Price Discovery in the Dual-Platform US Treasury Market

Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. Over the period studied, eSpeed provides a more pre-trade transparent platform than BrokerTec. We examine the contribution to ‘price discovery’ of activity in the two platforms using high frequency data. We find that price discovery does not derive equally from the two platforms and that the shares vary across term to maturity. This can be traced to differential trading activities and transparency of the two platforms.

Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Happy hour followed by hangover: financing the UK brewery industry, 1880-1913

In the last 15 years of the nineteenth century c.300 British brewers incorporated and floated securities on the stock market. Subsequently, in the 1900s, the industry suffered a long-lived hangover. In this paper, we establish the stylised facts of this transformation and estimate the gains enjoyed by brewery investors during the boom as well as the losses suffered by investors during the bust of the 1900s. However, not all brewery equity shares suffered alike. We find that post-1900 performance correlates positively with capital-market discipline and good corporate governance and negatively with family control, but does not correlate with indebtedness.

Economic Ideas and the Political Construction of the Financial Crash of 2008

This article is a short introduction to a special section on economic ideas and the political construction of the financial crash. It begins by explaining why economic ideas and the politics of appeals to certain ideas are so integral to the historical significance of the crash of 2008 and the question of whether it can be considered a crash at all. The first section covers the literature on ideas and economic crisis. The second section highlights that the contribution of the special section is to engage in a stock taking exercise of the empirical and conceptual patterns concerning the politics of ideational change underway in the areas of: comparative fiscal policy; monetary policy and Euro zone debt management; capital controls; and financial and securities market regulation and standard setting. The final section outlines the structure of this special section and content of the individual articles.

True navigation in migrating gulls requires intact olfactory nerves

During migratory journeys, birds may become displaced from their normal migratory route. Experimental evidence has shown that adult birds can correct for such displacements and return to their goal. However, the nature of the cues used by migratory birds to perform long distance navigation is still debated. In this experiment we subjected adult lesser black-backed gulls migrating from their Finnish/Russian breeding grounds (from >60°N) to Africa (to < 5°N) to sensory manipulation, to determine the sensory systems required for navigation. We translocated birds westward (1080 km) or eastward (885 km) to simulate natural navigational challenges. When translocated westwards and outside their migratory corridor birds with olfactory nerve section kept a clear directional preference (southerly) but were unable to compensate for the displacement, while intact birds and gulls with the ophthalmic branch of the trigeminal nerve sectioned oriented towards their population-specific migratory corridor. Thus, air-borne olfactory information seems to be important for migrating gulls to navigate successfully in some circumstances.

A Low Radar Cross Section Dipole Antenna Simulation

This paper reports a new method for reducing theRadar Cross-Section (RCS) of a metal backed dipole antenna. Numerical simulations are used to show that when the Perfect Electrical Conductor (PEC) is replaced by a carefully designedFrequency Selective Surface (FSS), the electromagnetic performanceof the antenna is similar in band, but the RCS of the structure is significantly lower out of band. The design of the FSSand the return loss, radiation patterns and RCS are presentedfor an antenna which operates at a center frequency of 4 GHzand the results are compared with a conventional metal backed arrangement

Ultra Thin Resistively Loaded FSS Absorber For Polarisation Independent Operation at Large Incident Angles

In this paper we report on a resistively loaded Frequency Selective Surface (FSS) absorber design which is insensitive to the polarization of microwave signals incident at angles of 45o ± 5o. The metal backed periodic structure is composed of an array of conductive rectangular loops, each loaded with a resistor at the center of the four sides. The geometry of the absorber and the resistance value of the vertical and horizontal resistor pairs are carefully chosen so that the structure presents a real impedance of 377 Ω at the center operating frequency for both TE and TM polarized waves incident at 45o. Numerical predictions of the electromagnetic scattering from three different absorbers, designed to work at X-band, are used to investigate the effect of thickness and resistance value on the reflectivity bandwidth and angular sensitivity.