Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

Social dynamics for sustainable food systems : Actors' orientations towards sustainability in primary production and public consumption

The modern food system and sustainable development form a conceptual combination that suggests sustainability deficits in environmental impacts and nutritional status of western populations. This study explores actors orientations towards sustainability by probing into social dynamics for sustainability within primary production and public consumption. If actors within these two worlds were to express converging orientations for sustainability, the system dynamics of the market would enable more sustainable growth in terms of production dictated by consumption. The study is based on a constructivist research approach with qualitative text analyses. The findings were validated by internal and external food system actors and are suggested to represent current social dynamics within Finnish food system. The key findings included primary producers social skilfulness, which enabled networking with other actors in very different paths of life, learning in order to promote one s trade, and trusting reflectively in partners in order to expand business. These activities extended the supply chain in a spiral fashion by horizontal and vertical forward integration, until large retailers were met for negotiations on a more equal basis. This mode of chain level coordination, typically building around the core of social and partnership relations, was coined as a socially overlaid network, and seen as sustainable coordination mode for endogenous growth. The caterers exhibited more or less committed professional identity for sustainability within their reach. The facilitating approaches for professional identities dealt successfully with local and organic food in addition to domestic food, and also imported food. The co-operation with supply chains created innovative solutions and savings for the business parties to be shared. There were also more complicated identities as juggling, critical and delimited approaches for sustainability, with less productive efforts due to restrictions such as absence of organisational sustainability strategy, weak presence of local and organic suppliers, limited understanding about sustainability and no organisational resources for informed choices for sustainability. The convergence between producers and caterers existed to an extent allowing suggestion that increased clarity about sustainable consumption and production by actors could be constructed using advanced tools. The study looks for introduction of more profound environmental and socio-economic knowledge through participatory research with supply chain actors. Learning in the workplace about food system reality in terms of supply chain co-operation may prove to be a change engine that leads to advanced network operations and a more sustainable food system.

Social dynamics for sustainable food systems. Actors’ orientations towards sustainability in primary production and public consumption

Abstract The modern food system and sustainable development form a conceptual combination that suggests sustainability deficits in the ways we deal with food consumption and production - in terms of economic relations, environmental impacts and nutritional status of western population. This study explores actors’ orientations towards sustainability by taking into account actors’ embedded positions within structures of the food system, actors’ economic relations and views about sustainability as well as their possibilities for progressive activities. The study looks particularly at social dynamics for sustainability within primary production and public consumption. If actors within these two worlds were to express converging orientations for sustainability, the system dynamics of the market would enable more sustainable growth in terms of production dictated by consumption. The study is based on a constructivist research approach with qualitative text analyses. The data consisted of three text corpora, the ‘local food corpus’, the ‘catering corpus’ and the ‘mixed corpus’. The local food actors were interviewed about their economic exchange relations. The caterers’ interviews dealt with their professional identity for sustainability. Finally, the mixed corpus assembled a dialogue as a participatory research approach, which was applied in order to enable researcher and caterer learning about the use of organic milk in public catering. The data were analysed for theoretically conceptualised relations, expressing behavioural patterns in actors’ everyday work as interpreted by the researcher. The findings were corroborated by the internal and external communities of food system actors. The interpretations have some validity, although they only present abstractions of everyday life and its rich, even opaque, fabric of meanings and aims. The key findings included primary producers’ social skilfulness, which enabled networking with other actors in very different paths of life, learning in order to promote one’s trade, and trusting reflectively in partners in order to extend business. These activities expanded the supply chain in a spiral fashion by horizontal and vertical forward integration, until large retailers were met for negotiations on a more equal or ‘other regarding’ basis. This kind of chain level coordination, typically building around the core of social and partnership relations, was coined as a socially overlaid network. It supported market access of local farmers, rooted in their farms, who were able to draw on local capital and labour in promotion of competitive business; the growth was endogenous. These kinds of chains – one conventional and one organic – were different from the strategic chain, which was more profit based and while highly competitive, presented exogenous growth as it depended on imported capital and local employees. However, the strategic chain offered learning opportunities and support for the local economy. The caterers exhibited more or less committed professional identity for sustainability within their reach. The facilitating and balanced approaches for professional identities dealt successfully with local and organic food in addition to domestic food, and also imported food. The co-operation with supply chains created innovative solutions and savings for the business parties to be shared. The rule-abiding approach for sustainability only made choices among organic supply chains without extending into co-operation with actors. There were also more complicated and troubled identities as juggling, critical and delimited approaches for sustainability, with less productive efforts due to restrictions such as absence of organisational sustainability strategy, weak presence of local and organic suppliers, limited understanding about sustainability and no organisational resources to develop changes towards a sustainable food system. Learning in the workplace about food system reality in terms of supply chain co-operation may prove to be a change engine that leads to advanced network operations and a more sustainable food system. The convergence between primary producers and caterers existed to an extent allowing suggestion that increased clarity about sustainable consumption and production by actors could be approached using advanced tools. The study looks for introduction of more profound environmental and socio-economic knowledge through participatory research with supply chain actors in order to promote more sustainable food systems. Summary of original publications and the authors’ contribution I Mikkola, M. & Seppänen, L. 2006. Farmers’ new participation in food chains: making horizontal and vertical progress by networking. In: Langeveld, H. & Röling N. (Eds.). Changing European farming systems for a better future. New visions for rural areas. Wageningen, The Netherlands. Wageningen Academic Publishers: 267–271. II Mikkola, M. 2008. Coordinative structures and development of food supply chains. British Food Journal 110 (2): 189–205. III Mikkola, M. 2009. Shaping professional identity for sustainability. Evidence in Finnish public catering. Appetite 53 (1): 56–65. IV Mikkola, M. 2009. Catering for sustainability: building a dialogue on organic milk. Agronomy Research 7 (Special issue 2): 668–676. Minna Mikkola has been responsible for developing the generic research frame, particular research questions, the planning and collection of the data, their qualitative analysis and writing the articles I, II, III and IV. Dr Laura Seppänen has contributed to the development of the generic research frame and article I by introducing the author to the basic concepts of economic sociology and by supporting the writing of article II with her critical comments. Articles are printed with permission from the publishers.

