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.

Mining Unit Tests for Discovery and Migration of Math APIs

Today's programming languages are supported by powerful third-party APIs. For a given application domain, it is common to have many competing APIs that provide similar functionality. Programmer productivity therefore depends heavily on the programmer's ability to discover suitable APIs both during an initial coding phase, as well as during software maintenance. The aim of this work is to support the discovery and migration of math APIs. Math APIs are at the heart of many application domains ranging from machine learning to scientific computations. Our approach, called MATHFINDER, combines executable specifications of mathematical computations with unit tests (operational specifications) of API methods. Given a math expression, MATHFINDER synthesizes pseudo-code comprised of API methods to compute the expression by mining unit tests of the API methods. We present a sequential version of our unit test mining algorithm and also design a more scalable data-parallel version. We perform extensive evaluation of MATHFINDER (1) for API discovery, where math algorithms are to be implemented from scratch and (2) for API migration, where client programs utilizing a math API are to be migrated to another API. We evaluated the precision and recall of MATHFINDER on a diverse collection of math expressions, culled from algorithms used in a wide range of application areas such as control systems and structural dynamics. In a user study to evaluate the productivity gains obtained by using MATHFINDER for API discovery, the programmers who used MATHFINDER finished their programming tasks twice as fast as their counterparts who used the usual techniques like web and code search, IDE code completion, and manual inspection of library documentation. For the problem of API migration, as a case study, we used MATHFINDER to migrate Weka, a popular machine learning library. Overall, our evaluation shows that MATHFINDER is easy to use, provides highly precise results across several math APIs and application domains even with a small number of unit tests per method, and scales to large collections of unit tests.

Growth, mortality, and exploitation of the Engraulidae, with special reference to the anchoveta, Cetengraulis mysticetus, and the colorado, Anchoa naso, in the Eastern Pacific Ocean

ENGLISH: Growth and mortality data for Cetengraulis mysticetus, Anchoa naso, Engraulis mordax, E. ring ens, E. anchoita, E. encraslcbolus, E. japonicus, and E. australis were assembled and compared. Estimates of the coefficients of natural mortality, M, of E. anchoita and Ancboa naso were made from the maximum age of the former and from data for the other species. The relative yields per recruit at different fishing mortality rates and lengths at entry into the fishery were calculated for each species, using what are considered to be the best estimates and other likely values of K, a constant of growth, and M. The maximum yields per recruit are theoretically obtainable at very high fishing mortality rates, except when the length at entry is low relative to the asymptotic length. K and M may be positively related to the temperature and to each other, and if such is the case at higher temperatures greater fishing effort would be needed to attain the maximum yield per recruit. The applicability of the yield-per-recruit approach to the data is discussed, and suggestions for further research are made. SPANISH: Se reunieron y compararon los datos sobre el crecimiento y mortalidad correspondientes a Cetengraulis mysticetus, Anchoa naso, Engraulis mordax, E. ringens, E. anchoíta, E. encrasicbolus, E. japonicus y E. australls. Los estimativos de los coeficientes de la mortalidad natural, M, de E. anchoita y Anchoa naso se obtuvieron según la edad máxima de E. anchoita y según los datos de las otras especies. Se calculó para cada especie el rendimiento relativo por recluta a diferentes tasas de mortalidad por la pesca y a diferentes longitudes de entrada a la pesquería, empleándose lo que se considera que son los mejores estimativos y otros valores probables de K, una constante de crecímíento, y M. El rendimiento máximo por recluta se obtiene teóricamente a tasas muy altas de la mortalidad por la pesca con excepción de cuando la longitud a la entrada es baja en relación a la longitud asintótica. K y M pueden estar relacionadas positivamente a la temperatura y mutuamente, y si este es el caso a temperaturas más altas se necesitará un esfuerzo superior de pesca para obtener el rendimiento máximo por recluta. La aplicabilidad del enfoque a los datos rendimiento-por-recluta es discutido y se hacen sugerencias para otras investigaciones. (PDF contains 66 pages.)

