Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

Terminating links between emission trading programs

© 2015 Elsevier Inc.Links between emission trading programs are not immutable, as highlighted by New Jersey's exit from the Regional Greenhouse Gas Initiative in 2011. This raises the question of what to do with existing permits that are banked for future use-choices that have consequences for market behavior in advance of, or upon speculation about, delinking. We consider two delinking policies. One differentiates banked permits by origin, the other treats banked permits the same. We describe the price behavior and relative cost-effectiveness of each policy. Treating permits differently generally leads to higher costs, and may lead to price divergence, even with only speculation about delinking.

Peer-Informed Learning on Increasing Contraceptive Knowledge Among Women in Rural Haiti

Contraceptive prevalence in Haiti remains low despite extensive foreign aid targeted at improving family planning. [1] Earlier studies have found that peer-informed learning have been successful in promoting sexual and reproductive health. [2-5] This pilot project was implemented as a three-month, community-based, educational intervention to assess the impact of peer education in increasing contraceptive knowledge among women in Fondwa, Haiti. Research investigators conducted contraceptive information trainings to pre-identified female leaders of existing women’s groups in Fondwa, who were recruited as peer educators (n=4). Later, these female leaders shared the knowledge from the training with the test participants in the women’s group (n=23) through an information session. Structured surveys measuring knowledge of contraceptives were conducted with all participants before the intervention began, at the end of the intervention, and four weeks after the intervention. The surveys measured general contraceptive knowledge, knowledge about eight selected types of modern contraceptives and contraceptive preferences and attitudes. Only test participants showed significant improvement in their general contraceptive knowledge score (p<0.001), but both test participants and peer educators showed significant improvement in overall knowledge scores for identifying the types and uses of modern contraceptive methods. Assessment for knowledge retention remained significantly higher four weeks after the intervention than prior to the intervention. Therefore, a one-time, three-hour peer-based educational intervention using existing social structures is effective, and might be valuable in a population with minimal access to education and little to no knowledge about contraceptives.

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.