Price manipulation: theoretical models and empirical investigation

Understanding why market manipulation is conducted, under which conditions it is the most profitable and investigating the magnitude of these practices are crucial questions for financial regulators. Closing price manipulation induced by derivatives’ expiration is the primary subject of this thesis. The first chapter provides a mathematical framework in continuous time to study the incentive to manipulate a set of securities induced by a derivative position. An agent holding a European-type contingent claim, depending on the price of a basket of underlying securities, is considered. The agent can affect the price of the underlying securities by trading on each of them before expiration. The elements of novelty are at least twofold: (1) a multi-asset market is considered; (2) the problem is solved by means of both classic optimisation and stochastic control techniques. Both linear and option payoffs are considered. In the second chapter an empirical investigation is conducted on the existence of expiration day effects on the UK equity market. Intraday data on FTSE 350 stocks over a six-year period from 2015-2020 are used. The results show that the expiration of index derivatives is associated with a rise in both trading activity and volatility, together with significant price distortions. The expiration of single stock options appears to have little to no impact on the underlying securities. The last chapter examines the existence of patterns in line with closing price manipulation of UK stocks on option expiration days. The main contributions are threefold: (1) this is one of the few empirical studies on manipulation induced by the options market; (2) proprietary equity orderbook and transaction data sets are used to define manipulation proxies, providing a more detailed analysis; (3) the behaviour of proprietary trading firms is studied. Despite the industry concerns, no evidence is found of this type of manipulative behaviour.

Determination Of The Phenolic Composition From Brazilian Tropical Fruits By Uhplc-ms/ms.

Although Brazil is the third largest fruit producer in the world, several specimens consumed are not well studied from the chemical viewpoint, especially for quantitative analysis. For this reason and the crescent employment of mass spectrometry (MS) techniques in food science we selected twenty-two phenolic compounds with important biological activities and developed an ultra-high performance liquid chromatography tandem mass spectrometry (UHPLC-MS/MS) method using electrospray (ESI) in negative ion mode aiming their quantification in largely consumed Brazilian fruits (açaí-do-Amazonas, acerola, cashew apple, camu-camu, pineapple and taperebá). Multiple reaction monitoring (MRM) was applied and the selection of proper product ions for each transition assured high selectivity. Linearity (0.995intraday accuracy (>80%), precision (CV<20%) and extraction recovery rate (>80%) were satisfactory and showed that the method provides an efficient protocol to analyze phenolic compounds in fruit pulp extracts.

Aplicações de cromatografia líquida de alta eficiência para o estudo de poluentes orgânicos emergentes

Emerging organic pollutants (EOP) include many environmental contaminants based on commercial products such as pharmaceuticals, personal care products, detergents, gasoline, polymers, etc. EOP may be candidates for future regulation as they offer potential risk to environmental and human health due to their continual entrance into the environment and to the fact that even the most modern wastewater treatment plants are not able to totally transform / remove these compounds. High performance liquid chromatography is recommended to separate emerging organic pollutants with characteristics of high polarity and low volatility, especially pharmaceuticals, from environmental matrices.

Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA

Neste artigo apresentamos uma análise Bayesiana para o modelo de volatilidade estocástica (SV) e uma forma generalizada deste, cujo objetivo é estimar a volatilidade de séries temporais financeiras. Considerando alguns casos especiais dos modelos SV usamos algoritmos de Monte Carlo em Cadeias de Markov e o software WinBugs para obter sumários a posteriori para as diferentes formas de modelos SV. Introduzimos algumas técnicas Bayesianas de discriminação para a escolha do melhor modelo a ser usado para estimar as volatilidades e fazer previsões de séries financeiras. Um exemplo empírico de aplicação da metodologia é introduzido com a série financeira do IBOVESPA.

An overview of the Amazonian Aerosol Characterization Experiment 2008 (AMAZE-08)

The Amazon Basin provides an excellent environment for studying the sources, transformations, and properties of natural aerosol particles and the resulting links between biological processes and climate. With this framework in mind, the Amazonian Aerosol Characterization Experiment (AMAZE-08), carried out from 7 February to 14 March 2008 during the wet season in the central Amazon Basin, sought to understand the formation, transformations, and cloud-forming properties of fine-and coarse-mode biogenic aerosol particles, especially as related to their effects on cloud activation and regional climate. Special foci included (1) the production mechanisms of secondary organic components at a pristine continental site, including the factors regulating their temporal variability, and (2) predicting and understanding the cloud-forming properties of biogenic particles at such a site. In this overview paper, the field site and the instrumentation employed during the campaign are introduced. Observations and findings are reported, including the large-scale context for the campaign, especially as provided by satellite observations. New findings presented include: (i) a particle number-diameter distribution from 10 nm to 10 mu m that is representative of the pristine tropical rain forest and recommended for model use; (ii) the absence of substantial quantities of primary biological particles in the submicron mode as evidenced by mass spectral characterization; (iii) the large-scale production of secondary organic material; (iv) insights into the chemical and physical properties of the particles as revealed by thermodenuder-induced changes in the particle number-diameter distributions and mass spectra; and (v) comparisons of ground-based predictions and satellite-based observations of hydrometeor phase in clouds. A main finding of AMAZE-08 is the dominance of secondary organic material as particle components. The results presented here provide mechanistic insight and quantitative parameters that can serve to increase the accuracy of models of the formation, transformations, and cloud-forming properties of biogenic natural aerosol particles, especially as related to their effects on cloud activation and regional climate.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Determination of Atropine Enantiomers in Ophthalmic Solutions by Liquid Chromatography Using a Chiral AGP (R) Column