Market survey of the periwinkle Tympanotonus fuscatus in Rivers State: Sizes, prices, trade routes and exploitation levels

Tympanotonus fuscatus was collected from 23 markets through Rivers State (Nigeria), a few in neighbouring states, and from an unexploited population at Buguma. The size distribution of shells was determined,and information on prices and trade routes was also obtained. The mean shell length of specimens from the unexploited Buguma population was 46.4 mm, compared to 30.4 mm for the Buguma market samples. Mean sizes in other markets showed a geographic pattern: the smallest were from the Adoni-Ogoni-Opobo sector (28.1-30.9); the largest were from the Nembe-Brass sector (37.7-44.2) and Bendel State (35.7-45.6); The results suggest the population structure of Tympanotonus in much of Rivers State has been strongly impacted by overharvesting. They show that local market as well as some in Cross River State, are increasingly being supplied by road with specimens from the Benin River area of Bendel State. Differences between shell types; and relations between shell size, selling price and market distance from source, are also discussed

RESTful Discovery and Eventing for Service Provisioning in Assisted Living Environments

Service provisioning in assisted living environments faces distinct challenges due to the heterogeneity of networks, access technology, and sensing/actuation devices in such an environment. Existing solutions, such as SOAP-based web services, can interconnect heterogeneous devices and services, and can be published, discovered and invoked dynamically. However, it is considered heavier than what is required in the smart environment-like context and hence suffers from performance degradation. Alternatively, REpresentational State Transfer (REST) has gained much attention from the community and is considered as a lighter and cleaner technology compared to the SOAP-based web services. Since it is simple to publish and use a RESTful web service, more and more service providers are moving toward REST-based solutions, which promote a resource-centric conceptualization as opposed to a service-centric conceptualization. Despite such benefits of REST, the dynamic discovery and eventing of RESTful services are yet considered a major hurdle to utilization of the full potential of REST-based approaches. In this paper, we address this issue, by providing a RESTful discovery and eventing specification and demonstrate it in an assisted living healthcare scenario. We envisage that through this approach, the service provisioning in ambient assisted living or other smart environment settings will be more efficient, timely, and less resource-intensive.

Population dynamics and exploitation of Metapenaeus affinis in Kuwaiti waters

Length-frequency data of Metapenaeus affinis collected from the trawl catches of R/V Bahith in Kuwaiti waters from 1985 to 1989 were combined with estimates of monthly total catch by the commercial and small-scale fleets operating in Kuwait, and analyzed using the Compleat ELEFAN software package. A major recruitment pulse of M. affinis occurs in spring and a minor one in autumn. Optimum relative yield per recruit (Y'/R) is obtained with the length-at-first capture (L sub(c)) of 24.4 cm CL for females and < 17.6 m CL for males. Virtual population analysis results indicated that the biomasses have decreased during the last three-year period for which data were available.

The assessment and exploitation of eel (ANGUILLA ANGUILLA. L) stocks in the River Thames and its catchment.

This is the assessment and exploitation of eel (Anguilla anguilla. L) stocks in the River Thames and its catchment performed by the Polytechnic of Central London and The Thames Water Authority Research Project between April 1985 and April 1986. The report makes an examination of the pre-pollution history of the Thames eel fishing industry to permit an assessment of the recovery of the eel stock following the cleaning up of the Tideway. Archive material shows that the 19th Century stock was larger and more widely distributed than it is today, and the natural recruitment of elvers to the system is now much smaller. Sampling of commercial catches and trapping studies, including comparisons of different mesh sizes, have been undertaken in order to develop a statistical model of the Inner Estuary eel stock and its fishery. Local migrations and activity throughout the year are studied. Electro—fishing methods and eel traps are compared using mark-recapture techniques in order to develop an accurate means of assessing relative abundance and distribution. Work so far has concentrated mainly on the Rivers Darent and Roding but a preliminary distribution map for the whole catchment has been prepared. An experimental trapping site was established on the River Darent to investigate natural recruitment and up—river migration of elvers and juvenile eels. 1790 small eels were taken in 1985 providing information on the scale, timings and factors affecting the migration.

