Noise and the trading mechanism:the case of SETS

On 20 October 1997 the London Stock Exchange introduced a new trading system called SETS. This system was to replace the dealer system SEAQ, which had been in operation since 1986. Using the iterative sum of squares test introduced by Inclan and Tiao (1994), we investigate whether there was a change in the unconditional variance of opening and closing returns, at the time SETS was introduced. We show that for the FTSE-100 stocks traded on SETS, on the days following its introduction, there was a widespread increase in the volatility of both opening and closing returns. However, no synchronous volatility changes were found to be associated with the FTSE-100 index or FTSE-250 stocks. We conclude therefore that the introduction of the SETS trading mechanism caused an increase in noise at the time the system was introduced.

The trading mechanism, cross listed stocks:A comparison of the Paris Bourse and SEAQ-International

This paper studies the behaviour of returns for a sample of cross-listed stocks, listed on both the Paris Bourse and SEAQ-International in London. The aim of the paper is to discover which market adjusts to fundamental news more quickly, the home market of Paris or SEAQ-International. We find that prices in London adjust to changes in their fundamental value more slowly than Paris prices, despite the ability to quickly arbitrage between the two markets. We suggest that this finding may reflect the type of trading, which takes place in the two markets and differences associated with the reporting of large trades. We also estimate the amount of noise present in the two markets and show that the Paris market is more noisy than London. © 2003 Published by Elsevier B.V.

Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

Majority versus minority influence:the role of message processing in determining resistance to counter-persuasion

Two experiments examined the extent to which attitudes changed following majority and minority influence are resistant to counter-persuasion. In both experiments participants' attitudes were measured after being exposed to two messages, delayed in time, which argued opposite positions (initial message and counter-message). In the first experiment, attitudes following minority endorsement of the initial message were more resistant to a second counter-message only when the initial message contained strong versus weak arguments. Attitudes changed following majority influence did not resist the second counter-message and returned to their pre-test level. Experiment 2 varied whether memory was warned (i.e., message recipients expected to recall the message) or not, to manipulate message processing. When memory was warned, which should increase message processing, attitudes changed following both majority and minority influence resisted the second counter-message. The results support the view that minority influence instigates systematic processing of its arguments, leading to attitudes that resist counter-persuasion. Attitudes formed following majority influence yield to counter-persuasion unless there is a secondary task that encourages message processing.

Drying of portland cement raw material slurries:predicting the performance of a counter-current spray drier

An extensive review of literature has been carried out concerning the drying of single drops, sprays of droplets and the prediction of spray drier performances. The experimental investigation has been divided into two broad parts mainly: (1) Single Drop Experiments, and (2) Spray Drying and Residence Time Distribution Experiments. The thermal conductivity of slurry cakes from five different sources have been experimentally determined using a modified Lee's Disc Apparatus and the data collected was correlated by the polynominal... Good agreement was observed between the experimental thermal conductivity values and the predicted ones. The fit gave a variance ... for the various samples experimented on. A mathematical model for estimating crust mass transfer coefficient at high drying temperatures was derived.

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.

The measurements of neutron and gamma dose rates in mixed radiation fields, using a liquid scintillation counter

Measurements of neutron and gamma dose rates in mixed radiation fields, and gamma dose rates from calibrated gamma sources, were performed using a liquid scintillation counter NE213 with a pulse shape discrimination technique based on the charge comparison method. A computer program was used to analyse the experimental data. The radiation field was obtained from a 241Am-9Be source. There was general agreement between measured and calculated neutron and gamma dose rates in the mixed radiation field, but some disagreement in the measurements of gamma dose rates for gamma sources, due to the dark current of the photomultiplier and the effect of the perturbation of the radiation field by the detector. An optical fibre bundle was used to couple an NE213 scintillator to a photomultiplier, in an attempt to minimise these effects. This produced an improvement in the results for gamma sources. However, the optically coupled detector system could not be used for neutron and gamma dose rate measurements in mixed radiation fields. The pulse shape discrimination system became ineffective as a consequence of the slower time response of the detector system.

