Equilibration through local information exchange in networks

We study the equilibrium states of energy functions involving a large set of real variables, defined on the links of sparsely connected networks, and interacting at the network nodes, using the cavity and replica methods. When applied to the representative problem of network resource allocation, an efficient distributed algorithm is devised, with simulations showing full agreement with theory. Scaling properties with the network connectivity and the resource availability are found. © 2006 The American Physical Society.

Response-based segmentation using Finite Mixture Partial Least Squares: theoretical foundations and an application to American Customer Satisfaction Index Data

When applying multivariate analysis techniques in information systems and social science disciplines, such as management information systems (MIS) and marketing, the assumption that the empirical data originate from a single homogeneous population is often unrealistic. When applying a causal modeling approach, such as partial least squares (PLS) path modeling, segmentation is a key issue in coping with the problem of heterogeneity in estimated cause-and-effect relationships. This chapter presents a new PLS path modeling approach which classifies units on the basis of the heterogeneity of the estimates in the inner model. If unobserved heterogeneity significantly affects the estimated path model relationships on the aggregate data level, the methodology will allow homogenous groups of observations to be created that exhibit distinctive path model estimates. The approach will, thus, provide differentiated analytical outcomes that permit more precise interpretations of each segment formed. An application on a large data set in an example of the American customer satisfaction index (ACSI) substantiates the methodology’s effectiveness in evaluating PLS path modeling results.

A new randomization assay reveals Unexpected elements of sequence bias in model 'randomized' gene libraries:Implications for biopanning

Although techniques such as biopanning rely heavily upon the screening of randomized gene libraries, there is surprisingly little information available on the construction of those libraries. In general, it is based on the cloning of 'randomized' synthetic oligonucleotides, in which given position(s) contain an equal mixture of all four bases. Yet, many supposedly 'randomized' libraries contain significant elements of bias and/or omission. Here, we report the development and validation of a new, PCR-based assay that enables rapid examination of library composition both prior to and after cloning. By using our assay to analyse model libraries, we demonstrate that the cloning of a given distribution of sequences does not necessarily result in a similarly composed library of clones. Thus, while bias in randomized synthetic oligonucleotide mixtures can be virtually eliminated by using unequal ratios of the four phosphoramidites, the use of such mixtures does not ensure retrieval of a truly randomized library. We propose that in the absence of a technique to control cloning frequencies, the ability to analyse the composition of libraries after cloning will enhance significantly the quality of information derived from those libraries. (C) 2000 Published by Elsevier Science B.V. All rights reserved.

Exchange-traded funds and information asymmetry

This thesis focuses on three main questions. The first uses ExchangeTraded Funds (ETFs) to evaluate estimated adverse selection costs obtained spread decomposition models. The second compares the Probability of Informed Trading (PIN) in Exchange-Traded Funds to control securities. The third examines the intra-day ETF trading patterns. These spread decomposition models evaluated are Glosten and Harris (1988); George, Kaul, and Nimalendran (1991); Lin, Sanger, and Booth (1995); Madhavan, Richardson, and Roomans (1997); Huang and Stoll (1997). Using the characteristics of ETFs it is shown that only the Glosten and Harris (1988) and Madhavan, et al (1997) models provide theoretically consistent results. When the PIN measure is employed ETFs are shown to have greater PINs than control securities. The investigation of the intra-day trading patterns shows that return volatility and trading volume have a U-shaped intra-day pattern. A study of trading systems shows that ETFs on the American Stock Exchange (AMEX) have a U-shaped intra-day pattern of bid-ask spreads, while ETFs on NASDAQ do not. Specifically, ETFs on NASDAQ have higher bid-ask spreads at the market opening, then the lowest bid-ask spread in the middle of the day. At the close of the market, the bid-ask spread of ETFs on NASDAQ slightly elevated when compared to mid-day.