Discovery and characterization of two types of liver-expressed antimicrobial peptide 2 (LEAP-2) genes in rainbow trout

The sequences and gene organisation of two LEAP-2 molecules (LEAP-2A and LEAP-2B) from rainbow trout, Oncorhynchus mykiss are presented. Both genes consist of a 3 exon/2 intron structure, with exon sizes comparable to known mammalian genes. LEAP-2A notably differs from LEAP-2B in having larger introns and a larger 3'UTR. The predicted proteins contain a signal peptide and prodomain, followed by a mature peptide of 41 aa containing four conserved cysteines. The RXXR cleavage site to release the mature peptide was also conserved. Both genes were found to be constitutively expressed in the liver, with expression in the intestine, and to a lesser extent the skin, evident after bacterial challenge. (C) 2004 Elsevier B.V. All rights reserved.

Expressed sequence tags from the zhikong scallop (Chlamys farreri): Discovery and annotation of host-defense genes

A high-quality cDNA library was constructed from whole body tissues of the zhikong scallop, Chlamys farreri, challenged by Listonella anguillarum. A total of 5720 clones were sequenced, yielding 5123 expressed sequence tags (ESTs). Among the 3326 unique genes identified, 2289 (69%) genes had no significant (E-value < 1e-5) matches to known sequences in public databases and 194 (6%) matched proteins of unknown functions. The remaining 843 (25%) genes that exhibited homology with genes of known functions, showed broad involvement in metabolic processes (31%), cell structure and motility (20%), gene and protein expression (12%), cell signaling and cell communication (8%), cell division (4%), and notably, 25% of those genes were related to immune function. They included stress response genes, complement-like genes, proteinase and proteinase inhibitors, immune recognition receptors and immune effectors. The EST collection obtained in this study provides a useful resource for gene discovery and especially for the identification of host-defense genes and systems in scallops and other molluscs. (C) 2009 Elsevier Ltd. All rights reserved.

TYPICAL: A Knowledge Representation System for Automated Discovery and Inference

TYPICAL is a package for describing and making automatic inferences about a broad class of SCHEME predicate functions. These functions, called types following popular usage, delineate classes of primitive SCHEME objects, composite data structures, and abstract descriptions. TYPICAL types are generated by an extensible combinator language from either existing types or primitive terminals. These generated types are located in a lattice of predicate subsumption which captures necessary entailment between types; if satisfaction of one type necessarily entail satisfaction of another, the first type is below the second in the lattice. The inferences make by TYPICAL computes the position of the new definition within the lattice and establishes it there. This information is then accessible to both later inferences and other programs (reasoning systems, code analyzers, etc) which may need the information for their own purposes. TYPICAL was developed as a representation language for the discovery program Cyrano; particular examples are given of TYPICAL's application in the Cyrano program.

Delivering mobile cloud services to the user: description, discovery, and consumption

The mobile cloud computing paradigm can offer relevant and useful services to the users of smart mobile devices. Such public services already exist on the web and in cloud deployments, by implementing common web service standards. However, these services are described by mark-up languages, such as XML, that cannot be comprehended by non-specialists. Furthermore, the lack of common interfaces for related services makes discovery and consumption difficult for both users and software. The problem of service description, discovery, and consumption for the mobile cloud must be addressed to allow users to benefit from these services on mobile devices. This paper introduces our work on a mobile cloud service discovery solution, which is utilised by our mobile cloud middleware, Context Aware Mobile Cloud Services (CAMCS). The aim of our approach is to remove complex mark-up languages from the description and discovery process. By means of the Cloud Personal Assistant (CPA) assigned to each user of CAMCS, relevant mobile cloud services can be discovered and consumed easily by the end user from the mobile device. We present the discovery process, the architecture of our own service registry, and service description structure. CAMCS allows services to be used from the mobile device through a user's CPA, by means of user defined tasks. We present the task model of the CPA enabled by our solution, including automatic tasks, which can perform work for the user without an explicit request.