Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.

The Innocent Pleasure : A Study on Luther's theology of music

The aim of the study is to examine Luther s theology of music from the standpoint of pleasure. The theological assessment of musical pleasure is related to two further questions: the role of emotions in Christianity and the apprehension of beauty. The medieval discussion of these themes is portrayed in the background chapter. Significant traits were: the suspicion felt towards sensuous gratification in music, music as a mathematical discipline, the medieval theory of emotions informed by Stoic apatheia and Platonic-Aristotelian metriopatheia, the notion of beauty as an attribute of God, medieval aesthetics as the aesthetic of proportion and the aesthetic of light and the emergence of the Aristotelian view of science that is based on experience rather than speculation. The treatment of Luther s theology of music is initiated with the notion of gift. Luther says that music is the excellent (or even the best) gift of God. This has sometimes been understood as a mere music-lover s enthusiasm. Luther is, however, not likely to use the word gift loosely. His theology can be depicted as a theology of gift. The Triune God is categorically giving. The notion of gift also includes reciprocity. When we receive the gifts of God, it evokes praise in us. Praising God is predominantly a musical phenomenon. The particular benefit of music in Luther s thought is that it can move human emotions. This emphasis is connected to the overall affectivity of Luther s theology. In contrast to the medieval discussion, Luther ascribes to saints not just emotions but particularly warm and tender affections. The power of music is related to the auditory and vocal character of the Word. Faith comes through hearing the Word that is at once musical and affective perception. Faith is not a mere opinion but the affective trust of the heart. Music can touch the human heart and persuade with its sweetness, like the good news of the Gospel. Music allows us to perceive Luther s theology as a theology of joy and pleasure. Joy is for Luther a gift of the Holy Spirit that fills the heart and bursts out in voice and gestures. Pleasure appears to be a central aspect to Luther s theology. The problem of the Bondage of the Will is precisely the human inability to feel pleasure in God s will. To be pleased in the visible and tangible creation is not something a Christian should avoid. On the contrary, if one is not pleased with the world that God has created, it is a sign of unbelief and ingratitude. The pleasure of music is aesthetic perception. This in turn necessitates the investigation of Luther s aesthetics. Aesthetic evaluation is not just a part of Luther s thought. Eventually his theology as a whole could be portrayed in aesthetic terms. Luther s extremely positive appreciation of music illutrates his theology as an affective acknowledgement of the goodness of the Creation and faith as an aesthetic contentment.

Monikasvoinen TAVA-partisiippi : Tutkimus suomen TAVA-partisiipin käyttökonteksteista ja verbiliittojen kieliopillistumisesta

The multifaceted passive present participle in Finnish This study investigates the uses of the passive present participle in Finnish. The participle occurs in a variety of syntactic environments and exhibits a rich polysemy. Former descriptions have treated it as a mainly modal element, but it has several non-modal uses as well. The present study provides an overview of its uses and meanings, with the main focus on the factors which trigger the modal reading. In addition, the study contains two case studies on modal periphrastic constructions consisting of the verb 'to be' and the present passive participle, the Obligation construction, e.g., on men-tä-vä [is go-pass-ptc], and the Possiblity construction, e.g., on pelaste-tta-v-i-ssa [is save-pass-ptc-pl-ine]. The study is based on empirical data of 9000 sentences obtained from i) large collections of transcribed material from Finnish dialects, ii) a corpus of modern Finnish newspaper texts, iii) corpora of Old Finnish texts. Both in colloquial and standard Finnish the reading of the participle is highly dependent of the context and determined by such factors as the overall syntactic environment and other co-occurring elements. One of the main findings here is that the Finnish passive present participle is not modal per se. The contextual modal reading arises whenever the state of affairs is conceptualized from the viewpoint of the implied subject of the participle, and the meaning of possibility or obligation depends mostly on whether the situation is pleasant or undesirable. In sections examining the grammaticalization of the Possibility and Obligation constructions, the perspective is diachronic. Both constructions have derived from copula constructions with the passive present participle as a predicate (adjective or adverb). These sections show how a linguistic change can be investigated on the basis of the patterns of usage in the empirical data. The Possibility construction is currently going through a restructuration to a passive verbal complex. The source of this construction is reflected in its present-day use by the fact that it heavily biased towards a small set of verbs. The Obligation construction has grammaticalized to a construction comparable to a compound tense. Patterns of use of the construction show that grammaticalization originates in specific syntactic constructions with an implication of practical necessity. Furthermore, it is shown that the Obligation construction has grammaticalized in different directions in standard and colloquial Finnish. Differing from the study on most typical phenomena investigated in the literature on grammaticalization of modality, the present study opens new perspectives and methods for discussion on these questions.

