75–97.
Janda, R. D., Joseph, B. D., & Vance, B. S. (Eds.). (2020). The Handbook of Historical Linguistics, Volume II. John Wiley & Sons.
Jones, C. P. (2007). Investments: analysis and management. John Wiley & Sons. (in Persian)
Jones, L. V. (2009). Guide to the Universe: Stars and Galaxies. ABC-CLIO.
Juthe, A. (2005). Argument by analogy. Argumentation, 19(1), 1-27.
Kaler, J. B. (2021). Star. Access Science.
Keefer, L. A., & Landau, M. J. (2016). Metaphor and analogy in everyday problem solving. Wiley Interdisciplinary Reviews: Cognitive Science, 7(6), 394-405.
Kellert, S. H. (2009). Borrowed knowledge: Chaos theory and the challenge of learning across disciplines. University of Chicago Press.
Kim, S., & Heo, J. (2017). Time series regression-based pairs trading in the Korean equities market. Journal of Experimental & Theoretical Artificial Intelligence, 29(4), 755-768.
Kirby, M. (2007). Paradigm change in operations research: Thirty years of debate. Operations Research, 55(1), 1–13.
Lakoff, G. (1987). The death of dead metaphor. Metaphor and symbol, 2(2), 143-147.
Lakoff, G. (1993). The contemporary theory of metaphor. Published online by Cambridge University Press.
Lakoff, G., & Johnson, M. (2008). Metaphors we live by. University of Chicago press.
Landau, M. E., Robinson, M. D., & Meier, B. P. (2014). The power of metaphor: Examining its influence on social life. American Psychological Association.
Lei, Y. and Xu, J. (2015). Costly arbitrage through pairs trading. Journal of Economic Dynamics and Control, 56, 1–19.
McInerny, R. M. (1971). The logic of analogy: an interpretation of St. Thomas. Springer Science & Business Media.
Mehregan, M. R., & Hosseinzadeh, M. (2012). Investigating the Development of Operations Research through the Lens of Kuhn’s Model of Scientific Development. The International Journal of Humanities, 19(4), 155-182.
Mehregan, M., Abooyee Ardakan, M., & Soltan Mohammadi, N. (2012). Identify Key Factors in the Data Envelopment Analysis (DEA) for Evaluating University Departments by Using Soft System Methodology (SSM). Industrial Management Journal, 4(1), 129-146.
Mehrgam, MR. Hosseinzadeh, M. (2018). Theoretical foundations of operations research. Ketab Daneshgahi. (in Persian)
Miller, G. A. (1979). Images and models, similes and metaphors. Metaphor and thought, 2, 2-25.
Mingers, J. (2011). Soft OR comes of age – But not everywhere!. Omega, 39, 729–741.
Morgan, G. (2011). Reflections on images of organization and its implications for organization and environment. Organization & Environment, 24(4), 459-478.
Morgan, G. (2011). Reflections on images of organization and its implications for organization and environment. Organization & Environment, 24(4), 459-478.
Naccarato, A., Pierini, A., & Ferraro, G. (2019). Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. Annals of Operations Research, 1-19.
Nath, P. (2003) High frequency pairs trading with U.S. treasury securities: risks and rewards for hedge funds. Working paper, London Business School.
Newell, B., & Bröder, A. (2008). Cognitive processes, models and metaphors in decision research. Judgment and Decision making, 3(3), 195.
Paton, R. C. (1992). Towards a metaphorical biology. Biology and Philosophy, 7(3), 279-294.
Pole, A. (2011). Statistical arbitrage: algorithmic trading insights and techniques (Vol. 411). John Wiley & Sons.
Putman, M. E. (2017). An introduction to gas accretion onto galaxies. In Gas Accretion onto Galaxies (pp. 1-13). Springer, Cham.
Rad, H., Low, R. K. Y., & Faff, R. (2016). The profitability of pairs trading strategies: distance, cointegration and copula methods. Quantitative Finance, 16(10), 1541-1558.
Ranyard, J., Fildes, R., & Hu, T.-I. (2015). Reassessing the scope of OR practice: The influences of problem structuring methods and the analytics movement. European Journal of Operational Research, 245(1), 1–13.
Rosenhead, J. V. (1968). Experimental Simulation of a Social system. Journal of the Operational Research Society, 19(3), 289-298.
Rudolph, L. (2006). Mathematics, models and metaphors. Culture & Psychology, 12(2), 245-259.
Seeds, M., & Backman, D. (2012). Universe: Solar System, Stars, and Galaxies. Nelson Education.
Shaghzade, N. (2018). Autopoietic OR System Design. PhD Thesis. Faculty of Management, University of Tehran. Tehran. (in Persian)
Song, Q., & Zhang, Q. (2013). An optimal pairs-trading rule. Automatica, 49(10), 3007-3014.
Sparke, L. S., & Gallagher III, J. S. (2007). Galaxies in the universe: an introduction. Cambridge University Press.
Steinhart, E. (2001). The logic of metaphor: Analogous parts of possible worlds (Vol. 299). Springer Science & Business Media.
Struve, O., Lynds, B. T., & Pillans, H. (2011). Astronomie. de Gruyter. (in Persian)
Tadi, M., Abkar, M., & Motaharinia, V. (2018). Evaluation of Pairs Trading Strategy Using Distance Approach at Tehran Stock Exchange. Journal of Investment Knowledge, 7(26), 99-112.
Thomas, W. (2015). History of OR: Useful history of operations research. ORMS Today, 42(3).
Thomas, W. (2015). Useful history of operations research: long-term prospects and aspirations for historical preservation, research and communication. OR/MS Today, 42(3), 18-23.
Triantafyllopoulos, K. and Montana, G. (2011). Dynamic modeling of mean-reverting spreads for statistical arbitrage. Computational Management Science, 8(1–2), 23–49.
Vidoni, M. (2020). Beyond Hard and Soft OR: operational research from a software engineering perspective. Journal of the Operational Research Society, 1-23.
Vidyamurthy, G. (2004). Pairs Trading: quantitative methods and analysis (Vol. 217). John Wiley & Sons.
Wacker, J. G. (1998). A definition of theory: research guidelines for different theory-building research methods in operations management. Journal of operations management, 16(4), 361-385.
Wahab, M. & Cohn, R. (1994). The gold-silver spread: integration, cointegration, predictability, and ex-ante arbitrage. Journal of Futures Markets, 14(6), 709–756.
Wijnmalen, D. J. D., & Curtis, N. J. (2013). A code of best practice for judgement-based operational research. OR Insight, 26, 291–308.
Yang, J. W., Tsai, S. Y., Shyu, S. D., & Chang, C. C. (2016). Pairs trading: The performance of a stochastic spraed model with regime switching-evidence from the S&P 500. International Review of Economics & Finance, 43, 139-150.
Zahra, S. A., & Newey, L. R. (2009). Maximizing the impact of organization science: Theory‐building at the intersection of disciplines and/or fields. Journal of management studies, 46(6), 1059-1075.
Zahra, S. A., & Newey, L. R. (2009). Maximizing the impact of organization science: Theory‐building at the intersection of disciplines and/or fields. Journal of management studies, 46(6), 1059-1075.
Zeidler, P. (2013). Models and metaphors as research tools in science (Vol. 10). LIT Verlag Münster.
Zeng, Z. and Lee, C.-G. (2014). Pairs trading: optimal thresholds and profitability. Quantitative Finance, 14(11), 1881–1893.