Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

Be careful how you ask! Using focus groups and nominal group technique to explore the barriers to learning

Schools have a legal duty to make reasonable adjustments for disabled pupils who experience barriers to learning. Inclusive approaches to data collection ensure that the needs of all children who are struggling are not overlooked. However, it is important that the methods promote sustained reflection on the part of all children, do not inadvertently accentuate differences between pupils, and do not allow individual needs to go unrecognized. This paper examines more closely the processes involved in using Nominal Group Technique to collect the views of children with and without a disability on the difficulties experienced in school. Data were collected on the process as well as the outcomes of using this technique to examine how pupil views are transformed from the individual to the collective, a process that involves making the private, public. Contrasts are drawn with questionnaire data, another method of data collection favoured by teachers. Although more time-efficient this can produce unclear and cursory responses. The views that surface from pupils need also to be seen within the context of the ways in which schools customize the data collection process and the ways in which the format and organization of the activity impact on the responses and responsiveness of the pupils.

Realizability of Point Processes

There are various situations in which it is natural to ask whether a given collection of k functions, ρ j (r 1,…,r j ), j=1,…,k, defined on a set X, are the first k correlation functions of a point process on X. Here we describe some necessary and sufficient conditions on the ρ j ’s for this to be true. Our primary examples are X=ℝ d , X=ℤ d , and X an arbitrary finite set. In particular, we extend a result by Ambartzumian and Sukiasian showing realizability at sufficiently small densities ρ 1(r). Typically if any realizing process exists there will be many (even an uncountable number); in this case we prove, when X is a finite set, the existence of a realizing Gibbs measure with k body potentials which maximizes the entropy among all realizing measures. We also investigate in detail a simple example in which a uniform density ρ and translation invariant ρ 2 are specified on ℤ; there is a gap between our best upper bound on possible values of ρ and the largest ρ for which realizability can be established.

Dual citizenship or dual identity? Does 'transnationalism' supplant 'nationalism' among returning Trinidadians?

In this article we focus on the dual identities of relatively young Trinidadians who have decided to return to the island of their birth, or of their parents, while still in their thirties and forties. Highly-educated professional transnational migrants mostly make tip our sample of 36; 26 possess dual citizenship. We focus on our informants' narratives about their transnational experiences, self-appraisals of their dual identities and how they value dual citizenship. More generally, we ask does transnationalism supplant nationalism among our returning informants? Unsurprisingly, the diverse responses we document do not support the commonly held explanatory relationship between return adaptations, 'national belonging' and the expected dominance of 'transnational belonging'. Family, relations intervene significantly, both to encourage transnationalism and to strengthen nationalism. Feelings of notional belonging often accompany transnationalism. Notably, we view dual citizenship strategically and pragmatically as advantageous to the continuation of transnational practices.

Quantifying uncertainty in critical loads: (A) literature review

Critical loads are the basis for policies controlling emissions of acidic substances in Europe. The implementation of these policies involves large expenditures, and it is reasonable for policymakers to ask what degree of certainty can be attached to the underlying critical load and exceedance estimates. This paper is a literature review of studies which attempt to estimate the uncertainty attached to critical loads. Critical load models and uncertainty analysis are briefly outlined. Most studies have used Monte Carlo analysis of some form to investigate the propagation of uncertainties in the definition of the input parameters through to uncertainties in critical loads. Though the input parameters are often poorly known, the critical load uncertainties are typically surprisingly small because of a "compensation of errors" mechanism. These results depend on the quality of the uncertainty estimates of the input parameters, and a "pedigree" classification for these is proposed. Sensitivity analysis shows that some input parameters are more important in influencing critical load uncertainty than others, but there have not been enough studies to form a general picture. Methods used for dealing with spatial variation are briefly discussed. Application of alternative models to the same site or modifications of existing models can lead to widely differing critical loads, indicating that research into the underlying science needs to continue.

Mediating between hearer's and speaker's views in the generation of adaptive explanations

In this article, we examine the case of a system that cooperates with a “direct” user to plan an activity that some “indirect” user, not interacting with the system, should perform. The specific application we consider is the prescription of drugs. In this case, the direct user is the prescriber and the indirect user is the person who is responsible for performing the therapy. Relevant characteristics of the two users are represented in two user models. Explanation strategies are represented in planning operators whose preconditions encode the cognitive state of the indirect user; this allows tailoring the message to the indirect user's characteristics. Expansion of optional subgoals and selection among candidate operators is made by applying decision criteria represented as metarules, that negotiate between direct and indirect users' views also taking into account the context where explanation is provided. After the message has been generated, the direct user may ask to add or remove some items, or change the message style. The system defends the indirect user's needs as far as possible by mentioning the rationale behind the generated message. If needed, the plan is repaired and the direct user model is revised accordingly, so that the system learns progressively to generate messages suited to the preferences of people with whom it interacts.

What do patients want to know? An empirical approach to explanation generation and validation

This article describes an empirical, user-centred approach to explanation design. It reports three studies that investigate what patients want to know when they have been prescribed medication. The question is asked in the context of the development of a drug prescription system called OPADE. The system is aimed primarily at improving the prescribing behaviour of physicians, but will also produce written explanations for indirect users such as patients. In the first study, a large number of people were presented with a scenario about a visit to the doctor, and were asked to list the questions that they would like to ask the doctor about the prescription. On the basis of the results of the study, a categorization of question types was developed in terms of how frequently particular questions were asked. In the second and third studies a number of different explanations were generated in accordance with this categorization, and a new sample of people were presented with another scenario and were asked to rate the explanations on a number of dimensions. The results showed significant differences between the different explanations. People preferred explanations that included items corresponding to frequently asked questions in study 1. For an explanation to be considered useful, it had to include information about side effects, what the medication does, and any lifestyle changes involved. The implications of the results of the three studies are discussed in terms of the development of OPADE's explanation facility.

