The adverse selection component of exchange traded funds

The aim of our paper is to examine whether Exchange Traded Funds (ETFs) diversify away the private information of informed traders. We apply the spread decomposition models of Glosten and Harris (1998) and Madhavan, Richardson and Roomans (1997) to a sample of ETFs and their control securities. Our results indicate that ETFs have significantly lower adverse selection costs than their control securities. This suggests that private information is diversified away for these securities. Our results therefore offer one explanation for the rapid growth in the ETF market.

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.

Increased salience of gains versus decreased associative learning differentiate bipolar disorder from schizophrenia during incentive decision making

Background Abnormalities in incentive decision making, typically assessed using the Iowa Gambling Task (IGT), have been reported in both schizophrenia (SZ) and bipolar disorder (BD). We applied the Expectancy-Valence (E-V) model to determine whether motivational, cognitive and response selection component processes of IGT performance are differentially affected in SZ and BD. Method Performance on the IGT was assessed in 280 individuals comprising 70 remitted patients with SZ, 70 remitted patients with BD and 140 age-, sex-and IQ-matched healthy individuals. Based on the E-V model, we extracted three parameters, 'attention to gains or loses', 'expectancy learning' and 'response consistency', that respectively reflect motivational, cognitive and response selection influences on IGT performance. Results Both patient groups underperformed in the IGT compared to healthy individuals. However, the source of these deficits was diagnosis specific. Associative learning underlying the representation of expectancies was disrupted in SZ whereas BD was associated with increased incentive salience of gains. These findings were not attributable to non-specific effects of sex, IQ, psychopathology or medication. Conclusions Our results point to dissociable processes underlying abnormal incentive decision making in BD and SZ that could potentially be mapped to different neural circuits. © 2012 Cambridge University Press.

Bid-ask spread dynamics in foreign exchange markets

The aim of this paper is to examine the short term dynamics of foreign exchange rate spreads. Using a vector autoregressive model (VAR) we show that most of the variation in the spread comes from the long run dependencies between past and future spreads rather than being caused by changes in inventory, adverse selection, cost of carry or order processing costs. We apply the Integrated Cumulative Sum of Squares (ICSS) algorithm of Inclan and Tiao (1994) to discover how often spread volatility changes. We find that spread volatility shifts are relatively uncommon and shifts in one currency spread tend not to spillover to other currency spreads. © 2013.

Evaluating spread models with a basket security

In this article we evaluate the most widely used spread decomposition models using Exchange Traded Funds (ETFs). These funds are an example of a basket security and allow the diversification of private information causing these securities to have lower adverse selection costs than individual securities. We use this feature as a criterion for evaluating spread decomposition models. Comparisons of adverse selection costs for ETF's and control securities obtained from spread decomposition models show that only the Glosten-Harris (1988) and the Madhavan-Richardson-Roomans (1997) models provide estimates of the spread that are consistent with the diversification of private information in a basket security. Our results are robust even after controlling for the stock exchange. © 2011 Copyright Taylor and Francis Group, LLC.

Phonological–lexical activation:a lexical component or anoutput buffer? Evidence from aphasic errors

Single word production requires that phoneme activation is maintained while articulatory conversion is taking place. Word serial recall, connected speech and non-word production (repetition and spelling) are all assumed to involve a phonological output buffer. A crucial question is whether the same memory resources are also involved in single word production. We investigate this question by assessing length and positional effects in the single word repetition and reading of six aphasic patients. We expect a damaged buffer to result in error rates per phoneme which increase with word length and in position effects. Although our patients had trouble with phoneme activation (they made mainly errors of phoneme selection), they did not show the effects expected from a buffer impairment. These results show that phoneme activation cannot be automatically equated with a buffer. We hypothesize that the phonemes of existing words are kept active though permanent links to the word node. Thus, the sustained activation needed for their articulation will come from the lexicon and will have different characteristics from the activation needed for the short-term retention of an unbound set of units. We conclude that there is no need and no evidence for a phonological buffer in single word production.

Interpreting adverse signals in diabetes drug development programs

Detection and interpretation of adverse signals during preclinical and clinical stages of drug development inform the benefit-risk assessment that determines suitability for use in real-world situations. This review considers some recent signals associated with diabetes therapies, illustrating the difficulties in ascribing causality and evaluating absolute risk, predictability, prevention, and containment. Individual clinical trials are necessarily restricted for patient selection, number, and duration; they can introduce allocation and ascertainment bias and they often rely on biomarkers to estimate long-term clinical outcomes. In diabetes, the risk perspective is inevitably confounded by emergent comorbid conditions and potential interactions that limit therapeutic choice, hence the need for new therapies and better use of existing therapies to address the consequences of protracted glucotoxicity. However, for some therapies, the adverse effects may take several years to emerge, and it is evident that faint initial signals under trial conditions cannot be expected to foretell all eventualities. Thus, as information and experience accumulate with time, it should be accepted that benefit-risk deliberations will be refined, and adjustments to prescribing indications may become appropriate. © 2013 by the American Diabetes Association.

