The side effects of quantitative easing:evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.

Auctions with Untrustworthy Bidders

The paper analyzes auctions which are not completely enforceable. In such auctions, economic agents may fail to carry out their obligations, and parties involved cannot rely on external enforcement or control mechanisms for backing up a transaction. We propose two mechanisms that make bidders directly or indirectly reveal their trustworthiness. The first mechanism is based on discriminating bidding schedules that separate trustworthy from untrustworthy bidders. The second mechanism is a generalization of the Vickrey auction to the case of untrustworthy bidders. We prove that, if the winner is considered to have the trustworthiness of the second-highest bidder, truthfully declaring one's trustworthiness becomes a dominant strategy. We expect the proposed mechanisms to reduce the cost of trust management and to help agent designers avoid many market failures caused by lack of trust.

Developing Agent Interaction Protocols with PRALU

The purpose of the paper is to explore the possibility of applying existing formal theories of description and design of distributed and concurrent systems to interaction protocols for real-time multi-agent systems. In particular it is shown how the language PRALU, proposed for description of parallel logical control algorithms and rooted in the Petri net formalism, can be used for the modeling of complex concurrent conversations between agents in a multi-agent system. It is demonstrated with a known example of English auction on how to specify an agent interaction protocol using considered means.

A villamos energia áralakulásának egy új modellje (A new model for price movement in electric power)

A tanulmány az aukciós villamosenergia-tőzsdéken kialakuló óránkénti árak statisztikai jellemzőivel foglalkozik. Célja, hogy egyes legújabb kutatási eredmények alapján új megvilágításban mutassa be a villamos energia óránkénti árára jellemző főbb megállapításokat, amelyek a későbbiekben az ár modellezésének alapjául szolgálhatnak. A jelenségeket az EEX és Nord Pool áramtőzsdén kereskedett termékek árainak adatain szemlélteti. Látni fogjuk, hogy át kell értékelnünk több, a villamosenergia-árak statisztikai viselkedéséről alkotott meggondolást. / === / The article concerns the statistical features of the hourly prices on auction-based markets for electric power. The purpose is to use the latest research findings to present the main statements about the hourly price for electric power in a new light, so that they can serve later as a basis for price modelling. The phenomena are viewed through the price data of products traded on the EEX and Nord Pool power exchanges. It emerges that several ideas about the statistical behaviour of electric power prices have to be reviewed.

Stable sets in one-seller assignment games

We consider von Neumann -- Morgenstern stable sets in assignment games with one seller and many buyers. We prove that a set of imputations is a stable set if and only if it is the graph of a certain type of continuous and monotone function. This characterization enables us to interpret the standards of behavior encompassed by the various stable sets as possible outcomes of well-known auction procedures when groups of buyers may form bidder rings. We also show that the union of all stable sets can be described as the union of convex polytopes all of whose vertices are marginal contribution payoff vectors. Consequently, each stable set is contained in the Weber set. The Shapley value, however, typically falls outside the union of all stable sets.

Cumulon: Simplified Matrix-Based Data Analytics in the Cloud

Cumulon is a system aimed at simplifying the development and deployment of statistical analysis of big data in public clouds. Cumulon allows users to program in their familiar language of matrices and linear algebra, without worrying about how to map data and computation to specific hardware and cloud software platforms. Given user-specified requirements in terms of time, monetary cost, and risk tolerance, Cumulon automatically makes intelligent decisions on implementation alternatives, execution parameters, as well as hardware provisioning and configuration settings -- such as what type of machines and how many of them to acquire. Cumulon also supports clouds with auction-based markets: it effectively utilizes computing resources whose availability varies according to market conditions, and suggests best bidding strategies for them. Cumulon explores two alternative approaches toward supporting such markets, with different trade-offs between system and optimization complexity. Experimental study is conducted to show the efficiency of Cumulon's execution engine, as well as the optimizer's effectiveness in finding the optimal plan in the vast plan space.

