The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

Econometrics of yield spreads in the money market:a note

The literature on bond markets and interest rates has focused largely on the term structure of interest rates, specifically, on the so-called expectations hypothesis. At the same time, little is known about the nature of the spread of the interest rates in the money market beyond the fact that such spreads are generally unstable. However, with the evolution of complex financial instruments, it has become imperative to identify the time series process that can help one accurately forecast such spreads into the future. This article explores the nature of the time series process underlying the spread between three-month and one-year US rates, and concludes that the movements in this spread over time is best captured by a GARCH(1,1) process. It also suggests the use of a relatively long term measure of interest rate volatility as an explanatory variable. This exercise has gained added importance in view of the revelation that GARCH based estimates of option prices consistently outperform the corresponding estimates based on the stylized Black-Scholes algorithm.

Sticky credit spreads, macroeconomic activity and equity market volatility

We uncover high persistence in credit spread series that can obscure the relationship between the theoretical determinants of credit risk and observed credit spreads. We use a Markovswitching model, which also captures the stability (low frequency changes) of credit ratings, to show why credit spreads may continue to respond to past levels of credit risk, even though the state of the economy has changed. A bivariate model of credit spreads and either macroeconomic activity or equity market volatility detects large and significant correlations that are consistent with theory but have not been observed in previous studies. © 2010 Nova Science Publishers, Inc. All rights reserved.

Spatial pattern of prion protein deposits in patients with sporadic Creutzfeldt–Jakob disease

The spatial pattern of the prion protein (PrP) deposits was studied in the cerebral cortex and cerebellum in 10 patients with sporadic Creutzfeldt–Jakob disease (CJD). In all patients the PrP deposits were aggregated into clusters and, in 90% of cortical areas and in 50% of cerebellar sections, the clusters exhibited a regular periodicity parallel to the tissue boundary; a spatial pattern also exhibited by ß-amyloid (Aß) deposits in Alzheimer's disease (AD). In the cerebral cortex, the incidence of regular clustering of the PrP deposits was similar in the upper and lower cortical laminae. The sizes of the PrP clusters in the upper and lower cortex were uncorrelated. No significant differences in mean cluster size of the PrP deposits were observed between brain regions. The size, location and distribution of the PrP deposit clusters suggest that PrP deposition occurs in relation to specific anatomical pathways and supports the hypothesis that prion pathology spreads through the brain via such pathways. In addition, the data suggest that there are similarities in the pathogenesis of extracellular protein deposits in prion disease and in AD.

Initiation and progression of ossification of the posterior longitudinal ligament of the cervical spine in the hereditary spinal hyperostotic mouse (twy/twy)

Ossification of the posterior longitudinal ligament (OPLL) is a significantly critical pathology that can eventually cause serious myelopathy. Ossification commences in the vertebral posterior longitudinal ligaments, and intensifies and spreads with the progression of the disease, resulting in osseous projections and compression of the spinal cord. However, the paucity of histological studies the underlying mechanisms of calcification and ossification processes remain obscure. The pathological process could be simulated in the ossifying process of the ligament in mutant spinal hyperostotic mouse (twy/twy). The aim of this study is to observe that enlargement of the nucleus pulposus followed by herniation, disruption and regenerative proliferation of annulus fibrosus cartilaginous tissues participated in the initiation of ossification of the posterior longitudinal ligament of twy/twy mice.

Size frequency distribution of senile plaques in post-mortem brains of five patients with senile dementia of the Alzheimer type (SDAT)

Numerous senile plaques are one of the most characteristic histological findings in SDAT brains. Large classical plaques may develop from smaller uncored forms. There is no strong evidence that, once formed, plaques disappear from the tissue. We have examined cresyl-violet stained sections of the parahippocampal gyrus (PHG), hippocampus, frontal lobe and temporal lobe of five SDAT patients. The frequency of various sizes of plaques were determined in each of these brain regions. Statistical analysis showed that the ratio of large plaques to small plaques was greater in the hippocampal formation (especially the PHG) than in the neocortex. One explanation of these results is that plaques grow more rapidly in the hippocampal formation than elsewhere. Alternatively, if the rate of plaque growth is much the same in different brain regions, the data suggest that plaques develop first in the hippocampal formation (especially the PHG) and only later spread to the neocortex. This interpretation is also consistent with the theory that the neuropathology of SDAT spreads from the olfactory cortex via the hippocampal formation to the neocortex. Further development of this technique may help identify the site of the primary lesion in SDAT.