Esteettinen kokemus kulttuurisiltana : Soile Yli-Mäyryn taide kiinalaisen, japanilaisen ja suomalaisen yleisön kokemana

AESTHETIC EXPERIENCE AS A BRIDGE ACROSS CULTURES Soile Yli-Mäyry s art as experienced by Chinese, Japanese and Finnish audiences This study focuses on surveying and analysing experiences of Soile Yli-Mäyry s art in eleven different countries. Questionnaires were translated into nine different languages. In addition, interviews were conducted on the experiences of Chinese, Japanese and Finnish art audiences concerning a painting called Sun Wind . The study was mainly inspired by John Dewey s ideas of art as an interactive communication where the artist, the piece and those who experience it make up an interactive process. In this process experience is a meeting point with both individual and communal characteristics. The data was collected in conjunction with exhibitions in 1997−2005. The survey was carried out in eleven countries (Finland, United States, Brazil, China, Taiwan, Japan, India, Israel, Argentina, Germany and Switzerland). The survey data was made up of 2,563 returned questionnaires. The interviews in China, Japan and Finland were about the same painting Sun Wind , which was transported from Finland to Japan (Tokyo) and China. A total of 89 people were interviewed in Shanghai Art Museum, 30 people in Port-Ginza Gallery, Tokyo and 45 people in Soile Yli-Mäyry s Gallery in Finland. Three hypotheses that were turned into research questions directed the study: 1. Are there differences/ similarities between culturally different communities in the meanings attributed to experiences, e.g. according to emotional dimensions, or do experiences focus more on reflecting on one s own life or meanings attributed to the world around us? What kinds of experiential dimensions are there in different countries? Do similar, analogous experiences that transcend cultural barriers emerge in culturally different countries such as China, Japan and Finland? 2. Does the data display different types of experiencing subjects which are typical to a subject s own country or are they experiences that can be compared to those generated by an ideal landscape , where the art touches the subconscious and collective selfhood, being thus transnational and timeless? Closer analysis focuses on audience experiences in China, Japan and Finland (interviews, textual survey data). 3. Are the experiences and interpretations of experts similar/different to those of larger audiences? The survey data has been analysed with the help of cross-tabulation. After content analysis of the interviews and textual survey data, different ways of experiencing subjects were sketched by country (China, Japan, Finland). The types were both similar and dissimilar. The most important types were social/ecological (China), therapeutic/reserved (Japan) and narrative/projecting (Finland). There were differences in how experiences were emphasised: the Chinese public approached their experiences from the viewpoint of pragmatism and utility, where they could obtain new ideas for their own work or experiencing the exhibition gave courage to approach their own lives from a new perspective. In turn, the Japanese public experienced the art from a therapeutic angle and from a very reserved perspective, which Dylan Evans (2001, 13−17) has described as typical to Japanese culture. The experiences of the Finnish audience were strongly therapeutic and narrative. The people projected their emotions onto the piece and in a concrete manner forged them into a story. The partly similar results of this study in China, Japan and Finland demonstrate that the art displayed in the exhibitions contain images of the beginning or elements connected to the beginning of life, which touch the subconscious in the way an ideal landscape would. Experiencing the meaningfulness of one s own life through art is a common thread and a bridge across cultures that unites the experiences of the audiences of this study, be they Taoists, Confucians, Buddhists or Maoists in China, Shinto followers, Zen Buddhists in Japan or Evangelist-Lutherans in Finland. Keywords: experience, reception, bridge across cultures, types of experiencing subjects, experiential process, ideal landscape, elementality

