Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

Credit and community: working class debt in the UK since 1880

This book examines credit in working class communities since 1880, focusing on forms of borrowing that were dependent on personal relationships and social networks. It provides an extended historical discussion of credit unions, legal and illegal moneylenders (loan sharks), and looks at the concept of ‘financial exclusion’. Initially, the book focuses on the history of tallymen, check traders, and their eventual movement into moneylending following the loss of their more affluent customers, due to increased spending power and an increasingly liberalized credit market. They also faced growing competition from mail order companies operating through networks of female agents, whose success owed much to the reciprocal cultural and economic conventions that lay at the heart of traditional working class credit relationships. Discussion of these forms of credit is related to theoretical debates about cultural aspects of credit exchange that ensured the continuing success of such forms of lending, despite persistent controversies about their use. The book contrasts commercial forms of credit with formal and informal co-operative alternatives, such as the mutuality clubs operated by co-operative retailers and credit unions. It charts the impact of post-war immigration upon credit patterns, particularly in relation to the migrant (Irish and Caribbean) origins of many credit unions and explains the relative lack of success of the credit union movement. The book contributes to anti-debt debates by exploring the historical difficulties of developing legislation in relation to the millions of borrowers who have patronized what has come to be termed the sub-prime sector.

Marketing secondhand goods in late medieval England

Purpose – The purpose of this paper is to identify the main practitioners, goods, customers and locations of secondhand marketing activities in late medieval England. It questions how important was the economic role played by such markets and what was the interaction with more formal market structures?

Design/methodology/approach – A broad range of evidence was examined, covering the period from 1200 to 1500: regulations, court rolls, wills, manorial accounts, literature, and even archaeology. Such material often provided mere scraps of information about marginal marketing activity and it was important to recognise the severe limitations of the evidence. Nevertheless, a wide survey of the available sources can give us an insight into medieval attitudes towards such trade, as well as reminding us that much marketing activity occurred beyond the reach of the surviving documentation.

Findings – Late medieval England had numerous outlets for secondhand items, from sellers of used clothes and furs who wandered the marketplaces to craftsmen who recycled and mended old materials. Secondhand marketing was an important part of the medieval makeshift economy, serving not only the needs of the lower sectors of society but also those aspiring to a higher status. However, it is unlikely that such trade generated much profit and the traders were often viewed as marginal, suspicious and even fraudulent.

Originality/value – There is a distinct lack of research into the extent of and significance of medieval secondhand marketing, which existed in the shadowy margins of formal markets and is thus poorly represented in the primary sources. A broad-based approach to the evidence can highlight a variety of important issues, which impact upon the understanding of the medieval English economy.

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.

Methods in wind power prediction & forecasting

Globally on-shore wind power has seen considerable growth in all grid systems. In the coming decade off-shore wind power is also expected to expand rapidly. Wind power is variable and intermittent over various time scales because it is weather dependent. Therefore wind power integration into traditional grids needs additional power system and electricity market planning and management for system balancing. This extra system balancing means that there is additional system costs associated with wind power assimilation. Wind power forecasting and prediction methods are used by system operators to plan unit commitment, scheduling and dispatch and by electricity traders and wind farm owners to maximize profit. Accurate wind power forecasting and prediction has numerous challenges. This paper presents a study of the existing and possible future methods used in wind power forecasting and prediction for both on-shore and off-shore wind farms.

Reconstructing ethical conduct within financial firms

This chapter explores whether ethical cultures can be created within a financial market context. Ongoing regulatory and legal actions, and press coverage of these, suggest that a definition of ethical problems in terms of ‘rogue traders’ and ‘bad apples’ would be inadequate, since entire business areas have been resorting to collusive illegal behaviour. The concept of ‘bad barrels’ seems to capture the situation rather better: the culture of firms fails to discourage transgression and indeed supports it. Unpacking the links between regulatory objectives and the cultural settings of firms and their employees, this chapter questions the chances of success of measures such as enhanced controls on individuals and restructured reward mechanisms. Financial firms typically have very flat, nodal structures, within which traders conceptualise themselves as an elite, in contrast to back office staff and also in contrast to managers. Traders’ functions and their occupational mobility mean that their linkages and attachments may be much stronger with others outside ‘their’ firm than their firm and those within it. Performance, camaraderie and their linkages are important in all work situations, yet all the more so for traders in financial markets. Thus, whether regulators and senior management combine to send a clear and consistent message to traders – or whether the logic of the financial marketplace leads some firms to continue send conflicting or ambivalent messages to them – misconduct is likely to continue to be a tough nut to crack.