Multiple component patient safety intervention in English hospitals:controlled evaluation of second phase

Objective: To independently evaluate the impact of the second phase of the Health Foundation's Safer Patients Initiative (SPI2) on a range of patient safety measures. Design: A controlled before and after design. Five substudies: survey of staff attitudes; review of case notes from high risk (respiratory) patients in medical wards; review of case notes from surgical patients; indirect evaluation of hand hygiene by measuring hospital use of handwashing materials; measurement of outcomes (adverse events, mortality among high risk patients admitted to medical wards, patients' satisfaction, mortality in intensive care, rates of hospital acquired infection). Setting: NHS hospitals in England. Participants: Nine hospitals participating in SPI2 and nine matched control hospitals. Intervention The SPI2 intervention was similar to the SPI1, with somewhat modified goals, a slightly longer intervention period, and a smaller budget per hospital. Results: One of the scores (organisational climate) showed a significant (P=0.009) difference in rate of change over time, which favoured the control hospitals, though the difference was only 0.07 points on a five point scale. Results of the explicit case note reviews of high risk medical patients showed that certain practices improved over time in both control and SPI2 hospitals (and none deteriorated), but there were no significant differences between control and SPI2 hospitals. Monitoring of vital signs improved across control and SPI2 sites. This temporal effect was significant for monitoring the respiratory rate at both the six hour (adjusted odds ratio 2.1, 99% confidence interval 1.0 to 4.3; P=0.010) and 12 hour (2.4, 1.1 to 5.0; P=0.002) periods after admission. There was no significant effect of SPI for any of the measures of vital signs. Use of a recommended system for scoring the severity of pneumonia improved from 1.9% (1/52) to 21.4% (12/56) of control and from 2.0% (1/50) to 41.7% (25/60) of SPI2 patients. This temporal change was significant (7.3, 1.4 to 37.7; P=0.002), but the difference in difference was not significant (2.1, 0.4 to 11.1; P=0.236). There were no notable or significant changes in the pattern of prescribing errors, either over time or between control and SPI2 hospitals. Two items of medical history taking (exercise tolerance and occupation) showed significant improvement over time, across both control and SPI2 hospitals, but no additional SPI2 effect. The holistic review showed no significant changes in error rates either over time or between control and SPI2 hospitals. The explicit case note review of perioperative care showed that adherence rates for two of the four perioperative standards targeted by SPI2 were already good at baseline, exceeding 94% for antibiotic prophylaxis and 98% for deep vein thrombosis prophylaxis. Intraoperative monitoring of temperature improved over time in both groups, but this was not significant (1.8, 0.4 to 7.6; P=0.279), and there were no additional effects of SPI2. A dramatic rise in consumption of soap and alcohol hand rub was similar in control and SPI2 hospitals (P=0.760 and P=0.889, respectively), as was the corresponding decrease in rates of Clostridium difficile and meticillin resistant Staphylococcus aureus infection (P=0.652 and P=0.693, respectively). Mortality rates of medical patients included in the case note reviews in control hospitals increased from 17.3% (42/243) to 21.4% (24/112), while in SPI2 hospitals they fell from 10.3% (24/233) to 6.1% (7/114) (P=0.043). Fewer than 8% of deaths were classed as avoidable; changes in proportions could not explain the divergence of overall death rates between control and SPI2 hospitals. There was no significant difference in the rate of change in mortality in intensive care. Patients' satisfaction improved in both control and SPI2 hospitals on all dimensions, but again there were no significant changes between the two groups of hospitals. Conclusions: Many aspects of care are already good or improving across the NHS in England, suggesting considerable improvements in quality across the board. These improvements are probably due to contemporaneous policy activities relating to patient safety, including those with features similar to the SPI, and the emergence of professional consensus on some clinical processes. This phenomenon might have attenuated the incremental effect of the SPI, making it difficult to detect. Alternatively, the full impact of the SPI might be observable only in the longer term. The conclusion of this study could have been different if concurrent controls had not been used.

Single-phase active rectifier selection for fault tolerant machine

A fault tolerant, 5-phase PM generator has been developed for use on the low pressure (LP) shaft of an aircraft gas turbine engine. The machine operates at variable speed and therefore has a variable voltage, variable frequency electrical output (VVVF). The generator is to be used to provide a 350V DC bus for distribution throughout the aircraft, and a study has been carried out that identifies the most suitable AC-DC converter topology for this machine in terms of losses, electrical component ratings, filtering requirements and circuit complexity.

Use of flucinolone acetonide for patients with diabetic macular oedema:patient selection criteria and early outcomes in real world setting

Introduction: Fluocinolone acetonide slow release implant (Iluvien®) was approved in December 2013 in UK for treatment of eyes which are pseudophakic with DMO that is unresponsive to other available therapies. This approval was based on evidence from FAME trials which were conducted at a time when ranibizumab was not available. There is a paucity of data on implementation of guidance on selecting patients for this treatment modality and also on the real world outcome of fluocinolone therapy especially in those patients that have been unresponsive to ranibizumab therapy. Method: Retrospective study of consecutive patients treated with fluocinolone between January and August 2014 at three sites were included to evaluate selection criteria used, baseline characteristics and clinical outcomes at 3-month time point. Results: Twenty two pseudophakic eyes of 22 consecutive patients were included. Majority of patients had prior therapy with multiple intravitreal anti-VEGF injections. Four eyes had controlled glaucoma. At baseline mean VA and CRT were 50.7 letters and 631 μm respectively. After 3 months, 18 patients had improved CRT of which 15 of them also had improved VA. No adverse effects were noted. One additional patient required IOP lowering medication. Despite being unresponsive to multiple prior therapies including laser and anti-VEGF injections, switching to fluocinolone achieved treatment benefit. Conclusion: The patient level selection criteria proposed by NICE guidance on fluocinolone appeared to be implemented. This data from this study provides new evidence on early outcomes following fluocinolone therapy in eyes with DMO which had not responded to laser and other intravitreal agents.