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.

Evolutionary conservation and murine embryonic expression of the gene encoding the SERTA domain-containing protein CDCA4 (HEPP)

Cdca4 (Hepp) was originally identified as a gene expressed specifically in hematopoietic progenitor cells as opposed to hematopoietic stem cells. More recently, it has been shown to stimulate p53 activity and also lead to p53-independent growth inhibition when overexpressed. We independently isolated the murine Cdca4 gene in a genomic expression-based screen for genes involved in mammalian craniofacial development, and show that Cdca4 is expressed in a spatio-temporally restricted pattern during mouse embryogenesis. In addition to expression in the facial primordia including the pharyngeal arches, Cdca4 is expressed in the developing limb buds, brain, spinal cord, dorsal root ganglia, teeth, eye and hair follicles. Along with a small number of proteins from a range of species, the predicted CDCA4 protein contains a novel SERTA motif in addition to cyclin A-binding and PHD bromodomain-binding regions of homology. While the function of the SERTA domain is unknown, proteins containing this domain have previously been linked to cell cycle progression and chromatin remodelling. Using in silico database mining we have extended the number of evolutionarily conserved orthologues of known SERTA domain proteins and identified an uncharacterised member of the SERTA domain family, SERTAD4, with orthologues to date in human, mouse, rat, dog, cow, Tetraodon and chicken. Immunolocalisation of transiently and stably transfected epitope-tagged CDCA4 protein in mammalian cells suggests that it resides predominantly in the nucleus throughout all stages of the cell cycle. (c) 2006 Elsevier B.V. All rights reserved.

Identification and analysis of novel genes expressed in the mouse embryonic facial primordia

Craniofacial anomalies are a common feature of human congenital dysmorphology syndromes, suggesting that genes expressed in the developing face are likely to play a wider role in embryonic development. To facilitate the identification of genes involved in embryogenesis, we previously constructed an enriched cDNA library by subtracting adult mouse liver cDNA from that of embryonic day (E)10.5 mouse pharyngeal arch cDNA. From this library, 273 unique clones were sequenced and known proteins binned into functional categories in order to assess enrichment of the library (1). We have now selected 31 novel and poorly characterised genes from this library and present bioinformatic analysis to predict proteins encoded by these genes, and to detect evolutionary conservation. Of these genes 61% (19/31) showed restricted expression in the developing embryo, and a subset of these was chosen for further in silico characterisation as well as experimental determination of subcellular localisation based on transient transfection of predicted full-length coding sequences into mammalian cell lines. Where a human orthologue of these genes was detected, chromosomal localisation was determined relative to known loci for human congenital disease.