Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Perturbing the impulse activity of a single identified neuron augments the formation of long-term memory in a molluscan semi-intact preparation /

The aim of this study was to investigate the neural correlates of operant conditioning in a semi-intact preparation of the pond snail, Lymnaea stagnalis. Lymnaea learns, via operant conditioning, to reduce its aerial respiratory behaviour in response to an aversive tactile stimulus to its open pneumostome. This thesis demonstrates the successful conditioning of na'ive semiintact preparations to show learning in the dish. Furthermore, these conditioned preparations show long-term memory that persists for at least 18 hours. As the neurons that generate this behaviour have been previously identified I can, for the first time, monitor neural activity during both learning and long-term memory consolidation in the same preparation. In particular, I record from the respiratory neuron Right Pedal Dorsal 1 (RPeD 1) which is part of the respiratory central pattern generator. In this study, I demonstrate that preventing RPeDl impulse activity between training sessions reduces the number of sessions needed to produce long-term memory in the present semi-intact preparation.