The impact of portfolio diversification on trading rule profits:some evidence for UK share portfolios

This paper demonstrates how the autocorrelation structure of UK portfolio returns is linked to dynamic interrelationships among the component securities of that portfolio. Moreover, portfolio return autocorrelation is shown to be an increasing function of the number of securities in the portfolio. Since the security interrelationships seemed to be more a product of their history of non-synchronous trading than of systematic industry-related phenomena, it should not be possible to exploit the high levels of return persistence using trading rules. We show that rules designed to exploit this portfolio autocorrelation structure do not produce economic profits.

An empirical investigation of the effect of rights issue announcements on share returns and the determinants of abnormal returns on the Kuala Lumpur Stock Exchange

This thesis examines the effect of rights issue announcements on stock prices by companies listed on the Kuala Lumpur Stock Exchange (KLSE) between 1987 to 1996. The emphasis is to report whether the KLSE is semi strongly efficient with respect to the announcement of rights issues and to check whether the implications of corporate finance theories on the effect of an event can be supported in the context of an emerging market. Once the effect is established, potential determinants of abnormal returns identified by previous empirical work and corporate financial theory are analysed. By examining 70 companies making clean rights issue announcements, this thesis will hopefully shed light on some important issues in long term corporate financing. Event study analysis is used to check on the efficiency of the Malaysian stock market; while cross-sectional regression analysis is executed to identify possible explanators of the rights issue announcements' effect. To ensure the results presented are not contaminated, econometric and statistical issues raised in both analyses have been taken into account. Given the small amount of empirical research conducted in this part of the world, the results of this study will hopefully be of use to investors, security analysts, corporate financial managements, regulators and policy makers as well as those who are interested in capital market based research of an emerging market. It is found that the Malaysian stock market is not semi strongly efficient since there exists a persistent non-zero abnormal return. This finding is not consistent with the hypothesis that security returns adjust rapidly to reflect new information. It may be possible that the result is influenced by the sample, consisting mainly of below average size companies which tend to be thinly traded. Nevertheless, these issues have been addressed. Another important issue which has emerged from the study is that there is some evidence to suggest that insider trading activity existed in this market. In addition to these findings, when the rights issue announcements' effect is compared to the implications of corporate finance theories in predicting the sign of abnormal returns, the signalling model, asymmetric information model, perfect substitution hypothesis and Scholes' information hypothesis cannot be supported.

Process orientation and information technology:customer engagement at Xerox (UK) Ltd

Xerox Customer Engagement activity is informed by the "Go To Market" strategy, and "Intelligent Coverage" sales philosophy. The realisation of this philosophy necessitates a sophisticated level of Market Understanding, and the effective integration of the direct channels of Customer Engagement. Sophisticated Market Understanding requires the mapping and coding of the entire UK market at the DMU (Decision Making Unit) level, which in turn enables the creation of tailored coverage prescriptions. Effective Channel Integration is made possible by the organisation of Customer Engagement work according to a single, process defined structure: the Selling Process. Organising by process facilitates the discipline of Task Substitution, which leads logically to creation of Hybrid Selling models. Productive Customer Engagement requires Selling Process specialisation by industry sector, customer segment and product group. The research shows that Xerox's Market Database (MDB) plays a central role in delivering the Go To Market strategic aims. It is a tool for knowledge based selling, enables productive SFA (Sales Force Automation) and, in sum, is critical to the efficient and effective deployment of Customer Engagement resources. Intelligent Coverage is not possible without the MDB. Analysis of the case evidence has resulted in the definition of 60 idiographic statements. These statements are about how Xerox organise and manage three direct channels of Customer Engagement: Face to Face, Telebusiness and Ebusiness. Xerox is shown to employ a process-oriented, IT-enabled, holistic approach to Customer Engagement productivity. The significance of the research is that it represents a detailed (perhaps unequalled) level of rich description of the interplay between IT and a holistic, process-oriented management philosophy.

