Determining generators' contribution to loads and line flows & losses considering loop flows

This paper presents a new method for calculating the individual generators' shares in line flows, line losses and loads. The method is described and illustrated on active power flows, but it can be applied in the same way to reactive power flows.

Solving exchange rate puzzles with neither sticky prices nor trade costs

We present a simple framework in which both the exchange rate disconnect and forward bias puzzles are simultaneously resolved. The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Habitpersistence is modeled using Campbell Cochrane preferences with ‘deep’ habits along the lines of the work of Ravn, Schmitt-Grohe and Uribe. By deep habits, we mean habits defined over goods rather than countries. The model is simulated using the artificial economy methodology. It offers a neo-classical explanation of the Meese–Rogoff puzzle and mimics the failure of fundamentals to explain nominal exchange rates in a linear setting. Finally, the model naturally generates the negative slope in the standard forward market regression.

Motivational trade-offs and potential pain experience in hermit crabs

One criterion of pain experience is that the emotional response to pain may be traded-off against other motivational requirements. This was tested in hermit crabs, housed in either preferred or unpreferred species of shells, by subjecting their abdomens to electric shocks of gradually increasing intensity. The first observable response was not affected by shell species but those in preferred shells evacuated at a higher shock level than those in poor quality shells. Thus, they seem to trade-off the requirement to retain a high quality shell with that of avoidance of the noxious stimulus. Some crabs returned to their shells and those that got back into the preferred species did so with less probing of the aperture before getting in and subsequently thrust their abdomen in and out less often in further investigation, thus confirming their shell species preference. Not all crabs returned to the vicinity of the shell and some attempted to climb the wall of the experimental chamber. Others engaged in shell rapping as if in a fight and grooming of the abdomen was noted. These findings are consistent with the idea of a pain experience rather than a nociceptive reflex. (C) 2009 Elsevier B.V. All rights reserved.

Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.

On the Sources of Private Information in FX Markets

We investigate the source of information advantage in inter-dealer FX trading using data on trades and counterparty identities. In liquid dollar exchange rates, information is concentrated among dealers that trade most frequently and specialize their activity in a particular rate. In cross-rates, traders that engage in triangular arbitrage are best informed. Better-informed traders are also located on larger trading floors. In cross-rates, the ability to forecast flows explains all of the advantage of the triangular arbitrageurs. In liquid dollar rates, specialist traders can forecast both order flow and the component of exchange rate changes that is uncorrelated with flow.