Private and municipal forests and the forestry planning system in Japan - trends and problems after World War II.

XVIII IUFRO World Congress, Ljubljana 1986.

Rhetoric and public speech in English republicanism, 1642-1681

The study analyses the ambivalent relationship republicanism, as a form of self-government free from domination, had with the ideal of participatory oratory and non-dominated speech on the one hand, and with the danger of unhindered demagogy and its possibly fatal consequences to that form of government on the other. Although previous scholarship has delved deeply into republicanism as well as into rhetoric and public speech, the interplay between those aspects has only gathered scattered interest, and there has been no systematic study considering the variety of republican approaches to rhetoric and public speech in 17th-century England. The rare attempts to do so have been studies in English literature, and they have not analysed the political philosophy of republicanism, as the focus has been on republicanism as a literary culture. This study connects the fields of political theory, political history as well as literature in order to make a multidisciplinary contribution to intellectual history. The study shows that, within the tradition of classical republicanism, individual authors could make different choices when addressing the problematic topics of public speech and rhetoric, and the variety of their conclusions often set the authors against each other, resulting in the development of their theories through internal debates within the republican tradition. The authors under study were chosen to reflect this variety and the connections between them: the similarities between James Harrington and John Streater, and between John Milton and John Hall of Durham are shown, as well the controversies between Harrington and Milton, and Streater and Hall, respectively. In addition, by analysing the writings of Marchamont Nedham the study will show that the choices were not limited to more, or less, democratic brands of republicanism. Most significantly, the study provides a thorough analysis of the political philosophies behind the various brands of republicanism, in addition to describing them. By means of this analysis, the study shows that previous attempts to assess the role of free speech and public debate, through the lenses of modern, rights-based liberal political theory have resulted in an inappropriate framework for understanding early modern English republicanism. By approaching the topics through concepts used by the republicans legitimate authority, leadership by oratory, and republican freedom and through the frames of reference available and familiar to them roles of education and institutions the study presents a thorough and systematic analysis of the role and function of rhetoric and public speech in English republicanism. The findings of this analysis have significant consequences to our current understanding of the history and development of republican political theory, and, more generally, of the connections between democratic theory and free speech.

Personporträttet som tidningsgenre : En närläsningsstudie med fokus på innehållsliga teman, berättarkonventioner och kön