Gender and subject in higher education

This thesis is concerned with the issue of gender inequality in higher education. It examines the relationship between gender and subject specialisation, looking in particular at the reasons for the predominance, at undergraduate level, of men in the physical sciences, and of women in the humanities. It investigates ideas of `masculinity' and `femininity' and how these relate to constructions of `science' and `arts'. The thesis argues that students choose which subject to study on the basis of certain qualities these subjects are seen to hold, and that these qualities have close connections with beliefs about `masculinity' and `femininity'. It examines this through an interview study of male and female students on six higher education courses: two university courses of physics, two university courses of English, a polytechnic course in communications and a polytechnic course in physical science. The interview study demonstrates that the science subjects are perceived by science students as more certain, more useful and more important than the humanities, and emphasise the value of their degree in gaining a well-paid and important job. Female science students, however, experience conflict between being `a good scientist' and being `feminine'. English and communications students emphasise the breadth, uncertainty and individuality of their subjects, and find science restrictive and narrow. They make little link between their degree and their future career. Men, however, feel no conflict between their identity as men and their chosen subject. It is argued that there is a close link between the construction of masculinity and the construction of physical science, but that English and communications are more ambivalent: in some senses `masculine', in some `feminine'. Men are advantaged in these subjects because of their greater visibility and assertiveness. The thesis concludes that the division between `science' and `arts' reinforces ideas of masculinity and femininity, and argues that female `failure' in education is in part the result of higher education's inability to transcend that division.

Magnetoencephalography:technical improvements in image co-registration and studies of visual cortical oscillations

The work presented in this thesis is divided into two distinct sections. In the first, the functional neuroimaging technique of Magnetoencephalography (MEG) is described and a new technique is introduced for accurate combination of MEG and MRI co-ordinate systems. In the second part of this thesis, MEG and the analysis technique of SAM are used to investigate responses of the visual system in the context of functional specialisation within the visual cortex. In chapter one, the sources of MEG signals are described, followed by a brief description of the necessary instrumentation for accurate MEG recordings. This chapter is concluded by introducing the forward and inverse problems of MEG, techniques to solve the inverse problem, and a comparison of MEG with other neuroimaging techniques. Chapter two provides an important contribution to the field of research with MEG. Firstly, it is described how MEG and MRI co-ordinate systems are combined for localisation and visualisation of activated brain regions. A previously used co-registration methods is then described, and a new technique is introduced. In a series of experiments, it is demonstrated that using fixed fiducial points provides a considerable improvement in the accuracy and reliability of co-registration. Chapter three introduces the visual system starting from the retina and ending with the higher visual rates. The functions of the magnocellular and the parvocellular pathways are described and it is shown how the parallel visual pathways remain segregated throughout the visual system. The structural and functional organisation of the visual cortex is then described. Chapter four presents strong evidence in favour of the link between conscious experience and synchronised brain activity. The spatiotemporal responses of the visual cortex are measured in response to specific gratings. It is shown that stimuli that induce visual discomfort and visual illusions share their physical properties with those that induce highly synchronised gamma frequency oscillations in the primary visual cortex. Finally chapter five is concerned with localization of colour in the visual cortex. In this first ever use of Synthetic Aperture Magnetometry to investigate colour processing in the visual cortex, it is shown that in response to isoluminant chromatic gratings, the highest magnitude of cortical activity arise from area V2.

Cortical activity during rotational and linear transformations

Neuroimaging studies of cortical activation during image transformation tasks have shown that mental rotation may rely on similar brain regions as those underlying visual perceptual mechanisms. The V5 complex, which is specialised for visual motion, is one region that has been implicated. We used functional magnetic resonance imaging (fMRI) to investigate rotational and linear transformation of stimuli. Areas of significant brain activation were identified for each of the primary mental transformation tasks in contrast to its own perceptual reference task which was cognitively matched in all respects except for the variable of interest. Analysis of group data for perception of rotational and linear motion showed activation in areas corresponding to V5 as defined in earlier studies. Both rotational and linear mental transformations activated Brodman Area (BA) 19 but did not activate V5. An area within the inferior temporal gyrus, representing an inferior satellite area of V5, was activated by both the rotational perception and rotational transformation tasks, but showed no activation in response to linear motion perception or transformation. The findings demonstrate the extent to which neural substrates for image transformation and perception overlap and are distinct as well as revealing functional specialisation within perception and transformation processing systems.