Ekotuotteet kuluttajan arjessa – vastuullisuutta, puhtautta ja arjen luksusta

Tutkielmassa tarkastellaan kuluttajien näkemyksiä ekotuotteiden valintaan vaikuttavista tekijöistä. Analysoin ekotuotteiden hankintaa kolmen teeman kautta. Ne ovat vihreys ja vastuullisuus, puhtaus tuotevalinnoissa sekä niin sanottu arjen luksus. Tutkimukseni empiirinen osa koostuu 10 teemahaastattelusta. Tutkimuskohteena on ekokauppa Ruohonjuuressa ostoksiaan tekevät kuluttajat. Haastateltavia etsin ilmoituksella ekokauppa Ruohonjuuresta sekä kaupan Facebook-sivuilta. Lisäksi oma haastattelupäivä Ruohonjuuren myymälässä tuotti haastateltavia mukaan tutkimukseen. Kirjoitin haastatteluista yhteenvedon ja analysoin aineistoa teemoittelun avulla. Nykyiset ympäristöongelmat vaikuttavat siihen, millaisena koemme arjen tulevaisuudessa. Vihreä ja vastuulllinen kuluttaja ottaa huomioon kulutuspäätöksiensä vaikutukset ympäristöön. Vihreät kulutuspäätökset tarkoittavat kestäviä kulutustapoja kuten jätteiden lajittelua, kirpputorikierrättämistä ja ympäristöä säästävien ekotuotteiden valintaa. Aineiston perusteella voi todeta, että ekotuotteiden ympäristömyönteisyyteen liitetään läheisesti luomutuotanto ja luomutuotteet. Ekotuotteet nähdään myös eettisinä ja moraalisina valintoina, joiden avulla halutaan vaikuttaa myös muiden hyvinvointiin. Ekotuotteisiin kohdistuu siten monenlaisia odotuksia, mutta myös epäilyjä. Aineistoni perusteella tuotetta ei välttämättä koettu ekotuotteeksi, jos sen valmistamiseen on käytetty paljon resursseja. Kuluttajat ovat kiinnostuneita ruoan alkuperästä ja sen aitoudesta. Ekotuotteet koetaan muita tuotteita päinvastoin puhtaiksi vaihtoehdoiksi. Puhtaus ekotuotteissa mielletään laadultaan turvallisiksi ja terveellisiksi tuotteiksi, jotka maistuvat hyvältä. Haastatteluaineiston perusteella voi todeta, että ekotuotteet koettiin myös arjen ostosten erikoisuudeksi. Arjen luksus lisää käyttäjälleen mielihyvän elämyksiä. Ekotuotteita ostamalla rakennetaan myös omaa elämäntyyliä ja erottaudutaan muista. Aineiston perusteella ekokauppaan mennään kiertelemään, tekemään heräteostoksia ja etsimään uutuuksia. Shoppailu ekokaupassa voi olla nautinnollista ja miellyttävää toimintaa, vaikka ostamista vain harkitaan. Ekotuote lahjana kertoo lahjan antajasta ja tuo lahjan saajalle palan luksusta vaikkapa luomusuklaan muodossa.

Divergencies of Perception : The Possibilities of Merleau-Pontian Phenomenology in Analyses of Contemporary Art

Maurice Merleau-Ponty (1908-1961) has been known as the philosopher of painting. His interest in the theory of perception intertwined with the questions concerning the artist s perception, the experience of an artwork and the possible interpretations of the artwork. For him, aesthetics was not a sub-field of philosophy, and art was not simply a subject matter for the aesthetic experience, but a form of thinking. This study proposes an opening for a dialogue between Merleau-Pontian phenomenology and contemporary art. The thesis examines his phenomenology through certain works of contemporary art and presents readings of these artworks through his phenomenology. The thesis both shows the potentiality of a method, but also engages in the critical task of finding the possible limitations of his approach. The first part lays out the methodological and conceptual points of departure of Merleau-Ponty s phenomenological approach to perception as well as the features that determined his discussion on encountering art. Merleau-Ponty referred to the experience of perceiving art using the notion of seeing with (voir selon). He stressed a correlative reciprocity described in Eye and Mind (1961) as the switching of the roles of the visible and the painter. The choice of artworks is motivated by certain restrictions in the phenomenological readings of visual arts. The examined works include paintings by Tiina Mielonen, a photographic work by Christian Mayer, a film by Douglas Gordon and Philippe Parreno, and an installation by Monika Sosnowska. These works resonate with, and challenge, his phenomenological approach. The chapters with case studies take up different themes that are central to Merleau-Ponty s phenomenology: space, movement, time, and touch. All of the themes are interlinked with the examined artworks. There are also topics that reappear in the thesis, such as the notion of écart and the question of encountering the other. As Merleau-Ponty argued, the sphere of art has a particular capability to address our being in the world. The thesis presents an interpretation that emphasises the notion of écart, which refers to an experience of divergence or dispossession. The sudden dissociation, surprise or rupture that is needed in order for a meeting between the spectator and the artwork, or between two persons, to be possible. Further, the thesis suggests that through artworks it is possible to take into consideration the écart, the divergence, that defines our subjectivity.