Many therapeutic agents are commercialized under their racemic form. The enantiomers can show differences in the pharmacokinetic and pharmacodynamic profile. The use of a pure enantiomer in pharmaceutical formulations may result in a better therapeutic index and fewer adverse effects. Atropine, an alkaloid of Atropa belladonna, is a racemic mixture of l-hyoscyamine and d-hyoscyamine. It is widely used to dilate the pupil. To quantify these enantiomers in ophthalmic solutions, an HPLC method was developed and validated using a Chiral AGP (R) column at 20 degrees C. The mobile phase consisted of a buffered phosphate solution (containing 10 mM 1-octanesulfonic acid sodium salt and 7.5 mM triethylamine, adjusted to pH 7.0 with orthophosphoric acid) and acetonitrile (99 + 1, v/v). The flow rate was 0.6 mL/min, with UV detection at 205 nm. In the concentration range of 14.0-26.0 mu g/mL, the method was found to be linear (r > 0.9999), accurate (with recovery of 100.1-100.5%), and precise (RSD system: <= 0.6%; RSD intraday: <= 1.1%; RSD interday: <= 0.9%). The method was specific, and the standard and sample solutions were stable for up to 72 h. The factorial design assures robustness with a variation of +/-10% in the mobile phase components and 2 degrees C of column temperature. The complete validation, including stress testing and factorial design, was studied and is presented in this research.

Quantitative Determination of Dimethylaminoethanol in Cosmetic Formulations by Nuclear Magnetic Resonance Spectroscopy

A nuclear magnetic resonance (NMR) spectroscopic method was validated for the quantitative determination of dimethylaminoethanol (DMAE) in cosmetic formulations. The linearity in the range from 0.5000 to 1.5000 g (DMAE salt/mass maleic acid) presents a correlation coefficient > 0.99 for all DMAE salts. The repeatability (intraday), expressed as relative standard deviation, ranged from 1.08 to 1.44% for samples and 1.31 to 1.88% for raw materials. The detection limit and quantitation limit were 0.0017 and 0.0051 g for DMAE, 0.0018 and 0.0054 g for DMAE bitartrate, and 0.0023 and 0.0071 g for DMAE acetamidobenzoate, respectively. The proposed method is simple, precise, and accurate and can be used in the quality control of raw materials and cosmetic gels containing these compounds as active substances.

Development and Validation of Stability-Indicating HPLC Methods for Quantitative Determination of Pravastatin, Fluvastatin, Atorvastatin, and Rosuvastatin in Pharmaceuticals

High-performance liquid-chromatographic (HPLC) methods were validated for determination of pravastatin sodium (PS), fluvastatin sodium (FVS), atorvastatin calcium (ATC), and rosuvastatin calcium (RC) in pharmaceuticals. Two stability-indicating HPLC methods were developed with a small change (10%) in the composition of the organic modifier in the mobile phase. The HPLC method for each statin was validated using isocratic elution. An RP-18 column was used with mobile phases consisting of methanol-water (60:40, v/v, for PS and RC and 70:30, v/v, for FVS and ATC). The pH of each mobile phase was adjusted to 3.0 with orthophosphoric acid, and the flow rate was 1.0mL/min. Calibration plots showed correlation coefficients (r)0.999, which were calculated by the least square method. The detection limit (DL) and quantitation limit (QL) were 1.22 and 3.08 mu g/mL for PS, 2.02 and 6.12 mu g/mL for FVS, 0.44 and 1.34 mu g/mL for ATC, and 1.55 and 4.70 mu g/mL for RC. Intraday and interday relative standard deviations (RSDs) were 2.0%. The methods were applied successfully for quantitative determination of statins in pharmaceuticals.

Price dispersion and price indexes

The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Inflation targeting in emerging economies: What do the data say?