The thesis The portrait interview as a newspaper genre. A qualitative close reading focussing on topical motifs, conventions of narration, and gender defines the portrait interview as a newspaper genre and analyses how the personalities in the portraits are constructed textually. The main body of material consists of 107 portrait interviews in two morning newspapers, Dagens Nyheter (published in Stockholm, Sweden) and Hufvudstadsbladet (published in Swedish in Helsinki, Finland), during two one-week periods (week 46/1999 and week 38/2002). There is also complementary material of 59 portraits from four magazines. The study is carried out within the research traditions of journalistic genre studies, gender and journalism, and critical text analysis. It is comprised of a qualitative close reading focussing on content (topical motifs or themes), conventions of narration, and gender. The methods used to carry out the study are qualitative close reading and quantitative content analysis. The analysis identifies the stylistic elements that differentiate the portrait genre from other journalistic genres, as well as from the autobiographical genre, and explores what opportunities and limitations these elements present for the inclusion of even more women protagonists in the portrait genre. The portrait interview is an exception from the critical mission of journalism in general, with its position as a genre of politeness. Since a typical characteristic of the portrait interview genre is that it pays tribute to the protagonist, the genre reveals the kind of personalities and lives that are seen as admirable in society. Four levels of portrait interview are defined: the prototype portrait, the pure portrait, the hybrid portrait and the marginal portrait. The prototype is a raw version of a portrait that fulfils the criteria but may be lacking in content and stylistics. The pure portrait does not lack these qualities and resembles an ideal portrait. The hybrid is a borderline case which relates to another genre or is a mixture between the portrait and some other genre, most commonly the news genre. The marginal portrait does not fulfil the criteria, and can therefore be seen as an inadequate portrait. For example, obituaries and caricatures are excluded if the protagonist s voice is never quoted. The analysis resulted in three factors that in part help to explain why the portrait interview genre has somewhat more female protagonists than journalistic news texts do in general. The four main reasons why women are presented somewhat more in the portrait genre than in other journalistic genres are: (i) women are shown as exceptions to the female norm when, for example, taking a typical male job or managing in positions where there are few women; (ii) women are shown as representing female themes ; (iii) use of the double bind as a story-generating factor; and (iv) the intimisation of journalism. The double bind usually builds up the narration on female ambiguity in the contradiction between private and public life, for example family and career, personal desire and work. The intimisation of journalism and the double bind give women protagonists somewhat more publicity also because of the tendency of portrait interviews to create conflicts within the protagonist, as an exception to journalism in general where conflicts are created or seen as existing between, for example, persons, groupings or parties. Women protagonists and their lives create an optimal narration of inner conflicts originating in the double bind as men are usually not seen as suffering from these conflicts. The analysis also resulted in gendered portrait norms: The feminine portrait norm and the masculine portrait norm or more concretely, professional life and family life as expectation and exception. Women are expected to be responsible parents and mediocre professionals, while men are expected to be professionals and in their free time engaging fathers. Key words: journalism, genre, portrait interview, gender, interview, newspaper, women s magazine.

Stor Anna, Liten Anna och tio andra personporträtt : Om innehållsliga och språkliga mönster i en mediegenres kvinnobeskrivningar

The aim of this licentiate thesis is to analyse how femininity is constructed in twelve portrait interviews of women in the dailies Dagens Nyheter (Stockholm) and Hufvudstadsbladet (Helsinki) in September 1996, and to explore the portrait interview as a media genre. The qualitative analysis has a feminist and constructionist perspective and is connected to critical text analysis. It was carried out on two levels: first, femininity is identified on the linguistic level by choice of words, and second on the level of content (topical motifs/themes). The portrait interview as a genre constitutes a third dimension in the analysis: The aim is not towards the identification of femininity, but rather towards the identification of the portrait interview a relatively unexplored media genre. References (Swedish: omtal) to the principal character (or protagonist) are traced mainly through reference chains which consist of names, pronouns and substantive phrases. The interviewees were referred to by their full names in Dagens Nyheter (with the exception of the oldest and youngest interviewees, both of whom were mainly referred to by their first names), while the style of reference varied more in Hufvudstadsbladet. The position of the principal character was also analysed through her relation in the text to minor characters from her working life and from her private life. These minor characters maintained their subordinate positions in all of the portraits except that of the youngest principal character, in which the subsidiary voices became at least as strong as the voice of the principal character. Three frequently-recurring topical motifs occurred in the portraits: The first involved explanations for the principal character s success divided into three categories, agent, affect and ambition, the second concerned using journeys or trips as symbols for turning points in life, and the third referred to the ambiguity in the contradiction between private (family/other private life) and public (work) life. This ambiguity is connected to the portrait interview as a text type (genre) which features conclusions at the end of portraits, which in turn is characteristic of reportage. However, the analysis showed that the conclusions of the portrait interviews often also included elements of ambiguity. This was evident in the contradictions be14 tween private and public life that arose in the portrait interviews that focused on these two spheres. The portraits that focused on the principal character s public life showed ambiguity on a more general level concerning questions about being a woman and having a profession, and they often ended with a description of some details of her private life. The women in the portraits were all constructed as being successful, in terms of having achieved direct success, reflective success or success in the form of life wisdom. The women of direct success were described as ambitious individuals with no sidetracks on their life paths, while those of reflective success were described as active heroines who had received help from different agents, who could use their affects as enriching ingredients in life, but who in the end had control over their own lives (life stories). The elderly women were constructed as having achieved life wisdom and their portraits were focused upon the past. The portrait interview as a genre is characterised by journalistic freedom (in relation to the more strict news genre), by a now room (Swedish nurum ) where the journalist meets the principal character (usually via spoken dialogue that she or he transforms into written text to be read by a mass-media audience) and by the relatively closed structure of the portrait. The portrait is relatively independent in relation to the news genre and in relation to the context of what has previously been written, what is being written at the time and what will be written in the future the principal character does not need to belong to the newspaper s usual gallery of actors. Furthermore, the principal character is constructed as being independent in relation to the subsidiary characters and other media actors. The conflict is within the principal character herself and within her life story, unlike the news genre in which equal actors are in conflict with each other. The portrait is also independent in relation to the news lifespan; the publishing timetable is not as strict as in the news genre, but is still dependent on the factors initiating the portrait. The enclosures consist of a raw analysis of two of twelve portrait interviews and of copies of all portraits.