Cell versus message level performances in ATM networks

The goal of this paper is to provide some insight into the relations that exist between cell level and message level performance guarantees in the context of ATM networks. Cell level guarantees are typically what the network is capable of providing, while message level guarantees are the ones of interest to users. It is, therefore, important to understand how the two are related, and which factors influence this relation. There are many different performance measures that are of importance, and in this paper we try to touch on the (three) most relevant ones. This includes comparing cell and message loss probabilities, average cell and message delays, and cell and message jitter. Specifically, we show that cell and message loss probabilities can exhibit significant differences, which strongly depend on traffic characteristics such as peak rate and burst size, i.e., for a fixed cell loss probability, the message loss probability can greatly vary when peak rate and burst size change. One reason for this sensitivity, is that message loss depends on what happen to all the cells in a message. For delay and jitter, we also find that peak rate and burst size play a role in determining the relation between cell and message performance. However, this sensitivity is not as acute as with losses since message delay and jitter are typically determined by the performance seen by only one cell, the last cell in a message. In the paper, we provide quantitative examples that illustrate the range of behaviors and identify the impact of different parameters.

Issues in Achievement of Haptic Realism

This paper deals with haptic realism related to Kinematic capabilities of the devices used in manipulation of virtual objects in virtual assembly environments and its effect on achieving haptic realism. Haptic realism implies realistic touch sensation. In virtual world all the operations are to be performed in the same way and with same level of accuracy as in the real world .In order to achieve realism there should be a complete mapping of real and virtual world dimensions. Experiments are conducted to know the kinematic capabilities of the device by comparing the dimensions of the object in the real and virtual world. Registered dimensions in the virtual world are found to be approximately 1.5 times that of the real world. Dimensional variations observed were discrepancy due to exoskeleton and discrepancy due to real and virtual hands. Experiments are conducted to know the discrepancy due to exoskeleton and this discrepancy can be taken care of by either at the hardware or software level. A Mathematical model is proposed to know the discrepancy between real and virtual hands. This could not give a fixed value and can not be taken care of by calibration. Experiments are conducted to figure out how much compensation can be given to achieve haptic realism.

Pricing credit derivatives

The financial crisis set off by the default of Lehman Brothers in 2008 leading to disastrous consequences for the global economy has focused attention on regulation and pricing issues related to credit derivatives. Credit risk refers to the potential losses that can arise due to the changes in the credit quality of financial instruments. These changes could be due to changes in the ratings, market price (spread) or default on contractual obligations. Credit derivatives are financial instruments designed to mitigate the adverse impact that may arise due to credit risks. However, they also allow the investors to take up purely speculative positions. In this article we provide a succinct introduction to the notions of credit risk, the credit derivatives market and describe some of the important credit derivative products. There are two approaches to pricing credit derivatives, namely the structural and the reduced form or intensity-based models. A crucial aspect of the modelling that we touch upon briefly in this article is the problem of calibration of these models. We hope to convey through this article the challenges that are inherent in credit risk modelling, the elegant mathematics and concepts that underlie some of the models and the importance of understanding the limitations of the models.

Representing a cubic graph as the intersection graph of axis-parallel boxes in three dimensions

We show that every graph of maximum degree 3 can be represented as the intersection graph of axis parallel boxes in three dimensions, that is, every vertex can be mapped to an axis parallel box such that two boxes intersect if and only if their corresponding vertices are adjacent. In fact, we construct a representation in which any two intersecting boxes just touch at their boundaries. Further, this construction can be realized in linear time.

