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.

Unlocking pathology archives for molecular genetic studies: a reliable method to generate probes for chromogenic and fluorescent in situ hybridization

Chromogenic (CISH) and fluorescent ( FISH) in situ hybridization have emerged as reliable techniques to identify amplifications and chromosomal translocations. CISH provides a spatial distribution of gene copy number changes in tumour tissue and allows a direct correlation between copy number changes and the morphological features of neoplastic cells. However, the limited number of commercially available gene probes has hindered the use of this technique. We have devised a protocol to generate probes for CISH that can be applied to formalin-fixed, paraffin-embedded tissue sections (FFPETS). Bacterial artificial chromosomes ( BACs) containing fragments of human DNA which map to specific genomic regions of interest are amplified with phi 29 polymerase and random primer labelled with biotin. The genomic location of these can be readily confirmed by BAC end pair sequencing and FISH mapping on normal lymphocyte metaphase spreads. To demonstrate the reliability of the probes generated with this protocol, four strategies were employed: (i) probes mapping to cyclin D1 (CCND1) were generated and their performance was compared with that of a commercially available probe for the same gene in a series of 10 FFPETS of breast cancer samples of which five harboured CCND1 amplification; (ii) probes targeting cyclin-dependent kinase 4 were used to validate an amplification identified by microarray-based comparative genomic hybridization (aCGH) in a pleomorphic adenoma; (iii) probes targeting fibroblast growth factor receptor 1 and CCND1 were used to validate amplifications mapping to these regions, as defined by aCGH, in an invasive lobular breast carcinoma with FISH and CISH; and (iv) gene-specific probes for ETV6 and NTRK3 were used to demonstrate the presence of t(12; 15)(p12; q25) translocation in a case of breast secretory carcinoma with dual colour FISH. In summary, this protocol enables the generation of probes mapping to any gene of interest that can be applied to FFPETS, allowing correlation of morphological features with gene copy number.

Top-down influences on lexical selection during spoken word production: A 4T fMRI investigation of refractory effects in picture naming

Spoken word production is assumed to involve stages of processing in which activation spreads through layers of units comprising lexical-conceptual knowledge and their corresponding phonological word forms. Using high-field (4T) functional magnetic resonance imagine (fMRI), we assessed whether the relationship between these stages is strictly serial or involves cascaded-interactive processing, and whether central (decision/control) processing mechanisms are involved in lexical selection. Participants performed the competitor priming paradigm in which distractor words, named from a definition and semantically related to a subsequently presented target picture, slow picture-naming latency compared to that with unrelated words. The paradigm intersperses two trials between the definition and the picture to be named, temporally separating activation in the word perception and production networks. Priming semantic competitors of target picture names significantly increased activation in the left posterior temporal cortex, and to a lesser extent the left middle temporal cortex, consistent with the predictions of cascaded-interactive models of lexical access. In addition, extensive activation was detected in the anterior cingulate and pars orbitalis of the inferior frontal gyrus. The findings indicate that lexical selection during competitor priming is biased by top-down mechanisms to reverse associations between primed distractor words and target pictures to select words that meet the current goal of speech.

Supermodularity and risk aversion

In this paper, we consider the relationship between supermodularity and risk aversion. We show that supermodularity of the certainty equivalent implies that the certainty equivalent of any random variable is less than its mean. We also derive conditions under which supermodularity of the certainty equivalent is equivalent to aversion to mean-preserving spreads in the sense of Rothschild and Stiglitz. (c) 2006 Elsevier B.V. All rights reserved.