On the mechanisms of cerebellar synaptic plasticity

Changes in the strength of signalling between neurones are thought to provide a cellular substrate for learning and memory. In the cerebellar cortex, raising the frequency and the strength of parallel fibre (PF) stimulation leads to a long-term depression (LTD) of the strength of signalling at the synapse between PFs and Purkinje cells (PCs), which spreads to distant synapses to the same cell via a nitric oxide (NO) dependent mechanism. At the same synapse, but under conditions of reduced post-synaptic calcium activity, raised frequency stimulation (RFS) of PFs triggers a long-term potentiation of synaptic transmission. The aims of the work described in this thesis were to investigate the conditions necessary for LTD and LTP at this synapse following RFS and to identify the origins and second messenger cascades involved in the induction and spread of LTP and LTD. In thin, parasagittal cerebellar slices whole cell patch clamp recordings were made from PCs and the effects of RFS of one of two, independent PF inputs to the same PC were examined under a range of experimental conditions. Under conditions designed to reduce post-synaptic calcium activity, RFS to a single PF input led to LTP and a decreases in paired pulse facilitation (PPF) in both pathways. This heterosynaptic potentiation was prevented by inhibition of protein kinase A (PKA) or by inhibition of NO synthase with either 7-nitroindazole (7-NI) or NG Nitro-L-argenine methyl ester. Inhibition of guanylate cyclase (GC) or protein kinase G (PKG) had no effect. A similar potentiation was observed upon application of the adenylyl cyclase (AC) activator forskolin or the NO donor spermine NONOate. Both of these treatments also resulted in an increase in the frequency of mEPSCs, which provides further evidence for a presynaptic origin of LTP. Forskolin induced potentiation and the increase in mEPSC frequency were blocked by 7-NI. The styryl dye FM1-43, a fluorescent reporter of endo- and exocytosis, was also used to further examine the possible pre-synaptic origins of LTP. RFS or forskolin application enhanced FM1-43 de-staining and NOS inhibitors blocked this effect. Application of NONOate also enhanced FM1-43 de-staining. When post-synaptic calcium activity was less strictly buffered, RFS to a single PF input led to a transient potentiation that was succeeded by LTD in both pathways. This LTD, which resembled previously described forms, was prevented by inhibition of the NO/cGMP/PKG cascade. Modification of the AC/cAMP/PKA cascade had no effect. In summary, the direction of synaptic plasticity at the PF-PC synapse in response to RFS depends largely on the level of post-synaptic calcium activity. LTP and LTD were non-input specific and both forms of plasticity were dependent on NOS activity. Induction of LTP was mediated by a presynaptic mechanism and depended on NO and cAMP production. LTD on the other hand was a post-synaptic process and required activity of the NO/cGMP/PKG signalling cascade.

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.

