Microstructure of the Euro-area government bond market

This chapter highlights similarities and differences of equity and fixed- income markets and provides an overview of the characteristics of European government bond market trading and liquidity. Most existing studies focus on the U.S. market. This chapter presents the institutional details of the MTS market, which is the largest European electronic platform for trading government, quasi-government, asset- backed, and corporate fixed- income securities. It reviews the main features of high- frequency fixed- income data and the methods for measuring market liquidity. Finally, the chapter shows how liquidity differs across European countries, how liquidity varies with the structure of the market, and how liquidity has changed during the recent liquidity and sovereign crises.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

A frequency-independent boundary element method for scattering by two-dimensional screens and apertures

We propose and analyse a hybrid numerical–asymptotic hp boundary element method (BEM) for time-harmonic scattering of an incident plane wave by an arbitrary collinear array of sound-soft two-dimensional screens. Our method uses an approximation space enriched with oscillatory basis functions, chosen to capture the high-frequency asymptotics of the solution. We provide a rigorous frequency-explicit error analysis which proves that the method converges exponentially as the number of degrees of freedom N increases, and that to achieve any desired accuracy it is sufficient to increase N in proportion to the square of the logarithm of the frequency as the frequency increases (standard BEMs require N to increase at least linearly with frequency to retain accuracy). Our numerical results suggest that fixed accuracy can in fact be achieved at arbitrarily high frequencies with a frequency-independent computational cost, when the oscillatory integrals required for implementation are computed using Filon quadrature. We also show how our method can be applied to the complementary ‘breakwater’ problem of propagation through an aperture in an infinite sound-hard screen.

Using eye movements to investigate word frequency effects in children’s sentence reading

While eye movements have been used widely to investigate how skilled adult readers process written language, relatively little research has used this methodology with children. This is unfortunate as, as we discuss here, eye-movement studies have significant potential to inform our understanding of children’s reading development. We consider some of the empirical and theoretical issues that arise when using this methodology with children, illustrating our points with data from an experiment examining word frequency effects in 8-year-old children’s sentence reading. Children showed significantly longer gaze durations to low than high-frequency words, demonstrating that linguistic characteristics of text drive children’s eye movements as they read. We discuss these findings within the broader context of how eye-movement studies can inform our understanding of children’s reading, and can assist with the development of appropriately targeted interventions to support children as they learn to read.

Are price limits on futures markets that cool? evidence from the brazilian merchantile & futures exchange

This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider.

Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the S˜ao Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The results indicate that the conditional mean features a floor cool-off effect, whereas the conditional variance significantly increases as the price approaches the upper limit. We then build a trading strategy that accounts for the cool-off effect in the conditional mean so as to demonstrate that the latter has not only statistical, but also economic significance. The in-sample Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider, whereas out-of-sample results evince similar performances.

Formador de mercado e seu impacto nos custos de transação no mercado de ações brasileiro

O trabalho tem por objetivo validar a influência dos formadores de mercado de ações sobre a liquidez, uma proxy capaz de medir os custos de transação no mercado secundário de ações. O desafio de medir corretamente a liquidez teve trabalhos relevantes desde 1984, e recentemente foi alvo de uma revisão geral que comparou diversas medidas e encontrou alguns ganhadores. A proposta do presente trabalho é a de revisitar estas medidas e selecionar a métrica mais adequada ao mercado Brasileiro. Escolhida a proxy mais significativa, será então avaliada a relevância do formador de mercado na determinação dos custos de transação por meio de uma versão modificada da equação econométrica de Sanvicente (2012). Por fim, este trabalho será relevante para identificar se as empresas devem contratar formadores de mercado para suas ações, com o fim de reduzirem os custos da negociação de suas ações.

