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.

Generalised vortex motion of compressible fluid with and without magnetic field and suction

The laminar boundary layer over a stationary infinite disk induced by a rotating compressible fluid is considered. The free stream velocity has been taken as tangential and varies as a power of radius, i.e. v∞ ˜ r−n. The effect of the axial magnetic field and suction is also included in the analysis. An implicit finite difference scheme is employed to the governing similarity equations for numerical computations. Solutions are studied for various values of disk to fluid temperature ratio and for values of n between 1 and −1. In the absence of the magnetic field and suction, velocity profiles exhibit oscillations. It has been observed that for a hot disk in the presence of a magnetic field the boundary layer solutions decay algebraically instead of decaying exponentially. In the absence of the magnetic field and suction, the solution of the similarity equations exists only for a certain range of n.

Structural aspects of high-temperature cuprate superconductors

High-temperature superconductivity constitutes the most sensational discovery of recent times. Since these new superconductors are complex metal oxides, chemistry has had a big role to play in the investigations. For the first time, stoichiometry, structure, bonding, and such chemical factors have formed central themes in superconductivity, an area traditionally dominated by physicists. These oxide superconductors have given a big boost to solid-state chemistry.

Assessment of In-House Natural Product and Synthetic Compound Libraries Based on In vitro Inhibition of Cholinesterases

The first line medication for mild to moderate Alzheimer s disease (AD) is based on cholinesterase inhibitors which prolong the effect of the neurotransmitter acetylcholine in cholinergic nerve synapses which relieves the symptoms of the disease. Implications of cholinesterases involvement in disease modifying processes has increased interest in this research area. The drug discovery and development process is a long and expensive process that takes on average 13.5 years and costs approximately 0.9 billion US dollars. Drug attritions in the clinical phases are common due to several reasons, e.g., poor bioavailability of compounds leading to low efficacy or toxic effects. Thus, improvements in the early drug discovery process are needed to create highly potent non-toxic compounds with predicted drug-like properties. Nature has been a good source for the discovery of new medicines accounting for around half of the new drugs approved to market during the last three decades. These compounds are direct isolates from the nature, their synthetic derivatives or natural mimics. Synthetic chemistry is an alternative way to produce compounds for drug discovery purposes. Both sources have pros and cons. The screening of new bioactive compounds in vitro is based on assaying compound libraries against targets. Assay set-up has to be adapted and validated for each screen to produce high quality data. Depending on the size of the library, miniaturization and automation are often requirements to reduce solvent and compound amounts and fasten the process. In this contribution, natural extract, natural pure compound and synthetic compound libraries were assessed as sources for new bioactive compounds. The libraries were screened primarily for acetylcholinesterase inhibitory effect and secondarily for butyrylcholinesterase inhibitory effect. To be able to screen the libraries, two assays were evaluated as screening tools and adapted to be compatible with special features of each library. The assays were validated to create high quality data. Cholinesterase inhibitors with various potencies and selectivity were found in natural product and synthetic compound libraries which indicates that the two sources complement each other. It is acknowledged that natural compounds differ structurally from compounds in synthetic compound libraries which further support the view of complementation especially if a high diversity of structures is the criterion for selection of compounds in a library.

Identification of molecules relevant for the invasiveness of fibrosarcomas and melanomas