Tense, aspect and modality in first and second language

Time after time… and aspect and mood. Over the last twenty five years, the study of time, aspect and - to a lesser extent - mood acquisition has enjoyed increasing popularity and a constant widening of its scope. In such a teeming field, what can be the contribution of this book? We believe that it is unique in several respects. First, this volume encompasses studies from different theoretical frameworks: functionalism vs generativism or function-based vs form-based approaches. It also brings together various sub-fields (first and second language acquisition, child and adult acquisition, bilingualism) that tend to evolve in parallel rather than learn from each other. A further originality is that it focuses on a wide range of typologically different languages, and features less studied languages such as Korean and Bulgarian. Finally, the book gathers some well-established scholars, young researchers, and even research students, in a rich inter-generational exchange, that ensures the survival but also the renewal and the refreshment of the discipline. The book at a glance The first part of the volume is devoted to the study of child language acquisition in monolingual, impaired and bilingual acquisition, while the second part focuses on adult learners. In this section, we will provide an overview of each chapter. The first study by Aviya Hacohen explores the acquisition of compositional telicity in Hebrew L1. Her psycholinguistic approach contributes valuable data to refine theoretical accounts. Through an innovating methodology, she gathers information from adults and children on the influence of definiteness, number, and the mass vs countable distinction on the constitution of a telic interpretation of the verb phrase. She notices that the notion of definiteness is mastered by children as young as 10, while the mass/count distinction does not appear before 10;7. However, this does not entail an adult-like use of telicity. She therefore concludes that beyond definiteness and noun type, pragmatics may play an important role in the derivation of Hebrew compositional telicity. For the second chapter we move from a Semitic language to a Slavic one. Milena Kuehnast focuses on the acquisition of negative imperatives in Bulgarian, a form that presents the specificity of being grammatical only with the imperfective form of the verb. The study examines how 40 Bulgarian children distributed in two age-groups (15 between 2;11-3;11, and 25 between 4;00 and 5;00) develop with respect to the acquisition of imperfective viewpoints, and the use of imperfective morphology. It shows an evolution in the recourse to expression of force in the use of negative imperatives, as well as the influence of morphological complexity on the successful production of forms. With Yi-An Lin’s study, we concentrate both on another type of informant and of framework. Indeed, he studies the production of children suffering from Specific Language Impairment (SLI), a developmental language disorder the causes of which exclude cognitive impairment, psycho-emotional disturbance, and motor-articulatory disorders. Using the Leonard corpus in CLAN, Lin aims to test two competing accounts of SLI (the Agreement and Tense Omission Model [ATOM] and his own Phonetic Form Deficit Model [PFDM]) that conflicts on the role attributed to spellout in the impairment. Spellout is the point at which the Computational System for Human Language (CHL) passes over the most recently derived part of the derivation to the interface components, Phonetic Form (PF) and Logical Form (LF). ATOM claims that SLI sufferers have a deficit in their syntactic representation while PFDM suggests that the problem only occurs at the spellout level. After studying the corpus from the point of view of tense / agreement marking, case marking, argument-movement and auxiliary inversion, Lin finds further support for his model. Olga Gupol, Susan Rohstein and Sharon Armon-Lotem’s chapter offers a welcome bridge between child language acquisition and multilingualism. Their study explores the influence of intensive exposure to L2 Hebrew on the development of L1 Russian tense and aspect morphology through an elicited narrative. Their informants are 40 Russian-Hebrew sequential bilingual children distributed in two age groups 4;0 – 4;11 and 7;0 - 8;0. They come to the conclusion that bilingual children anchor their narratives in perfective like monolinguals. However, while aware of grammatical aspect, bilinguals lack the full form-function mapping and tend to overgeneralize the imperfective on the principles of simplicity (as imperfective are the least morphologically marked forms), universality (as it covers more functions) and interference. Rafael Salaberry opens the second section on foreign language learners. In his contribution, he reflects on the difficulty L2 learners of Spanish encounter when it comes to distinguishing between iterativity (conveyed with the use of the preterite) and habituality (expressed through the imperfect). He examines in turn the theoretical views that see, on the one hand, habituality as part of grammatical knowledge and iterativity as pragmatic knowledge, and on the other hand both habituality and iterativity as grammatical knowledge. He comes to the conclusion that