Modelling and measurements on a condensing counter-flow heat exchanger

Experimental investigations and computer modelling studies have been made on the refrigerant-water counterflow condenser section of a small air to water heat pump. The main object of the investigation was a comparative study between the computer modelling predictions and the experimental observations for a range of operating conditions but other characteristics of a counterflow heat exchanger are also discussed. The counterflow condenser consisted of 15 metres of a thermally coupled pair of copper pipes, one containing the R12 working fluid and the other water flowing in the opposite direction. This condenser was mounted horizontally and folded into 0.5 metre straight sections. Thermocouples were inserted in both pipes at one metre intervals and transducers for pressure and flow measurement were also included. Data acquisition, storage and analysis was carried out by a micro-computer suitably interfaced with the transducers and thermocouples. Many sets of readings were taken under a variety of conditions, with air temperature ranging from 18 to 26 degrees Celsius, water inlet from 13.5 to 21.7 degrees, R12 inlet temperature from 61.2 to 81.7 degrees and water mass flow rate from 6.7 to 32.9 grammes per second. A Fortran computer model of the condenser (originally prepared by Carrington[1]) has been modified to match the information available from experimental work. This program uses iterative segmental integration over the desuperheating, mixed phase and subcooled regions for the R12 working fluid, the water always being in the liquid phase. Methods of estimating the inlet and exit fluid conditions from the available experimental data have been developed for application to the model. Temperature profiles and other parameters have been predicted and compared with experimental values for the condenser for a range of evaporator conditions and have shown that the model gives a satisfactory prediction of the physical behaviour of a simple counterflow heat exchanger in both single phase and two phase regions.

Combined bioreaction and separation in a simulated counter-current chromatographic bioreactor-separator system

The objective of this work has been to investigate the principle of combined bioreaction and separation in a simulated counter-current chromatographic bioreactor-separator system (SCCR-S). The SCCR-S system consisted of twelve 5.4cm i.d x 75cm long columns packed with calcium charged cross-linked polystyrene resin. Three bioreactions, namely the saccharification of modified starch to maltose and dextrin using the enzyme maltogenase, the hydrolysis of lactose to galactose and glucose in the presence of the enzyme lactase and the biosynthesis of dextran from sucrose using the enzyme dextransucrase. Combined bioreaction and separation has been successfully carried out in the SCCR-S system for the saccharification of modified starch to maltose and dextrin. The effects of the operating parameters (switch time, eluent flowrate, feed concentration and enzyme activity) on the performance of the SCCR-S system were investigated. By using an eluent of dilute enzyme solution, starch conversions of up to 60% were achieved using lower amounts of enzyme than the theoretical amount required by a conventional bioreactor to produce the same amount of maltose over the same time period. Comparing the SCCR-S system to a continuous annular chromatograph (CRAC) for the saccharification of modified starch showed that the SCCR-S system required only 34.6-47.3% of the amount of enzyme required by the CRAC. The SCCR-S system was operated in the batch and continuous modes as a bioreactor-separator for the hydrolysis of lactose to galactose and glucose. By operating the system in the continuous mode, the operating parameters were further investigated. During these experiments the eluent was deionised water and the enzyme was introduced into the system through the same port as the feed. The galactose produced was retarded and moved with the stationary phase to be purge as the galactose rich product (GalRP) while the glucose moved with the mobile phase and was collected as the glucose rich product (GRP). By operating at up to 30%w/v lactose feed concentrations, complete conversions were achieved using only 48% of the theoretical amount of enzyme required by a conventional bioreactor to hydrolyse the same amount of glucose over the same time period. The main operating parameters affecting the performance of the SCCR-S system operating in the batch mode were investigated and the results compared to those of the continuous operation of the SCCR-S system. . During the biosynthesis of dextran in the SCCR-S system, a method of on-line regeneration of the resin was required to operate the system continuously. Complete conversion was achieved at sucrose feed concentrations of 5%w/v with fructose rich. products (FRP) of up to 100% obtained. The dextran rich products were contaninated by small amounts of glucose and levan formed during the bioreaction. Mathematical modelling and computer simulation of the SCCR-S. system operating in the continuous mode for the hydrolysis of lactose has been carried out. .

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.

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.