Cancer is becoming the leading cause of deaths in the world. As 90% of all deaths from cancer are caused by metastasis, discovery of the mechanisms behind cancer cell invasion and metastasis is of utmost importance. Only new effective therapies targeting cancer progression can reduce cancer mortality rates. The aim of this study was to identify molecules that are relevant for tumor cell invasion and spreading in fibrosarcomas and melanomas, and to analyze their potential for cancer biomarkers or therapeutic targets. First, the gene expression changes of normal cells and transformed cells showing high invasiveness, S-adenosylmethionine decarboxylase (AdoMetDC)-transfected murine fibroblasts and human melanoma cells, were studied by microarray analyses. The function of the identified candidate molecules were then studied in detail in these cell lines. Finally, the physiological relevance of the identified changes was studied by immunohistochemical analyses of human sarcoma and melanoma specimens or by a mouse xenograft model. In fibrosarcoma cells, the most remarkable change detected was a dramatic up-regulation of the actin-sequestering molecule thymosin beta 4 (TB4), which was shown to be important for the transformed phenotype of the AdoMetDC-transfected cells (Amdc-s and -as). A sponge toxin latrunculin A, inhibiting the binding of TB4 to actin, was found to selectively inhibit the migration and invasion of these cells. Further, Amdc-s-induced mouse tumors and human high-grade sarcomas were found to show intense TB4 immunostaining. In addition to TB4, integrin subunits alfa 6 and beta 7 (ItgA6 and ItgB7) were found to be up-regulated in Amdc-s and -as cells. ItgA6 was shown to dimerize mainly with ItgB1 in Amdc-s. Inhibition of ItgA6 or ItgB1 function with neutralizing antibodies fully blocked the invasiveness of Amdc-s cells, and importantly also human HT-1080 fibrosarcoma cells, in three-dimensional (3D)-Matrigel mimicking tumor extracellular matrix (ECM). By immunohistochemical analyses, strong staining for ITGA6 was detected in human high-grade fibrosarcomas and other sarcomas, especially at the invasion fronts of the tumors. In the studied melanoma cell lines, the expression levels of the adhesion-related ECM proteins tenascin-C (TN-C), fibronectin (FN), and transforming growth factor beta-induced (TGFBI) were found to be highly up-regulated. By immunohistochemistry, intense TN-C and FN staining was detected in invasive and metastatic melanoma tumors, showing co-localization (together with procollagen-I) in tubular meshworks and channels around the invading melanoma cells. In vitro, TN-C and FN were further found to directly stimulate the migration of melanoma cells in 3D-collagen-I matrix. The third candidate protein, TGFBI, was found to be an anti-adhesive molecule for melanoma cells, and knockdown of its expression in metastatic melanoma cells (TGFBI-KD cells) led to dramatically impaired tumor growth in immunocompromized mice. Interestingly, the control tumors showed intense TGFBI immunostaining in the invasion fronts, showing partial co-localization with the fibrillar FN staining, whereas the small TGFBI-KD cell-induced tumors displayed amorphous, non-fibrillar FN staining. These data suggest an important role for TGFBI in FN fibrillogenesis and melanoma progression. In conclusion, we have identified several invasion-related molecules, which show potential for cancer diagnostic or prognostic markers, or therapeutic targets. Based on our previous and present fibrosarcoma studies, we propose the possibility of using ITGA6 antagonists (affecting tumor cell adhesion) in combination with TB4 inhibitors (affecting tumor cell migration) and cathepsin L inhibitors (affecting the degradation of basement membrane and ECM proteins) for the treatment of fibrosarcomas and other tumors overexpressing these molecules. With melanoma cells, in turn, we point to the importance of three secreted ECM proteins, TN-C, FN, and TGFBI, in melanoma progression. Of these, especially the potential of TN-C as a prognostic melanoma biomarker and TGFBI as a promising therapeutic target molecule are clearly worth additional studies.

On Musical Self-Similarity : Intersemiosis as Synecdoche and Analogy

Self-similarity, a concept taken from mathematics, is gradually becoming a keyword in musicology. Although a polysemic term, self-similarity often refers to the multi-scalar feature repetition in a set of relationships, and it is commonly valued as an indication for musical coherence and consistency . This investigation provides a theory of musical meaning formation in the context of intersemiosis, that is, the translation of meaning from one cognitive domain to another cognitive domain (e.g. from mathematics to music, or to speech or graphic forms). From this perspective, the degree of coherence of a musical system relies on a synecdochic intersemiosis: a system of related signs within other comparable and correlated systems. This research analyzes the modalities of such correlations, exploring their general and particular traits, and their operational bounds. Looking forward in this direction, the notion of analogy is used as a rich concept through its two definitions quoted by the Classical literature: proportion and paradigm, enormously valuable in establishing measurement, likeness and affinity criteria. Using quantitative qualitative methods, evidence is presented to justify a parallel study of different modalities of musical self-similarity. For this purpose, original arguments by Benoît B. Mandelbrot are revised, alongside a systematic critique of the literature on the subject. Furthermore, connecting Charles S. Peirce s synechism with Mandelbrot s fractality is one of the main developments of the present study. This study provides elements for explaining Bolognesi s (1983) conjecture, that states that the most primitive, intuitive and basic musical device is self-reference, extending its functions and operations to self-similar surfaces. In this sense, this research suggests that, with various modalities of self-similarity, synecdochic intersemiosis acts as system of systems in coordination with greater or lesser development of structural consistency, and with a greater or lesser contextual dependence.