the use of preterite as a default past tense marker may explain the impoverished system of aspectual distinctions, not only at beginners but also at advanced levels, which may indicate that the system is differentially represented among L1 and L2 speakers. Acquiring the vast array of functions conveyed by a form is therefore no mean feat, as confirmed by the next study. Based on the prototype theory, Kathleen Bardovi-Harlig’s chapter focuses on the development of the progressive in L2 English. It opens with an overview of the functions of the progressive in English. Then, a review of acquisition research on the progressive in English and other languages is provided. The bulk of the chapter reports on a longitudinal study of 16 learners of L2 English and shows how their use of the progressive expands from the prototypical uses of process and continuousness to the less prototypical uses of repetition and future. The study concludes that the progressive spreads in interlanguage in accordance with prototype accounts. However, it suggests additional stages, not predicted by the Aspect Hypothesis, in the development from activities and accomplishments at least for the meaning of repeatedness. A similar theoretical framework is adopted in the following chapter, but it deals with a lesser studied language. Hyun-Jin Kim revisits the claims of the Aspect Hypothesis in relation to the acquisition of L2 Korean by two L1 English learners. Inspired by studies on L2 Japanese, she focuses on the emergence and spread of the past / perfective marker ¬–ess- and the progressive – ko iss- in the interlanguage of her informants throughout their third and fourth semesters of study. The data collected through six sessions of conversational interviews and picture description tasks seem to support the Aspect Hypothesis. Indeed learners show a strong association between past tense and accomplishments / achievements at the start and a gradual extension to other types; a limited use of past / perfective marker with states and an affinity of progressive with activities / accomplishments and later achievements. In addition, - ko iss– moves from progressive to resultative in the specific category of Korean verbs meaning wear / carry. While the previous contributions focus on function, Evgeniya Sergeeva and Jean-Pierre Chevrot’s is interested in form. The authors explore the acquisition of verbal morphology in L2 French by 30 instructed native speakers of Russian distributed in a low and high levels. They use an elicitation task for verbs with different models of stem alternation and study how token frequency and base forms influence stem selection. The analysis shows that frequency affects correct production, especially among learners with high proficiency. As for substitution errors, it appears that forms with a simple structure are systematically more frequent than the target form they replace. When a complex form serves as a substitute, it is more frequent only when it is replacing another complex form. As regards the use of base forms, the 3rd person singular of the present – and to some extent the infinitive – play this role in the corpus. The authors therefore conclude that the processing of surface forms can be influenced positively or negatively by the frequency of the target forms and of other competing stems, and by the proximity of the target stem to a base form. Finally, Martin Howard’s contribution takes up the challenge of focusing on the poorer relation of the TAM system. On the basis of L2 French data obtained through sociolinguistic interviews, he studies the expression of futurity, conditional and subjunctive in three groups of university learners with classroom teaching only (two or three years of university teaching) or with a mixture of classroom teaching and naturalistic exposure (2 years at University + 1 year abroad). An analysis of relative frequencies leads him to suggest a continuum of use going from futurate present to conditional with past hypothetic conditional clauses in si, which needs to be confirmed by further studies. Acknowledgements The present volume was inspired by the conference Acquisition of Tense – Aspect – Mood in First and Second Language held on 9th and 10th February 2008 at Aston University (Birmingham, UK) where over 40 delegates from four continents and over a dozen countries met for lively and enjoyable discussions. This collection of papers was double peer-reviewed by an international scientific committee made of Kathleen Bardovi-Harlig (Indiana University), Christine Bozier (Lund Universitet), Alex Housen (Vrije Universiteit Brussel), Martin Howard (University College Cork), Florence Myles (Newcastle University), Urszula Paprocka (Catholic University of Lublin), †Clive Perdue (Université Paris 8), Michel Pierrard (Vrije Universiteit Brussel), Rafael Salaberry (University of Texas at Austin), Suzanne Schlyter (Lund Universitet), Richard Towell (Salford University), and Daniel Véronique (Université d’Aix-en-Provence). We are very much indebted to that scientific committee for their insightful input at each step of the project. We are also thankful for the financial support of the Association for French Language Studies through its workshop grant, and to the Aston Modern Languages Research Foundation for funding the proofreading of the manuscript.