Majorana fermions in superconducting wires: Effects of long-range hopping, broken time-reversal symmetry, and potential landscapes

We present a comprehensive study of two of the most experimentally relevant extensions of Kitaev's spinless model of a one-dimensional p-wave superconductor: those involving (i) longer-range hopping and superconductivity and (ii) inhomogeneous potentials. We commence with a pedagogical review of the spinless model and, as a means of characterizing topological phases exhibited by the systems studied here, we introduce bulk topological invariants as well as those derived from an explicit consideration of boundary modes. In time-reversal symmetric systems, we find that the longer range hopping leads to topological phases characterized by multiple Majorana modes. In particular, we investigate a spin model that respects a duality and maps to a fermionic model with multiple Majorana modes; we highlight the connection between these topological phases and the broken symmetry phases in the original spin model. In the presence of time-reversal symmetry breaking terms, we show that the topological phase diagram is characterized by an extended gapless regime. For the case of inhomogeneous potentials, we explore phase diagrams of periodic, quasiperiodic, and disordered systems. We present a detailed mapping between normal state localization properties of such systems and the topological phases of the corresponding superconducting systems. This powerful tool allows us to leverage the analyses of Hofstadter's butterfly and the vast literature on Anderson localization to the question of Majorana modes in superconducting quasiperiodic and disordered systems, respectively. We briefly touch upon the synergistic effects that can be expected in cases where long-range hopping and disorder are both present.

REPRESENTING A CUBIC GRAPH AS THE INTERSECTION GRAPH OF AXIS-PARALLEL BOXES IN THREE DIMENSIONS

We show that every graph of maximum degree 3 can be represented as the intersection graph of axis parallel boxes in three dimensions, that is, every vertex can be mapped to an axis parallel box such that two boxes intersect if and only if their corresponding vertices are adjacent. In fact, we construct a representation in which any two intersecting boxes touch just at their boundaries.

Males and females of the social wasp Ropalidia marginata do not differ in their cuticular hydrocarbon profiles and do not seem to use any long-distance volatile mate attraction cues

Sex pheromones are vital in communication between individuals belonging to opposite sexes and form an integral part of the reproductive biology of various species. Among insects, sexual dimorphism in CHCs has been reported from diverse taxa spanning seven different orders, and thereby CHCs have been implicated as sex pheromones. Because males and females of the primitively eusocial wasp Ropalidia marginata touch each other with their antennae during mating, before engaging in sperm transfer, a sex pheromone that is perceived via contact chemosensation through the antennae can possibly exist in this species. Since CHCs have been implied as sex pheromones in various insects (including hymenopterans), and since sexual dimorphism of CHCs should be an obligatory prerequisite for them to act as sex pheromones, we investigated whether males and females of R. marginata differ in their CHC profiles. We found only nonvolatile CHCs, and our results show absence of sexual dimorphism in CHCs, suggesting that CHCs do not function as sex pheromone in this species. A behavioral assay failed to show presence of mate attraction at a distance, thereby showing the absence of volatile long-distance mate attraction cues (that may originate from sources other than and in addition to CHCs).

Ellipse Fitting Using the Finite Rate of Innovation Sampling Principle

Standard approaches for ellipse fitting are based on the minimization of algebraic or geometric distance between the given data and a template ellipse. When the data are noisy and come from a partial ellipse, the state-of-the-art methods tend to produce biased ellipses. We rely on the sampling structure of the underlying signal and show that the x- and y-coordinate functions of an ellipse are finite-rate-of-innovation (FRI) signals, and that their parameters are estimable from partial data. We consider both uniform and nonuniform sampling scenarios in the presence of noise and show that the data can be modeled as a sum of random amplitude-modulated complex exponentials. A low-pass filter is used to suppress noise and approximate the data as a sum of weighted complex exponentials. The annihilating filter used in FRI approaches is applied to estimate the sampling interval in the closed form. We perform experiments on simulated and real data, and assess both objective and subjective performances in comparison with the state-of-the-art ellipse fitting methods. The proposed method produces ellipses with lesser bias. Furthermore, the mean-squared error is lesser by about 2 to 10 dB. We show the applications of ellipse fitting in iris images starting from partial edge contours, and to free-hand ellipses drawn on a touch-screen tablet.

¿Cómo usan las redes sociales los jóvenes de Latinoamérica?

Resumen: La difusión de las redes sociales en Internet ha pasado a formar parte de la vida cotidiana de los jóvenes. Las motivaciones que guían la elección de algunas de ellas, la frecuencia de uso y su impacto en el consumo de medios de comunicación tradicionales conforman el núcleo de este trabajo. Los jóvenes mostraron estar familiarizados con los fines y aplicaciones de las diferentes redes sociales, aunque en su gran mayoría eligen Facebook como su favorita. Manifiestan que, en términos generales, las redes sociales ofrecen una forma de comunicación completa, ya que permiten compartir texto, fotos, videos y enlaces, y estar en contacto permanente con familiares, amigos y conocidos