Bidding For Parking: The Impact of University Affiliation on Predicting Bid Values in Dutch Auctions of On-Campus Parking Permits

Parking is often underpriced and expanding its capacity is expensive; universities need a better way of reducing congestion outside of building costly parking garages. Demand based pricing mechanisms, such as auctions, offer a possible solution to the problem by promising to reduce parking at peak times. However, faculty, students, and staff at universities have systematically different parking needs, leading to different parking valuations. In this study, I determine the impact university affiliation has on predicting bid values cast in three Dutch Auctions of on-campus parking permits sold at Chapman University in Fall 2010. Using clustering techniques crosschecked with university demographic information to detect affiliation groups, I ran a log-linear regression, finding that university affiliation had a larger effect on bid amount than on lot location and fraction of auction duration. Generally, faculty were predicted to have higher bids whereas students were predicted to have lower bids.

Topics in Behavioural Economics - Information and Fairness. Revised edition

This thesis dwells upon topics in behavioural economics: information and fairness, with five research papers. The first two contributions are concerned with the extension of standard auction formats with information acquisition strategies. The third paper addresses global games framed as a speculative attack and tests theoretical predictions for risk and ambiguity. The fourth contribution deals with disclosing conflicts of interest, where one player has a monetary incentive to deceive. The last paper extends a standard model of social preferences with a second fairness dimension and studies how economic agents distort fairness norms exhibiting a self-serving bias effect.

Les petites pêches côtières et estuariennes Françaises du sud du golfe de Gascogne. Typologie des flottilles et approche socio-économique et commerciale

The European contract PECOSUDE (Small inshore fisheries of the south of Europe) accepted in 2000 for 2 years concerns French, Spanish and Portuguese partners. The aim is to assess the inshore and estuarine fisheries from Loire estuary to Portugal. Three levels of study are considered : fisheries (data 1999), socioeconomy and marketing (data 1999 or 2000). Exploitation in the 12 miles area for France and on continental shelf for northern Spain and Portugal (within 1000 m depth), as well as the fishing period lower than 96 hours was determined as the definition of this fishery for the study. Socioeconomic analyses are made only on boats smaller than 15 m. The fisheries part analyses the activity of the fishing vessels taking into account gears used, landed species, areas and fishing seasons. Within the 39 harbours of the south Bay of Biscay 1 799 coastal or estuarine vessels with 3 580 fishermen are located. Statics gears are predominant, and more than half of the vessels are polyvalent (using several gears). In 1999, landings were 20 6441 weight for 84 M¿ value. The fishing activity of these boats was also analysed by typology of the fleet, based on fishing gears and/or species landed. These characterisations allowed the application of stratified sampling for the implementation of socioeconomic investigations. The analysis of the information received from the fishermen allow to describe the production factors, to estimate their costs, as well as the turnover, the richness creation and the efficiency of the production means. The capital value of the south Bay of Biscay " ship " is established about 94 k¿, the average turnover amount to 83 k¿ and the average rate of added value to 70%. Products commercialisation vary from component to component, the importance of the sells in auction places depends on the landed species. Some valuable species are directly sold to particular

A stylized software model to explore the free market equality/efficiency tradeoff

This paper provides an agent-based software exploration of the wellknown free market efficiency/equality trade-off. Our study simulates the interaction of agents producing, trading and consuming goods in the presence of different market structures, and looks at how efficient the producers/consumers mapping turn out to be as well as the resulting distribution of welfare among agents at the end of an arbitrarily large number of iterations. Two market mechanisms are compared: the competitive market (a double auction market in which agents outbid each other in order to buy and sell products) and the random one (in which products are allocated randomly). Our results confirm that the superior efficiency of the competitive market (an effective and never stopping producers/consumers mapping and a superior aggregative welfare) comes at a very high price in terms of inequality (above all when severe budget constraints are in play).

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Livestock newsletter

This weekly publication gives the auction prices for cattle, pigs and grain in South Carolina markets.

Livestock newsletter

This weekly publication gives the auction prices for cattle, pigs and grain in South Carolina markets.

Livestock newsletter

This weekly publication gives the auction prices for cattle, pigs and grain in South Carolina markets.

Livestock newsletter

This weekly publication gives the auction prices for cattle, pigs and grain in South Carolina markets.