Inorganic Analogues of Graphene

The discovery of graphene has aroused great interest in the properties and phenomena exhibited by two-dimensional inorganic materials, especially when they comprise only a single, two or a few layers. Graphene-like MoS2 and WS2 have been prepared by chemical methods, and the materials have been characterized by electron microscopy, atomic force microscopy (AFM) and other methods. Boron nitride analogues of graphene have been obtained by a simple chemical procedure starting with boric acid and urea and have been characterized by various techniques that include surface area measurements. A new layered material with the composition BCN possessing a few layers and a large surface area discovered recently exhibits a large uptake of CO2.

Comparative Analyses of Age- and Sex-Specific Patterns of Vocal Behaviour in Four Species of Old World Monkeys

Sound recordings and behavioural data were collected from four primate species of two genera (Macaca, Presbytis). Comparative analyses of structural and behavioural aspects of vocal communication revealed a high degree of intrageneric similarity but striking intergeneric differences. In the two macaque species (Macaca silenus, Macaca radiata), males and females shared the major part of the repertoire. In contrast, in the two langurs (Presbytis johnii, Presbytis entellus), many calls were exclusive to adult males. Striking differences between both species groups occurred with respect to age-specific patterns of vocal behaviour. The diversity of vocal behaviour was assessed from the number of different calls used and the proportion of each call in relation to total vocal output for a given age/sex class. In Macaca, diversity decreases with the age of the vocalizer, whereas in Presbytis the age of the vocalizer and the diversity of vocal behaviour are positively correlated. A comparison of the data of the two genera does not suggest any causal relationship between group composition (e.g. multi-male vs. one-male group) and communication system. Within each genus, interspecific differences in vocal behaviour can be explained by differences in social behaviour (e.g. group cohesion, intergroup relation, mating behaviour) and functional disparities. Possible factors responsible for the pronounced intergeneric differences in vocal behaviour between Macaca and Presbytis are discussed.

Physicochemical behaviour of polyperoxide

Polymeric peroxides are equimolar alternating copolymers formed by the reaction of vinyl monomers with oxygen. Physicochemical studies on the microstructure and chain dynamics of poly(styrene peroxide) PSP were first carried out by Cais and Bovey. We have found that polyperoxides are formed as main intermediates in solid-propellant combustion by the interaction of the monomer and oxygen generated by the decomposition of the polymeric binder and the oxidizer ammonium perchlorate. The experimentally determined heat of degradation and that calculated from thermochemical considerations reveal that polyperoxides undergo highly exothermic primary degradation, the rate-controlling step being the O-O bond dissociation. A random-chain scission mechanism for the thermal degradation of polyperoxides has been proposed. The prediction of unusual exothermic degradation of polyperoxides has resulted in the discovery of an interesting new phenomenon of 'autopyrolysability' in polymers. Several new polyperoxides based on vinyl naphthalene have been synthesized. We have also found that PSP, in conjunction with amines, can be used as initiator at ambient temperature for the radical polymerization of vinyl monomers.

A glossary of DNA structures from A to Z

The right-handed double-helical Watson-Crick model for B-form DNA is the most commonly known DNA structure. In addition to this classic structure, several other forms of DNA have been observed and it is clear that the DNA molecule can assume different structures depending on the base sequence and environment. The various forms of DNA have been identified as A, B, C etc. In fact, a detailed inspection of the literature reveals that only the letters F, Q, U, V and Y are now available to describe any new DNA structure that may appear in the future. It is also apparent that it may be more relevant to talk about the A, B or C type dinucleotide steps, since several recent structures show mixtures of various different geometries and a careful analysis is essential before identifying it as a 'new structure'. This review provides a glossary of currently identified DNA structures and is quite timely as it outlines the present understanding of DNA structure exactly 50 years after the original discovery of DNA structure by Watson and Crick

Nomenclatural corrections in Mesoamerican Plantaginaceae and a new species of Tetranema from Honduras

Study of the Plantaginaceae for the Flora Mesoamericana project has resulted in five lectotypifications, a new combination in Rhodochiton, and the discovery of a new species of Tetranema from Honduras. This species, Tetranema michaelfayanum, is described here, a key to the species of Tetranema is provided, and the T. roseum complex is discussed.