Agent Based Models of Competition and Collaboration

Swarm intelligence is a popular paradigm for algorithm design. Frequently drawing inspiration from natural systems, it assigns simple rules to a set of agents with the aim that, through local interactions, they collectively solve some global problem. Current variants of a popular swarm based optimization algorithm, particle swarm optimization (PSO), are investigated with a focus on premature convergence. A novel variant, dispersive PSO, is proposed to address this problem and is shown to lead to increased robustness and performance compared to current PSO algorithms. A nature inspired decentralised multi-agent algorithm is proposed to solve a constrained problem of distributed task allocation. Agents must collect and process the mail batches, without global knowledge of their environment or communication between agents. New rules for specialisation are proposed and are shown to exhibit improved eciency and exibility compared to existing ones. These new rules are compared with a market based approach to agent control. The eciency (average number of tasks performed), the exibility (ability to react to changes in the environment), and the sensitivity to load (ability to cope with differing demands) are investigated in both static and dynamic environments. A hybrid algorithm combining both approaches, is shown to exhibit improved eciency and robustness. Evolutionary algorithms are employed, both to optimize parameters and to allow the various rules to evolve and compete. We also observe extinction and speciation. In order to interpret algorithm performance we analyse the causes of eciency loss, derive theoretical upper bounds for the eciency, as well as a complete theoretical description of a non-trivial case, and compare these with the experimental results. Motivated by this work we introduce agent "memory" (the possibility for agents to develop preferences for certain cities) and show that not only does it lead to emergent cooperation between agents, but also to a signicant increase in efficiency.

Income and poverty in a developing economy

We present a stochastic agent-based model for the distribution of personal incomes in a developing economy. We start with the assumption that incomes are determined both by individual labour and by stochastic effects of trading and investment. The income from personal effort alone is distributed about a mean, while the income from trade, which may be positive or negative, is proportional to the trader's income. These assumptions lead to a Langevin model with multiplicative noise, from which we derive a Fokker-Planck (FP) equation for the income probability density function (IPDF) and its variation in time. We find that high earners have a power law income distribution while the low-income groups have a Levy IPDF. Comparing our analysis with the Indian survey data (obtained from the world bank website: http://go.worldbank.org/SWGZB45DN0) taken over many years we obtain a near-perfect data collapse onto our model's equilibrium IPDF. Using survey data to relate the IPDF to actual food consumption we define a poverty index (Sen A. K., Econometrica., 44 (1976) 219; Kakwani N. C., Econometrica, 48 (1980) 437), which is consistent with traditional indices, but independent of an arbitrarily chosen "poverty line" and therefore less susceptible to manipulation. Copyright © EPLA, 2010.

Reinsurance trading in Lloyd’s of London:balancing conflicting-yet-complementary logics in practice

Drawing on a year-long ethnographic study of reinsurance trading in Lloyd’s of London, this paper makes three contributions to current discussions of institutional complexity. First, we shift focus from purposeful organizational responses to institutional complexity to the everyday practices by which individuals collectively address competing demands on their work. Based on our findings, we develop a model of how individuals can balance conflicting institutional demands through a set of four interrelated practices, labeled segmenting, switching, bridging, and demarcating. Second, moving beyond the dominant focus on contradiction between logics, we show how these practices comprise a system of conflicting-yet-complementary logics, through which actors are able to both work within contradictions, whilst also exploiting the benefits of interdependent logics. Third, in contrast to most studies of newly formed hybrids and/or novel complexity, our focus on a long-standing context of institutional complexity, shows how balancing logics can become a matter of settled complexity, enacted routinely within everyday practice.

Impact of derivatives trading on emerging stock markets:some evidence from India

It is generally accepted that the introduction of financial derivatives that facilitate hedging is an important step in the development of stock markets. However, financial derivatives can potentially increase volatility in the underlying cash market, which might be detrimental to the development of the stock market itself. Using data from India, we examine one possible route through which derivatives trading can increase cash market volatility: expiration day effect. Our results indicate that expiration of equity derivatives contracts does not have any effect on the intra-day volatility of the market index, and it reduces the volatility of inter-day returns to the index.

