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.

Noise trader risk and the welfare effects of privatization

Excessive volatility of asset prices like that generated in the 'noise trader' model of De Long et al. is one factor that plausibly might contribute to an explanation of the equity premium. We extend the De Long et al. model to allow for privatization of publicly-owned assets and assess the welfare effects of such privatization in the presence of excess volatility arising from noise traders' mistaken beliefs.

System for foreign exchange trading using genetic algorithms and reinforcement learning

Foreign exchange trading has emerged recently as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process will be very helpful. A major issue for traders in the deregulated Foreign Exchange Market is when to sell and when to buy a particular currency in order to maximize profit. This paper presents novel trading strategies based on the machine learning methods of genetic algorithms and reinforcement learning.

'Seeing the market': Technical analysis in trading styles

Whilst financial markets are not strangers to academic and professional scrutiny, they still remain epistemologically contested. For individuals trying to profit by trading shares, this uncertainty is manifested in the varying trading styles which they are able to utilize. This paper examines one trading style commonly used by non-professional share traders-technical analysis. Using research data obtained from individuals who identify themselves as technical analysts, this paper seeks to explain the ways in which individuals understand and use the technique in an attempt to make trading profits. In particular, four distinct subcategories or ideal types of technical analysis can be identified, each providing an alternative perceptual form for participating in financial markets. Each of these types relies upon a particular method for seeing the market, these visualization techniques highlighting the existence of forms of professional vision (as originally identified by Goodwin (1994)) in the way the trading styles are comprehended and acted upon.

Husbandry and trade of indigenous chickens in Myanmar - results of a participatory rural appraisal in the Yangon and the Mandalay divisions

There is a variety of professions working with village chickens in developing countries, including farmers, veterinarians and chicken traders. People from all these occupations were involved in a participatory rural appraisal to investigate husbandry practices and trade of village chickens in Myanmar. Data were collected in two climatically different regions of the country, in the Yangon and in the Mandalay divisions. The breeding and training of fighting cocks was practised only in the Mandalay division, with well-trained birds sold for very high prices. Apart from this, chickens were raised in both regions mainly for small disposable income and were generally sold when money was needed, in particular during religious festivals. Chicken traders on bicycles, often called 'middle men', usually purchase birds from farmers in about 10 villages per day. Several 'middle men' supply birds to wealthier chicken merchants, who sell these birds at larger chicken markets. There is in general limited knowledge among farmers about the prevention of Newcastle disease via vaccination. Commercial indigenous chicken production is practised in Myanmar, but family poultry farming dominates indigenous chicken production in the country.

Compositional analysis of teas from Australian supermarkets

Caffeine, total amino acids, water extract and moisture content are considered to be quality indicators for leaf teas and teabags. These analyses were examined in 20 leaf teas and 36 teabags sampled from Australian supermarkets. About 70% of the analysed samples showed a moisture content higher than Vie maximum accepted level, 6.5%, for tea storage and marketing by the tea industries and traders. Water appropriate extract of 15 samples out of 36 teabags was lower than that of the teas without teabags, which indicates that the quality of the paper used for teabags needs to be evaluated. Moreover, one of the black leaf tea samples was found to have a water extract below the lower limit of international standards. Four green and black teas of the same brand, claimed to contain less than 3% caffeine, were found to have 3-4%, the same as the other samples analysed in this study. The mean total contents of amino acids were 2.50% and 1.76% in black leaf teas and the teabags, respectively, whereas they were 3.44% and 2.28% in green leaf teas and the teabags, respectively. Furthermore, the weights of 28 teabags out of 36 samples were found to lie outside of the proposed +/- 2% variation accepted by the tea industries and traders, and 4 samples showed even larger variation, 10% being out of the proposed weights. This investigation also showed that the solubility of caffeine and water extract was affected by the permeability of teabags, whereas total amino acids were very variable. These results suggest that an efficient and practical quality control system for both imported and Australian-made teas in the Australian supermarkets should be developed, implemented and enforced. Chemical analysis should be a part of the system for establishing an objective assessment for the quality control. (c) 2004 Elsevier Ltd. All rights reserved.