Management of plant communities on set-aside land and its effects on earthworm communities

Plant communities of set-aside agricultural land in a European project were managed in order to enhance plant succession towards weed-resistant, mid-successional grassland. Here, we ask if the management of a plant community affects the earthworm community. Field experiments were established in four countries, the Netherlands, Sweden, the UK, and the Czech Republic. High (15 plant species) and low diversity (four plant species) seed mixtures were sown as management practice, with natural colonization as control treatment in a randomized block design. The response of the earthworrns to the management was studied after three summers since establishment of the sites. Samples were also taken from plots with continued agricultural practices included in the experimental design and from a site with a late successional plant community representing the target plant community. The numbers and biomass of individuals were higher in the set-aside plots than in the agricultural treatment in two countries out of four. The numbers of individuals at one site (The Netherlands) was higher in the naturally colonized plots than in the sowing treatments, otherwise there were no differences between the treatments. Species diversity was lower in the agricultural plots in one country. The species composition had changed from the initial community of the agricultural field, but was still different from a late successional target community. The worm biomass was positively related to legume biomass in Sweden and to grass biomass in the UK. (C) 2005 Elsevier SAS. All rights reserved.

Making ecological science policy relevant: issues of scale and disciplinary integration

In this paper, we ask why so much ecological scientific research does not have a greater policy impact in the UK. We argue that there are two potentially important and related reasons for this failing. First, much current ecological science is not being conducted at a scale that is readily meaningful to policy-makers. Second, to make much of this research policy-relevant requires collaborative interdisciplinary research between ecologists and social scientists. However, the challenge of undertaking useful interdisciplinary research only re-emphasises the problems of scale: ecologists and social scientists traditionally frame their research questions at different scales and consider different facets of natural resource management, setting different objectives and using different language. We argue that if applied ecological research is to have greater impact in informing environmental policy, much greater attention needs to be given to the scale of the research efforts as well as to the interaction with social scientists. Such an approach requires an adjustment in existing research and funding infrastructures.

Forum - The Stern review: implications for construction

The SternReview(2006) on the economics of climate change has changed the ground onwhich arguments over climate change are fought. In making the economic case for mitigation over adaptation, Stern has sought to undermine one of the primary arguments against decisive early action - that the immediate costs outweigh the long-term benefits. While this argument is made at the global level, it is appropriate to ask what implications Stern's arguments might have at the construction sectoral level. The implications of the Stern Review for construction can be divided into three main questions. How construction would be different if Stern's economics were applied? How would construction companies act differently if Stern's ethics were adopted? How will the political response to the Stern Review change construction's policy and regulatory landscape? The impact of the Review has shifted the debate from the natural science community into the public policy domain and onto an economic rationale. There seems to have been a pronounced shift away from the debate over the science and towards the economics of mitigation versus adaptation. In this context, the academic debate over Stern's methods is irrelevant - it is his findings, authority and use of the hegemonic power of economic argument that carry the day. This is likely to be Stern's true legacy, and through this will come his greatest impact on construction.

Electronic voting systems in undergraduate teaching

One of the major differences undergraduates experience during the transition to university is the style of teaching. In schools and colleges most students study key stage 5 subjects in relatively small informal groups where teacher–pupil interaction is encouraged and two-way feedback occurs through question and answer type delivery. On starting in HE students are amazed by the sizes of the classes. For even a relatively small chemistry department with an intake of 60-70 students, biologists, pharmacists, and other first year undergraduates requiring chemistry can boost numbers in the lecture hall to around 200 or higher. In many universities class sizes of 400 are not unusual for first year groups where efficiency is crucial. Clearly the personalised classroom-style delivery is not practical and it is a brave student who shows his ignorance by venturing to ask a question in front of such an audience. In these environments learning can be a very passive process, the lecture acts as a vehicle for the conveyance of information and our students are expected to reinforce their understanding by ‘self-study’, a term, the meaning of which, many struggle to understand. The use of electronic voting systems (EVS) in such situations can vastly change the students’ learning experience from a passive to a highly interactive process. This principle has already been demonstrated in Physics, most notably in the work of Bates and colleagues at Edinburgh.1 These small hand-held devices, similar to those which have become familiar through programmes such as ‘Who Wants to be a Millionaire’ can be used to provide instant feedback to students and teachers alike. Advances in technology now allow them to be used in a range of more sophisticated settings and comprehensive guides on use have been developed for even the most techno-phobic staff.

The role of spectral- and temporal-envelope room-acoustic cues in auditory selective attention

Listeners can attend to one of several simultaneous messages by tracking one speaker’s voice characteristics. Using differences in the location of sounds in a room, we ask how well cues arising from spatial position compete with these characteristics. Listeners decided which of two simultaneous target words belonged in an attended “context” phrase when it was played simultaneously with a different “distracter” context. Talker difference was in competition with position difference, so the response indicates which cue‐type the listener was tracking. Spatial position was found to override talker difference in dichotic conditions when the talkers are similar (male). The salience of cues associated with differences in sounds, bearings decreased with distance between listener and sources. These cues are more effective binaurally. However, there appear to be other cues that increase in salience with distance between sounds. This increase is more prominent in diotic conditions, indicating that these cues are largely monaural. Distances between spectra calculated using a gammatone filterbank (with ERB‐spaced CFs) of the room’s impulse responses at different locations were computed, and comparison with listeners’ responses suggested some slight monaural loudness cues, but also monaural “timbre” cues arising from the temporal‐ and spectral‐envelope differences in the speech from different locations.