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.

Anomalous magnetic susceptibility values and traces of subsurface microbial activity in carbonate banks on San Salvador Island, Bahamas

Pure limestones beneath the paleosols on San Salvador Island, Bahamas, contain strong positive magnetic susceptibility anomalies, although the iron content is generally very low. These magnetic phenomena differ from those associated with disconformities, which are marked by accumulation of paramagnetic airborne dust deposits with relatively high iron content. The strength and characters of the magnetic response in these subsurface zones correspond to the presence of magnetite, particularly small single-domain magnetite crystals of microbial origin. These crystals are not present elsewhere in the intergranular rock pores or microvugs. They are preferentially concentrated in capillary microborings, which developed concurrently with formation of calcite cements that have soil-related C and O isotope compositions. These magnetic zones occur several meters below the overlying soil horizons. Very thin and long linear microborings may be attributable to cyanobacterial microborers. The single-domain magnetites in these micrometer-size tunnels plugged by calcite appear to result from later occupation of these tiny holes by magnetotactic bacteria. Inorganic origin of the magnetite seems unlikely. Numerous traces that suggest subsurface microbial activity provide evidence that may be used to develop possible scenarios for subsequent biological studies of the precise bacteria involved.

A theory for execution-time derivation in real-time programs

We provide an abstract command language for real-time programs and outline how a partial correctness semantics can be used to compute execution times. The notions of a timed command, refinement of a timed command, the command traversal condition, and the worst-case and best-case execution time of a command are formally introduced and investigated with the help of an underlying weakest liberal precondition semantics. The central result is a theory for the computation of worst-case and best-case execution times from the underlying semantics based on supremum and infimum calculations. The framework is applied to the analysis of a message transmitter program and its implementation. (c) 2005 Elsevier B.V. All rights reserved.

On the execution of collaborative business processes

Management of collaborative business processes that span multiple business entities has emerged as a key requirement for business success. These processes are embedded in sets of rules describing complex message-based interactions between parties such that if a logical expression defined on the set of received messages is satisfied, one or more outgoing messages are dispatched. The execution of these processes presents significant challenges since each contentrich message may contribute towards the evaluation of multiple expressions in different ways and the sequence of message arrival cannot be predicted. These challenges must be overcome in order to develop an efficient execution strategy for collaborative processes in an intensive operating environment with a large number of rules and very high throughput of messages. In this paper, we present a discussion on issues relevant to the evaluation of such expressions and describe a basic query-based method for this purpose, including suggested indexes for improved performance. We conclude by identifying several potential future research directions in this area. © 2010 IEEE. All rights reserved

Implementation of a triple modular redundant FPGA based safety critical system for reliable software execution

This paper describes the implementation of a TMR (Triple Modular Redundant) microprocessor system on a FPGA. The system exhibits true redundancy in that three instances of the same processor system (both software and hardware) are executed in parallel. The described system uses software to control external peripherals and a voter is used to output correct results. An error indication is asserted whenever two of the three outputs match or all three outputs disagree. The software has been implemented to conform to a particular safety critical coding guideline/standard which is popular in industry. The system was verified by injecting various faults into it.