An optimal sequential procedure for a buying-selling problem with independent observations

We consider a buying-selling problem when two stops of a sequence of independent random variables are required. An optimal stopping rule and the value of a game are obtained.

A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

The Seduction of Sarah: travel memoirs and intercultural learning

The paper explores the nexus between intercultural storytelling and intercultural learning. Noting the wide appeal of the travel memoir set in France, it takes as a case study a book that, while positioned within that genre, attempts to shift some predictable patterns: Sarah Turnbull’s best-selling Almost French. Analysis shows that the book in fact participates in a subtle play of genres, whereby the lure of the travel memoir is used to entice readers towards a position where they read the book as a guide to French culture. The particular form of hybridity attempted is, however, a delicate enterprise, as the reception of the book demonstrates, in that the intercultural lessons on offer risk being overshadowed by the expectations readers bring to the genre of the travel memoir. The paper examines the competing seductions operating throughout the text and relates the conditions for taking up the opportunity for intercultural learning to questions of genre. It offers a pedagogical uptake of the textual analysis, thus bridging disciplines in a way that mirrors Turnbull’s bridging of genres