Control of wild rubber extraction in the forests of northeast India, 1850-1880

This paper uses the history of rubber extraction to explore competing attempts to control the forest environments of Assam and beyond in the second half of the nineteenth century. Forest communities faced rival efforts at environmental control from both European and Indian traders, as well as from various centres of authority within the Raj. Government attempts to regulate rubber collection were undermined by the weak authority of the Raj in these regions, leading to widespread smuggling. Partly in response to the disruptive influence of rubber traders on the frontier, the Raj began to restrict the presence of outsiders in tribal regions, which came to be understood as distinct areas outside British control. When rubber yields from the forests nearest the Brahmaputra fell in the wake of intensive exploitation, India's scientific foresters demanded and from 1870 obtained the ability to regulate the Assamese forests, blaming indigenous rubber tapping strategies for the declining yields and arguing that Indian rubber could be ‘equal [to] if not better' than Amazonian rubber if only tappers would change their practices. The knowledge of the scientific foresters was fundamentally flawed, however, and their efforts to establish a new type of tapping practice failed. By 1880, the government had largely abandoned attempts to regulate wild Indian rubber, though wild sources continued to dominate the supply of global rubber until after 1910.

Trends in Approval Times for Genetically Engineered Crops in the United States and the European Union

Genetically engineered (GE) crops are subject to regulatory oversight to ensure their safety for humans and the environment. Their approval in the European Union (EU) starts with an application in a given Member State followed by a scientific step (risk assessment), and ends with a political decision-making step (risk management); and in the United States (US) it starts with a scientific (field trial) step and ends with a ‘bureaucratic’ decision-making step. We investigated trends for the time taken for these steps and the overall time taken for approving GE crops in the US and the EU (traders in these commodities). Results show that from 1996-2015 the overall time trend for approval in the EU decreased and then flattened off, with an overall mean completion-time of 1,763 days. In the US in 1998 there was a break in the trend of the overall approval time: Initially, from 1988 until 1997 the trend decreased with a mean approval time of 1,321 days; from 1998-2015, the trend almost stagnated with a mean approval time of 2,467 days.

Evaluation of an alternative spectroscopic approach for aflatoxin analysis: Comparative analysis of food and feed samples with UPLC-MS/MS

Increasing research has highlighted the effects of changing climates on the occurrence and prevalence of toxigenic Aspergillus species producing aflatoxins. There is concern of the toxicological effects to human health and animal productivity following acute and chronic exposure that may affect the future ability to provide safe and sufficient food globally. Considerable research has focused on the detection of these toxins, based on the physicochemical and biochemical properties of the aflatoxin compounds, in agricultural products for human and animal consumption. As improvements in food security continue more regulations for acceptable levels of aflatoxins have arisen globally; the most stringent in Europe. These regulations are important for developing countries as aflatoxin occurrence is high significantly effecting international trade and the economy. In developed countries analytical approaches have become highly sophisticated, capable of attaining results with high precision and accuracy, suitable for regulatory laboratories. Regrettably, many countries that are affected by aflatoxin contamination do not have resources for high tech HPLC and MS instrumentation and require more affordable, yet robust equally accurate alternatives that may be used by producers, processors and traders in emerging economies. It is especially important that those companies wishing to exploit the opportunities offered by lucrative but highly regulated markets in the developed world, have access to analytical methods that will ensure that their exports meet their customers quality and safety requirements.

This work evaluates the ToxiMet system as an alternative approach to UPLC–MS/MS for the detection and determination of aflatoxins relative to current European regulatory standards. Four commodities: rice grain, maize cracked and flour, peanut paste and dried distillers grains were analysed for natural aflatoxin contamination. For B1 and total aflatoxins determination the qualitative correlation, above or below the regulatory limit, was good for all commodities with the exception of the dried distillers grain samples for B1 for which no calibration existed. For B1 the quantitative R² correlations were 0.92, 0.92, 0.88 (<250 μg/kg) and 0.7 for rice, maize, peanuts and dried distillers grain samples respectively whereas for total aflatoxins the quantitative correlation was 0.92, 0.94, 0.88 and 0.91. The ToxiMet system could be used as an alternative for aflatoxin analysis for current legislation but some consideration should be given to aflatoxin M1 regulatory levels for these commodities considering the high levels detected in this study especially for maize and peanuts