In a recent thought-provoking paper, Ball and Sheridan [Ball, L., Sheridan, N., 2005. Does inflation targeting matter? In: Bernanke, B.S., Woodford, M. (Eds.), The Inflation-Targeting Debate, University of Chicago Press] show that the available evidence for a group of developed economies does not lend credence to the belief that adopting an inflation targeting regime (IT) was instrumental in bringing inflation and inflation volatility down. Here, we extend Ball and Sheridan`s analysis for a subset of 36 emerging market economies and find that, for them, the story is quite different. Compared to non-targeters, developing countries adopting the IT regime not only experienced greater drops in inflation, but also in growth volatility, thus corroborating the view that the regime`s ""constrained flexibility"" to deal with adverse shocks delivered concrete welfare gains. (c) 2006 Elsevier B.V. All rights reserved.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Reliability of electromyographic amplitude values of the upper limb muscles during closed kinetic chain exercises with stable and unstable surfaces

The purpose of the present study was to evaluate the intra and interday reliability of surface electromyographic amplitude values of the scapular girdle muscles and upper limbs during 3 isometric closed kinetic chain exercises, involving upper limbs with the fixed distal segment extremity on stable base of support and on a Swiss ball (relatively unstable). Twenty healthy adults performed the exercises push-up, bench-press and wall-press with different effort levels (80% and 100% maximal load). Subjects performed three maximal voluntary contractions (MVC) in muscular testing position of each muscle to obtain a reference value for root mean square (RMS) normalization. Individuals were instructed to randomly perform three isometric contraction series, in which each exercise lasted 6 s with a 2-min resting-period between series and exercises. Intra and interday reliabilities were calculated through the intraclass correlation coefficient (ICC 2.1), standard error of the measurement (SEM). Results indicated an excellent intraday reliability of electromyographic amplitude values (ICC >= 0.75). The interday reliability of normalized RMS values ranged between good and excellent (ICC 0.52-0.98). Finally, it is suggested that the reliability of normalized electromyographic amplitude values of the analyzed muscles present better values during exercises on a stable surface. However, load levels used during the exercises do not seem to have any influence on variability levels, possibly because the loads were quite similar. (C) 2007 Elsevier Ltd. All rights reserved.

Analytical validation for a series of marker compounds used to assess renal drug elimination processes

Renal drug elimination is determined by glomerular filtration, tubular secretion, and tubular reabsorption. Changes in the integrity of these processes influence renal drug clearance, and these changes may not be detected by conventional measures of renal function such as creatinine clearance. The aim of the current study was to examine the analytic issues needed to develop a cocktail of marker drugs (fluconazole, rac-pindolol, para-aminohippuric acid, sinistrin) to measure simultaneously the mechanisms contributing to renal clearance. High-performance liquid chromatographic methods of analysis for fluconazole, pindolol, para-aminohippuric acid, and creatinine and an enzymatic assay for sinistrin were developed or modified and then validated to allow determination of each of the compounds in both plasma and urine in the presence of all other marker drugs. A pilot clinical study in one volunteer was conducted to ensure that the assays were suitable for quantitating all the marker drugs to the sensitivity and specificity needed to allow accurate determination of individual renal clearances. The performance of all assays (plasma and urine) complied with published validation criteria. All standard curves displayed linearity over the concentration ranges required, with coefficients of correlation greater than 0.99. The precision of the interday and intraday variabilities of quality controls for each marker in plasma and urine were all less than 11.9% for each marker. Recoveries of markers (and internal standards) in plasma and urine were all at least 90%. All markers investigated were shown to be stable when plasma or urine was frozen and thawed. For all the assays developed, there were no interferences from other markers or endogenous substances. In a pilot clinical study, concentrations of all markers could be accurately and reproducibly determined for a sufficient duration of time after administration to calculate accurate renal clearance for each marker. This article presents details of the analytic techniques developed for measuring concentrations of marker drugs for different renal elimination processes administered as a single dose to define the processes contributing to renal drug elimination.

A model of factors affecting an information system's change in state

Management are keen to maximize the life span of an information system because of the high cost, organizational disruption, and risk of failure associated with the re-development or replacement of an information system. This research investigates the effects that various factors have on an information system's life span by understanding how the factors affect an information system's stability. The research builds on a previously developed two-stage model of information system change whereby an information system is either in a stable state of evolution in which the information system's functionality is evolving, or in a state of revolution, in which the information system is being replaced because it is not providing the functionality expected by its users. A case study surveyed a number of systems within one organization. The aim was to test whether a relationship existed between the base value of the volatility index (a measure of the stability of an information system) and certain system characteristics. Data relating to some 3000 user change requests covering 40 systems over a 10-year period were obtained. The following factors were hypothesized to have significant associations with the base value of the volatility index: language level (generation of language of construction), system size, system age, and the timing of changes applied to a system. Significant associations were found in the hypothesized directions except that the timing of user changes was not associated with any change in the value of the volatility index. Copyright (C) 2002 John Wiley Sons, Ltd.