Impacto das negociações algorítmicas de alta frequência no mercado futuro de dólar

Este trabalho apresenta um estudo do impacto das negociações algorítmicas no processo de descoberta de preços no mercado de câmbio. Foram utilizados dados de negociação de alta frequência para contratos futuros de reais por dólar (DOL), negociados na Bolsa de Valores de São Paulo no período de janeiro a junho de 2013. No intuito de verificar se as estratégias algorítmicas de negociação são mais dependentes do que as negociações não algorítmicas, foi examinada a frequência em que algoritmos negociam entre si e comparou-se a um modelo benchmark que produz probabilidades teóricas para diferentes tipos de negociadores. Os resultados obtidos para as negociações minuto a minuto apresentam evidências de que as ações e estratégias de negociadores algorítmicos parecem ser menos diversas e mais dependentes do que aquelas realizadas por negociadores não algorítmicos. E para modelar a interação entre a autocorrelação serial dos retornos e negociações algorítmicas, foi estimado um vetor autorregressivo de alta frequência (VAR) em sua forma reduzida. As estimações mostram que as atividades dos algoritmos de negociação causam um aumento na autocorrelação dos retornos, indicando que eles podem contribuir para o aumento da volatilidade.

Price discovery using a regime-sensitive cointegration approach

This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in "pairs trading" and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of "information share" (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.

High-resolution electrocardiography in the diagnosis of arrhythmogenic right ventricular cardiomyopathy in Boxer dogs

Com o objetivo de avaliar a importância da eletrocardiografia de alta resolução no diagnóstico da cardiomiopatia arritmogênica do ventrículo direito do Boxer, 20 cães sem evidências de doença cardíaca estrutural à avaliação ecodopplercardiográfica foram agrupados de acordo com a frequência de arritmias ventriculares, avaliadas pela eletrocardiografia ambulatorial de 24 horas, e submetidos ao exame eletrocardiográfico de alta resolução. Duração do complexo QRS filtrado, duração dos sinais de baixa amplitude (menor que 40µV) dos últimos 40 milissegundos do complexo QRS e raiz quadrada média da voltagem ao quadrado dos últimos 40 milissegundos do complexo QRS (RMS40) foram as variáveis avaliadas. Não foram observadas diferenças significativas entre os grupos em relação às variáveis estudadas. Sendo assim, os resultados do presente estudo sugerem que a eletrocardiografia de alta resolução não é uma ferramenta útil no auxílio diagnóstico da cardiomiopatia arritmogênica do ventrículo direito dos cães da raça Boxer que não apresentam alterações miocárdicas evidentes ou disfunção sistólica.

Frequency of human leukocyte antigen (hla) in patients with malaria and in the general population of Humaitá county, Amazonas state, Brazil

Em agosto de 1983 foram observados 85 habitantes do Município de Humaitá, Estado do Amazonas, Brasil, com a finalidade de estudar a prevalência dos antígenos de HLA -A, -B, -C e DR, dentre os quais 38 eram doentes com malária causada pelo Plasmodium falciparum Todos eles foram examinados para avaliação de esplenomegalia, exame parasitológico de sangue e pesquisa de anticorpos de malária. Foram constituídos três grupos: (I) 25 indivíduos nascidos na região Amazônica que nunca tiveram malária; (II) 38 indivíduos naturais da Amazônia que tinham sido tratados de malária no passado, ou que estavam tendo malária atual, e (III) 22 doentes com malária que contraíram na Amazônia e eram procedentes de outras regiões do Brasil. Foram colhidas amostras de sangue de cada um deles, separados os linfôcitos e os antígenos de HLA foram tipados pelo teste de microlinfocitotoxidade. Houve elevada freqüência de antígenos não identificados, nos grupos estudados, o que sugere ou a existência de homozigoze, oufenôtipo não identificado nessa população. Houve alta freqüência fenotípica de antígeno deAg(W24) (44,7%) no Grupo II, quando comparado ao Grupo 1(32%) ou Grupo III (9%). Os indivíduos do Grupo II mostraram também elevada freqüência do antígeno DR4 (80%) quando comparado ao Grupo 1(36,3%) ou Grupo III(16,6%). Essas observações sugerem a possibilidade de suscetibilidadegenética ã malária entre os nativos da Amazônia e indicam a necessidade da realização de inquéritos mais extensos sobre a freqüência de antígenos de HLA em habitantes de zona endêmica de malária.

