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.

The development of automated methods for the determination of trace concentrations of carbomate pesticides in water using solid sorbent pre-concentration methods and high performance liquid chromatography /

Several automated reversed-phase HPLC methods have been developed to determine trace concentrations of carbamate pesticides (which are of concern in Ontario environmental samples) in water by utilizing two solid sorbent extraction techniques. One of the methods is known as on-line pre-concentration'. This technique involves passing 100 milliliters of sample water through a 3 cm pre-column, packed with 5 micron ODS sorbent, at flow rates varying from 5-10 mUmin. By the use of a valve apparatus, the HPLC system is then switched to a gradient mobile phase program consisting of acetonitrile and water. The analytes, Propoxur, Carbofuran, Carbaryl, Propham, Captan, Chloropropham, Barban, and Butylate, which are pre-concentrated on the pre-column, are eluted and separated on a 25 cm C-8 analytical column and determined by UV absorption at 220 nm. The total analytical time is 60 minutes, and the pre-column can be used repeatedly for the analysis of as many as thirty samples. The method is highly sensitive as 100 percent of the analytes present in the sample can be injected into the HPLC. No breakthrough of any of the analytes was observed and the minimum detectable concentrations range from 10 to 480 ng/L. The developed method is totally automated for the analysis of one sample. When the above mobile phase is modified with a buffer solution, Aminocarb, Benomyl, and its degradation product, MBC, can also be detected along with the above pesticides with baseline resolution for all of the analytes. The method can also be easily modified to determine Benomyl and MBC both as solute and as particulate matter. By using a commercially available solid phase extraction cartridge, in lieu of a pre-column, for the extraction and concentration of analytes, a completely automated method has been developed with the aid of the Waters Millilab Workstation. Sample water is loaded at 10 mL/min through a cartridge and the concentrated analytes are eluted from the sorbent with acetonitrile. The resulting eluate is blown-down under nitrogen, made up to volume with water, and injected into the HPLC. The total analytical time is 90 minutes. Fifty percent of the analytes present in the sample can be injected into the HPLC, and recoveries for the above eight pesticides ranged from 84 to 93 percent. The minimum detectable concentrations range from 20 to 960 ng/L. The developed method is totally automated for the analysis of up to thirty consecutive samples. The method has proven to be applicable to both purer water samples as well as untreated lake water samples.

Effects of sample solvent composition and injection volume on chromatographic peak profiles of methyl w- benzimidazolecarbamate and 3-butyl1-2,4-dioxo[1,2-a]-s- triazinobenzimidazole in RP-HPLC

The effects of sample solvent composition and the injection volume, on the chromatographic peak profiles of two carbamate derivatives, methyl 2-benzimidazolecarbamate (MBC) and 3-butyl-2,4-dioxo[1,2-a]-s-triazinobenzimidazole (STB), were studied using reverse phase high performance liquid chromatograph. The study examined the effects of acetonitrile percentage in the sample solvent from 5 to 50%, effects of methanol percentage from 5 to 50%, effects of pH increase from 4.42 to 9.10, and effect of increasing buffer concentration from ° to 0.12M. The effects were studied at constant and increasing injection mass and at four injection volumes of 10, 50, 100 and 200 uL. The study demonstrated that the amount and the type of the organic solvents, the pH, and the buffer strength of the sample solution can have a pronounced effect on the peak heights, peak widths, and retention times of compounds analysed. MBC, which is capable of intramolecular hydrogen bonding and has no tendency to ionize, showed a predictable increase .in band broadening and a decrease in retention times at higher eluting strengths of the sample solvent. STB, which has a tendency to ionize or to strongly interact with the sample solvent, was influenced in various ways by the changes in ths sample solvent composition. The sample solvent effects became more pronounced as the injection volume increased and as the percentage of organic solvent in the sample solution became greater. The peak height increases for STB at increasing buffer concentrations became much more pronounced at higher analyte concentrations. It was shown that the widely accepted procedure of dissolving samples in the mobile phase does not yield the most efficient chromatograms. For that reason samples should be dissolved in the solutions with higher aqueous content than that of the mobile phase whenever possible. The results strongly recommend that all the samples and standards, regardless whether the standards are external or internal, be analysed at a constant sample composition and a constant injection volume.