Anaerobic ammonium oxidation (anammox) in sediments of the Gulf of Finland

Anaerobic ammonium oxidation (anammox) and denitrification were measured in the open sea and coastal accumulation basins of the Gulf of Finland. The different methods used gave conflicting results on the importance of the anammox process in the sediments. Anammox generally contributed less than 20 % to the total N-2 production, and no anammox was found in a shallow inner estuary basin. However, the discovery of the anammox process in the open sea sediments challenges the denitrification measurements made in the area, as the coexistence of anammox and denitrification compromises the central assumptions behind the method used in denitrification measurements and causes overestimates of the N-2 production. The high (NO3-)-N-15 incubation concentration used in Baltic Sea denitrification measurements exacerbates this overestimation, which is likely to have been substantial.

The variants of the protein toxins abrin and ricin A useful guide to understanding the processing events in the toxin transport

Kinetic data on inhibition of protein synthesis in thymocyte by three abrins and ricin have been obtained. The intrinsic efficiencies of A chains of four toxins to inactivate ribosomes, as analyzed by k1-versus-concentration plots were abrin II, III > ricin > abrin I. The lag times were 90, 66, 75 and 105 min at a 0.0744 nM concentration of each of abrin I, II, III and ricin, respectively. To account for the observed differences in the dose-dependent lag time, functional and structural variables of toxins such as binding efficiency of B chains to receptors and low-pH-induced structural alterations have been analyzed. The association constants obtained by stopped flow studies showed that abrin-I (4.13 × 105 M−1 s−1) association with putative receptor (4-methylumbelliferyl-α-D-galactoside) is nearly two times more often than abrin III (2.6 × 105 M−1 s−1) at 20°C. Equillibrium binding constants of abrin I and II to thymocyte at 37°C were 2.26 × 107 M−1 and 2.8 × 107 M−1 respectively. pH-induced structural alterations as studied by a parallel enhancement in 8-anilino-L-naphthalene sulfonate fluorescence revealed a high degree of qualitative similarity. These results taken with a nearly identical concentration-independent lag time (minimum lag of 41–42 min) indicated that the binding efficiencies and internalization efficiencies of these toxins are the same and that the observed difference in the dose-dependent lag time is causally related to the proposed processing event. The rates of reduction of inter-subunit disulfide bond, an obligatory step in the intoxication process, have been measured and compared under a variety of conditions. Intersubunit disulfide reduction of abrin I is fourfold faster than that of abrin II at pH 7.2. The rate of disulfide reduction in abrin I could be decreased 1 I-fold by adding lactose, compared to that without lactose. The observed differences in the efficiencies of A chains, the dose-dependent lag period, the modulating effect of lactose on the rates of disulfide reduction and similarity in binding properties make the variants a valuable tool to probe the processing events in toxin transport in detail.

Self-similar solutions of laser produced blast waves

The aerodynamics of the blast wave produced by laser ablation is studied using the piston analogy. The unsteady one-dimensional gasdynamic equations governing the flow an solved under assumption of self-similarity. The solutions are utilized to obtain analytical expressions for the velocity, density, pressure and temperature distributions. The results predict. all the experimentally observed features of the laser produced blast waves.

Vortex sheet simulation of a plane �canonical� mixing layer

Discrete vortex simulations of the mixing layer carried out in the past have usually involved large induced velocity fluctuations, and thus demanded rather long time-averaging to obtain satisfactory values of Reynolds stresses and third-order moments. This difficulty has been traced here, in part, to the use of discrete vortices to model what in actuality are continuous vortex sheets. We propose here a novel two-dimensional vortex sheet technique for computing mixing layer flow in the limit of infinite Reynolds number. The method divides the vortex sheet into constant-strength linear elements, whose motions are computed using the Biot-Savart law. The downstream far-field is modelled by a steady vorticity distribution derived by application of conical similarity from the solution obtained in a finite computational domain. The boundary condition on the splitter plate is satisfied rigorously using a doublet sheet. The computed large-scale roll-up of the vortex sheet is qualitatively similar to experimentally obtained shadow-graphs of the plane turbulent mixing layer. The mean streamwise velocity profile and the growth rate agree well with experimental data. The presently computed Reynolds stresses and third-order moments are comparable with experimental and previous vortex-dynamical results, without using any external parameter (such as the vortex core-size) of the kind often used in the latter. The computed autocorrelations are qualitatively similar to experimental results along the top and bottom edges of the mixing layer, and show a well-defined periodicity along the centreline. The accuracy of the present computation is independently established by demonstrating negligibly small changes in the five invariants (including the Hamiltonian) in vortex dynamics.