Agent-orientated auction mechanism and strategy design

Agent-based technology is playing an increasingly important role in today’s economy. Usually a multi-agent system is needed to model an economic system such as a market system, in which heterogeneous trading agents interact with each other autonomously. Two questions often need to be answered regarding such systems: 1) How to design an interacting mechanism that facilitates efficient resource allocation among usually self-interested trading agents? 2) How to design an effective strategy in some specific market mechanisms for an agent to maximise its economic returns? For automated market systems, auction is the most popular mechanism to solve resource allocation problems among their participants. However, auction comes in hundreds of different formats, in which some are better than others in terms of not only the allocative efficiency but also other properties e.g., whether it generates high revenue for the auctioneer, whether it induces stable behaviour of the bidders. In addition, different strategies result in very different performance under the same auction rules. With this background, we are inevitably intrigued to investigate auction mechanism and strategy designs for agent-based economics. The international Trading Agent Competition (TAC) Ad Auction (AA) competition provides a very useful platform to develop and test agent strategies in Generalised Second Price auction (GSP). AstonTAC, the runner-up of TAC AA 2009, is a successful advertiser agent designed for GSP-based keyword auction. In particular, AstonTAC generates adaptive bid prices according to the Market-based Value Per Click and selects a set of keyword queries with highest expected profit to bid on to maximise its expected profit under the limit of conversion capacity. Through evaluation experiments, we show that AstonTAC performs well and stably not only in the competition but also across a broad range of environments. The TAC CAT tournament provides an environment for investigating the optimal design of mechanisms for double auction markets. AstonCAT-Plus is the post-tournament version of the specialist developed for CAT 2010. In our experiments, AstonCAT-Plus not only outperforms most specialist agents designed by other institutions but also achieves high allocative efficiencies, transaction success rates and average trader profits. Moreover, we reveal some insights of the CAT: 1) successful markets should maintain a stable and high market share of intra-marginal traders; 2) a specialist’s performance is dependent on the distribution of trading strategies. However, typical double auction models assume trading agents have a fixed trading direction of either buy or sell. With this limitation they cannot directly reflect the fact that traders in financial markets (the most popular application of double auction) decide their trading directions dynamically. To address this issue, we introduce the Bi-directional Double Auction (BDA) market which is populated by two-way traders. Experiments are conducted under both dynamic and static settings of the continuous BDA market. We find that the allocative efficiency of a continuous BDA market mainly comes from rational selection of trading directions. Furthermore, we introduce a high-performance Kernel trading strategy in the BDA market which uses kernel probability density estimator built on historical transaction data to decide optimal order prices. Kernel trading strategy outperforms some popular intelligent double auction trading strategies including ZIP, GD and RE in the continuous BDA market by making the highest profit in static games and obtaining the best wealth in dynamic games.

The role of pre-existing liquidity in determining pricing efficiency and liquidity gains following the introduction of SETSmm

In this paper we examine the impact that the new trading system SETSmm had on market quality measures such as firm value, liquidity and pricing efficiency. This system was introduced for mid-cap securities on the London Stock Exchange in 2003. We show that there is a small SETSmm return premium associated with the announcement that securities are to migrate to the new trading system. We find that migration to SETSmm also improves liquidity and pricing efficiency and these changes are related to the return premium. We also find that these gains are stronger for firms with high pre SETSmm liquidity and weaker for firms with low SETSmm liquidity.

Intraday trading patterns in London listed exchange traded funds

In this paper we examine the intraday trading patterns of Exchange Traded Funds (ETFs) listed on the London Stock Exchange. ETFs have been shown to be characterised by much lower bid–ask spread costs and by lower levels of information asymmetry than individual securities. One possible explanation for intraday trading patterns is that concentration of trading arises at the start of the trading day because informed traders have private information that quickly diminishes in value as trading progresses. Since ETFs have lower trading costs and lower levels of information asymmetry we would expect these securities to display less pronounced intraday patterns than individual securities. We fail to find that ETFs are characterised by concentrated trading bouts during the day and therefore find support for the argument that information asymmetry is the cause of intraday volume patterns in stock markets. We find that ETF bid–ask spreads and volatility are elevated at the open but not at the close. This lends support to the “accumulation of information” explanation that sees high spreads and volatility at the open as a consequence of information accumulating during a market closure and impacting on the market when it next opens.

Advanced education and training in bioenergy in Europe

The paper explains how bioenergy education and training is growing in Europe. Employment estimates are included for renewable energy in general, and bioenergy in particular, to highlight the need for a broadly based education and training programme that is essential to build a knowledgeable workforce that can drive Europe's growing bioenergy sector. The paper reviews current provisions in bioenergy at Masters and PhD levels across the 27 members of the EU (EU27) plus Norway and Switzerland. This identifies a very active and expanding bioenergy education provision. 65 English-language Masters Courses in bioenergy (either focussing completely on bioenergy or with significant bioenergy content or specialisation) were identified. 231 providers of PhD studies in bioenergy were found.Masters Course offerings have grown rapidly across Europe during the last five years, but where data is available, enrolment has been quite low suggesting that there is an oversupply of courses and that course organisers are being optimistic in their projections. Existing provisions in Europe at Masters and PhD levels are clearly more than sufficient for short term needs, but further work is needed to evaluate the take-up rate and the content and focus of the provisions. To ensure talented graduates are attracted to these programmes, better promotion, stronger links with the research community and industry, and increased collaboration among course providers are needed. Short Courses of two to five days are an excellent way of meeting post-experience training needs but require further growth and development to serve the needs of the bioenergy community. © 2011 Elsevier Ltd.