Temporal lobe pathology in neurodegenerative disease:a comparative study of eight disorders with special reference to the hippocampus

The temporal lobe is a major site of pathology in a number of neurodegenerative diseases. In this chapter, the densities of the characteristic pathological lesions in various regions of the temporal lobe were compared in eight neurodegenerative disorders, viz., Alzheimer’s disease (AD), Down’s syndrome (DS), dementia with Lewy bodies (DLB), Pick’s disease (PiD), corticobasal degeneration (CBD), progressive supranuclear palsy (PSP), sporadic Creutzfeldt-Jakob disease (sCJD), and neuronal intermediate filament inclusion disease (NIFID). Temporal lobe pathology was observed in all of these disorders most notably in AD, DS, PiD, sCJD, and NIFID. The regions of the temporal lobe affected by the pathology, however, varied between disorders. In AD and DS, the greatest densities of ?-amyloid (A?) deposits were recorded in cortical regions adjacent to the hippocampus (HC), DS exhibiting greater densities of A? deposits than AD. Similarly, in sCJD, greatest densities of prion protein (PrPsc) deposits were recorded in cortical areas of the temporal lobe. In AD and PiD, significant densities of neurofibrillary tangles (NFT) and Pick bodies (PB) respectively were present in sector CA1 of the HC while in CBD, the greatest densities of tau-immunoreactive neuronal cytoplasmic inclusions (NCI) were present in the parahippocampal gyrus (PHG). Particularly high densities of PB were present in the DG in PiD, whereas NFT in AD and Lewy bodies (LB) in DLB were usually absent in this region. These data confirm that the temporal lobe is an important site of pathology in the disorders studied regardless of their molecular ‘signature’. However, disorders differ in the extent to which the pathology spreads to affect the HC which may account for some of the observed differences in clinical dementia.

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.

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.

Perception of global image contrast is predicted by the same spatial integration model of gain control as detection and discrimination

How are the image statistics of global image contrast computed? We answered this by using a contrast-matching task for checkerboard configurations of ‘battenberg’ micro-patterns where the contrasts and spatial spreads of interdigitated pairs of micro-patterns were adjusted independently. Test stimuli were 20 × 20 arrays with various sized cluster widths, matched to standard patterns of uniform contrast. When one of the test patterns contained a pattern with much higher contrast than the other, that determined global pattern contrast, as in a max() operation. Crucially, however, the full matching functions had a curious intermediate region where low contrast additions for one pattern to intermediate contrasts of the other caused a paradoxical reduction in perceived global contrast. None of the following models predicted this: RMS, energy, linear sum, max, Legge and Foley. However, a gain control model incorporating wide-field integration and suppression of nonlinear contrast responses predicted the results with no free parameters. This model was derived from experiments on summation of contrast at threshold, and masking and summation effects in dipper functions. Those experiments were also inconsistent with the failed models above. Thus, we conclude that our contrast gain control model (Meese & Summers, 2007) describes a fundamental operation in human contrast vision.

Spatial patterns of neuronal cytoplasmic inclusions in the tauopathies: A comparative study of five disorders

The tauopathies are a major molecular group of neurodegenerative disorders characterised by the deposition of abnormal cellular aggregates of the microtubule associated protein (MAP) tau in the form of neuronal cytoplasmic inclusions (NCI). Recent research suggests that cell to cell propagation of pathogenic tau may be involved in the neurodegeneration of these disorders. If pathogenic tau spreads along anatomical pathways it may give rise to specific spatial patterns of the NCI in brain tissue. To test this hypothesis, the spatial patterns of NCI in cerebral cortical regions were compared in tissue sections taken from five major tauopathies: (1) argyrophilic grain disease (AGD), (2) Alzheimer's disease (AD), (3) corticobasal degeneration (CBD), (4) Pick's disease (PiD), and (5) progressive supranuclear palsy (PSP). In the cerebral cortex of these disorders, NCI were frequently aggregated into clusters and the clusters were regularly distributed parallel to the pia mater. In a significant proportion of regions, the mean size of the regularly distributed clusters of NCI was in the range 400 – 800 m, measured parallel to the pia mater, approximating to the dimension of cell columns associated with the cortico-cortical anatomical pathways. Hence, the data suggest that cortical NCI in the tauopathies exhibit a spatial pattern in the cortex which could result from the spread of pathogenic tau along anatomical pathways. Treatments designed to protect the cortex from tau propagation may therefore be applicable across several different disorders within this molecular group.