Volume, volatility, and leverage: A dynamic analysis

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

Terminating links between emission trading programs

© 2015 Elsevier Inc.Links between emission trading programs are not immutable, as highlighted by New Jersey's exit from the Regional Greenhouse Gas Initiative in 2011. This raises the question of what to do with existing permits that are banked for future use-choices that have consequences for market behavior in advance of, or upon speculation about, delinking. We consider two delinking policies. One differentiates banked permits by origin, the other treats banked permits the same. We describe the price behavior and relative cost-effectiveness of each policy. Treating permits differently generally leads to higher costs, and may lead to price divergence, even with only speculation about delinking.

[BSHM meetings] Topics in the history of financial mathematics: early commerce to chaos in modern stock markets

This account provides an overview of the study day, entitled 'Topics in the History of Financial Mathematics: Early commerce to chaos in modern stock markets,' held by the British Society for the History of Mathematics jointly with Gresham College, at Gresham College, London on 25th April 2008. The series of talks explored the development of mathematics and mathematical techniques in a commercial and financial context.

Depth gradients of benthic standing stock and diversity on the continental margin at a high-latitude ice-free site (off Spitsbergen 79 degrees N)

High-latitude seas are mostly covered by multi-year ice, which impacts processes of primary production and sedimentation of organic matter. Because of the warming effect of West Spitsbergen Current (WSC), the waters off West Spitsbergen have only winter ice cover. That is uncommon for such a high latitude and enables to separate effects of multiyear-ice cover from the latitudinal patterns. Macrofauna was sampled off Kongsfjord (79°N) along the depth gradient from 300 to 3000 m. The density, biomass and diversity at shallow sites situated in a canyon were very variable. Biomass was negatively correlated with depth (R=-0.86R=-0.86, p<0.001), and ranged from 61 g ww m−2 (212 m) to 1 g ww m−2 (2025 m). The biomasses were much higher than in the multiyear-ice covered High Arctic at similar depths, while resembling those from temperate and tropical localities. Species richness (expressed by number of species per sample and species–area accumulation curves) decreased with depth. There was no clear depth-related pattern in diversity measures: Hurbert rarefaction, Shannon–Wiener or Pielou. The classic increase of species richness and diversity with depth was not observed. Species richness and diversity of deep-sea macrofauna were much lower in our study than in comparable studies of temperate North Atlantic localities. That is related to geographic isolation of Greenland–Icelandic–Norwegian (GIN) seas from the Atlantic pool of species.

Fishery Exploitation and Stock Assessment of the Endangered Nassau Grouper, Epinephelus Striatus (Actinopterygii: Perciformes: Serranidae), in the Turks and Caicos Islands

The Nassau grouper, Epinephelus striatus (Bloch, 1792), is an endangered species that has been historically overexploited in numerous fisheries throughout its range in the Caribbean and tropical West Atlantic. Data relating fishery exploitation levels to stock abundance of the species are deficient, and protective regulations for the Nassau grouper are yet to be implemented in the Turks and Caicos Islands (TCI). The goal of this study was to conduct a stock assessment and evaluate the exploitation status of the Nassau grouper in the TCI. Materials and methods. Calibrated length cohort analysis was applied to published fisheries data on Nassau grouper landings in the TCI. The total lengths of Nassau groupers among the catches of spearfishers, lobster trappers, and deep sea fishers on the island of South Caicos during 2006 and 2008 were used with estimates of growth, natural mortality, and total annual landings to derive exploitation benchmarks. Results. The TCI stock experienced low to moderate fishing mortality (0.28, 0.18) and exploitation rates (0.49, 0.38) during the period of the study (2006, 2008). However, 21.2%-64.4% of all landings were reproductively immature. Spearfishing appeared to contribute most to fishing mortality relative to the use of lobster traps or hydraulic reels along bank drop-offs. Conclusion. In comparison with available fisheries data for the wider Caribbean, the results reveal the TCI as one of the remaining sites, in addition to the Bahamas, with a substantial Nassau grouper stock. In light of increasing development and tourism in the TCI, continued monitoring is essential to maintain sustainable harvesting practices.

Technology and the architecture of markets: re-configuring the Canadian equity market

This paper examines the relation between technical possibilities, liberal logics, and the concrete reconfiguration of markets. It focuses on the enrolling of innovations in communication and information technologies into the markets traditionally dominated by stock exchanges. With the development of capacities to trade on-screen, the power of incumbent market makers has been challenged as a less stable array of competing quasi-public and private marketplaces emerges. Developing a case study of the Toronto Stock Exchange, I argue that narrative emphasis on the performative power of sociotechnical innovations, the deterritorialisation of financial relations, and the erosion of state capacities needs qualification. A case is made for the importance of developing an understanding of: the spaces of encounter between emerging social technologies and property rights, rules of exchange, and structures of governance; and the interplay of orderings of different institutional composition and spatial reach in the reconfiguration of market architectures. Only then can a better grasp be gained of the evolving dynamics between making markets, the regulatory powers of the state, and their delimitations.