Efficient Prices at Any Cost: Does Algorithmic Trading Deter Information Acquisition?

I demonstrate a powerful tension between acquiring information and incorporating it into asset prices, the two core elements of price discovery. As a salient case, I focus on the transformative rise of algorithmic trading (AT) typically associated with improved price efficiency. Using a measure of the relative information content of prices and a comprehensive panel of 37,325 stock-quarters of SEC market data, I establish instead that algorithmic trading strongly decreases the net amount of information in prices. The increase in price distortions associated with the AT “information gap” is roughly $42.6 billion/year for U.S. common stocks around earnings announcement events alone. Information losses are concentrated among stocks with high shares of algorithmic liquidity takers relative to algorithmic liquidity makers, suggesting that aggressive AT powerfully deters fundamental information acquisition despite its importance for translating available information into prices.

Anti-AIDS agents 81. Design, synthesis, and structure-activity relationship study of betulinic acid and moronic acid derivatives as potent HIV maturation inhibitors.

In our continuing study of triterpene derivatives as potent anti-HIV agents, different C-3 conformationally restricted betulinic acid (BA, 1) derivatives were designed and synthesized in order to explore the conformational space of the C-3 pharmacophore. 3-O-Monomethylsuccinyl-betulinic acid (MSB) analogues were also designed to better understand the contribution of the C-3' dimethyl group of bevirimat (2), the first-in-class HIV maturation inhibitor, which is currently in phase IIb clinical trials. In addition, another triterpene skeleton, moronic acid (MA, 3), was also employed to study the influence of the backbone and the C-3 modification toward the anti-HIV activity of this compound class. This study enabled us to better understand the structure-activity relationships (SAR) of triterpene-derived anti-HIV agents and led to the design and synthesis of compound 12 (EC(50): 0.0006 microM), which displayed slightly better activity than 2 as a HIV-1 maturation inhibitor.

A unified anatomy ontology of the vertebrate skeletal system.

The skeleton is of fundamental importance in research in comparative vertebrate morphology, paleontology, biomechanics, developmental biology, and systematics. Motivated by research questions that require computational access to and comparative reasoning across the diverse skeletal phenotypes of vertebrates, we developed a module of anatomical concepts for the skeletal system, the Vertebrate Skeletal Anatomy Ontology (VSAO), to accommodate and unify the existing skeletal terminologies for the species-specific (mouse, the frog Xenopus, zebrafish) and multispecies (teleost, amphibian) vertebrate anatomy ontologies. Previous differences between these terminologies prevented even simple queries across databases pertaining to vertebrate morphology. This module of upper-level and specific skeletal terms currently includes 223 defined terms and 179 synonyms that integrate skeletal cells, tissues, biological processes, organs (skeletal elements such as bones and cartilages), and subdivisions of the skeletal system. The VSAO is designed to integrate with other ontologies, including the Common Anatomy Reference Ontology (CARO), Gene Ontology (GO), Uberon, and Cell Ontology (CL), and it is freely available to the community to be updated with additional terms required for research. Its structure accommodates anatomical variation among vertebrate species in development, structure, and composition. Annotation of diverse vertebrate phenotypes with this ontology will enable novel inquiries across the full spectrum of phenotypic diversity.

Design of Scheduling Algorithms Using Game Theoretic Ideas

Scheduling a set of jobs over a collection of machines to optimize a certain quality-of-service measure is one of the most important research topics in both computer science theory and practice. In this thesis, we design algorithms that optimize {\em flow-time} (or delay) of jobs for scheduling problems that arise in a wide range of applications. We consider the classical model of unrelated machine scheduling and resolve several long standing open problems; we introduce new models that capture the novel algorithmic challenges in scheduling jobs in data centers or large clusters; we study the effect of selfish behavior in distributed and decentralized environments; we design algorithms that strive to balance the energy consumption and performance.

The technically interesting aspect of our work is the surprising connections we establish between approximation and online algorithms, economics, game theory, and queuing theory. It is the interplay of ideas from these different areas that lies at the heart of most of the algorithms presented in this thesis.

The main contributions of the thesis can be placed in one of the following categories.

1. Classical Unrelated Machine Scheduling: We give the first polygorithmic approximation algorithms for minimizing the average flow-time and minimizing the maximum flow-time in the offline setting. In the online and non-clairvoyant setting, we design the first non-clairvoyant algorithm for minimizing the weighted flow-time in the resource augmentation model. Our work introduces iterated rounding technique for the offline flow-time optimization, and gives the first framework to analyze non-clairvoyant algorithms for unrelated machines.

2. Polytope Scheduling Problem: To capture the multidimensional nature of the scheduling problems that arise in practice, we introduce Polytope Scheduling Problem (\psp). The \psp problem generalizes almost all classical scheduling models, and also captures hitherto unstudied scheduling problems such as routing multi-commodity flows, routing multicast (video-on-demand) trees, and multi-dimensional resource allocation. We design several competitive algorithms for the \psp problem and its variants for the objectives of minimizing the flow-time and completion time. Our work establishes many interesting connections between scheduling and market equilibrium concepts, fairness and non-clairvoyant scheduling, and queuing theoretic notion of stability and resource augmentation analysis.

3. Energy Efficient Scheduling: We give the first non-clairvoyant algorithm for minimizing the total flow-time + energy in the online and resource augmentation model for the most general setting of unrelated machines.

4. Selfish Scheduling: We study the effect of selfish behavior in scheduling and routing problems. We define a fairness index for scheduling policies called {\em bounded stretch}, and show that for the objective of minimizing the average (weighted) completion time, policies with small stretch lead to equilibrium outcomes with small price of anarchy. Our work gives the first linear/ convex programming duality based framework to bound the price of anarchy for general equilibrium concepts such as coarse correlated equilibrium.

PenPC: A two-step approach to estimate the skeletons of high-dimensional directed acyclic graphs.

Estimation of the skeleton of a directed acyclic graph (DAG) is of great importance for understanding the underlying DAG and causal effects can be assessed from the skeleton when the DAG is not identifiable. We propose a novel method named PenPC to estimate the skeleton of a high-dimensional DAG by a two-step approach. We first estimate the nonzero entries of a concentration matrix using penalized regression, and then fix the difference between the concentration matrix and the skeleton by evaluating a set of conditional independence hypotheses. For high-dimensional problems where the number of vertices p is in polynomial or exponential scale of sample size n, we study the asymptotic property of PenPC on two types of graphs: traditional random graphs where all the vertices have the same expected number of neighbors, and scale-free graphs where a few vertices may have a large number of neighbors. As illustrated by extensive simulations and applications on gene expression data of cancer patients, PenPC has higher sensitivity and specificity than the state-of-the-art method, the PC-stable algorithm.