High fat-induced obesity associated with insulin-resistance increases FGF-2 content and causes stromal hyperplasia in rat ventral prostate

Obesity affects sex hormone secretion, which can negatively influence prostatic structure, homeostasis, and disease. This investigation aimed to evaluate the repercussions of obesity induced by a high-fat diet on the rat prostate, with or without treatment with the aromatase inhibitor, Letrozole. Adult Wistar rats were fed a high-fat diet (20% saturated fat, O) for 15 weeks to induce obesity or received a balanced diet (4% fat, C). Then, a group of C and O rats were daily treated with Letrozole (1 mg/kg b.w. per day) for 2 weeks (CL and OL, respectively). Subsequently, ventral prostate was processed for analysis by transmission electron microscopy, immunohistochemistry, and Western blotting. Obesity decreased 70% of the testosterone plasma level. The prostate showed epithelial atrophy and dilated acini in the intermediate portion and epithelial wrinkling in the distal tips. The relative frequency of smooth muscle alpha-actin in the O group increased by 67%. Ultrastructurally, epithelial cells in obese animals presented altered secretory organelles, lipid droplets, and thicker subjacent fibromuscular layer. Letrozole treatment caused a partial restoration of the prostatic changes caused by obesity. Obesity increased the prostatic content of fibroblast growth factor-2 (FGF-2) by 150%, and Letrozole treatment increased this protein even more in the control and obese groups. This investigation shows that obesity provokes structural and ultrastructural changes in the epithelium of rat prostate; these changes might affect gland homeostasis and physiology. The epithelial and smooth muscle cell hyperplasia and increased FGF-2 expression observed in this experimental model of obesity/insulin-resistance might explain the high frequency of benign prostatic hyperplasia in insulin-resistant men.

Mitochondrial DNA of Nellore and European x Nellore crossing cattle of high performance

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

An AC voltage regulator with high-power-factor, and control using a FPGA device

This paper presents the analysis, design, simulation, and experimental results for a high frequency high Power-Factor (PF) AC (Alternate Current) voltage regulator, using a Sepic converter as power stage. The control technique employed to impose a sinusoidal input current waveform, with low Total Harmonic Distortion (THD), is the sinusoidal variable hysteresis control. The control technique was implemented in a FPGA (Field Programmable Gate Array) device, using a Hardware Description Language (VHDL). Through the use of the proposed control technique, the AC voltage regulator performs active power-factor correction, and low THD in the input current, for linear and non-linear loads, satisfying the requirements of the EEC61000-3-2 standards. Experimental results from an example prototype, designed for 300W of nominal output power, 50kHz (switching frequency), and 127Vrms of nominal input and output voltages, are presented in order to validate the proposed AC regulator. © 2005 IEEE.

An effective wavelet method to detect and mitigate low-frequency multipath effects

To ensure high accuracy results from GPS relative positioning, the multipath effects have to be mitigated. Although the careful selection of antenna site and the use of especial antennas and receivers can minimize multipath, it cannot always be eliminated and frequently the residual multipath disturbance remains as the major error in GPS results. The high-frequency multipath from large delays can be attenuated by double difference (DD) denoising methods. But the low-frequency multipath from short delays is very difficult to be reduced or modeled. In this paper, it is proposed a method based on wavelet regression (WR), which can effectively detect and reduce the low-frequency multipath. The wavelet technique is firstly applied to decompose the DD residuals into the low-frequency bias and high-frequency noise components. The extracted bias components by WR are then directly applied to the DD observations to correct them from the trend. The remaining terms, largely characterized by the high-frequency measurement noise, are expected to give the best linear unbiased solutions from a least-squares (LS) adjustment. An experiment was carried out using objects placed close to the receiver antenna to cause, mainly, low-frequency multipath. The data were collected for two days to verify the multipath repeatability. The ground truth coordinates were computed with data collected in the absence of the reflector objects. The coordinates and ambiguity solution were compared with and without the multipath mitigation using WR. After mitigating the multipath, ambiguity resolution became more reliable and the coordinates were more accurate.