Exchange-traded funds and information asymmetry

This thesis focuses on three main questions. The first uses ExchangeTraded Funds (ETFs) to evaluate estimated adverse selection costs obtained spread decomposition models. The second compares the Probability of Informed Trading (PIN) in Exchange-Traded Funds to control securities. The third examines the intra-day ETF trading patterns. These spread decomposition models evaluated are Glosten and Harris (1988); George, Kaul, and Nimalendran (1991); Lin, Sanger, and Booth (1995); Madhavan, Richardson, and Roomans (1997); Huang and Stoll (1997). Using the characteristics of ETFs it is shown that only the Glosten and Harris (1988) and Madhavan, et al (1997) models provide theoretically consistent results. When the PIN measure is employed ETFs are shown to have greater PINs than control securities. The investigation of the intra-day trading patterns shows that return volatility and trading volume have a U-shaped intra-day pattern. A study of trading systems shows that ETFs on the American Stock Exchange (AMEX) have a U-shaped intra-day pattern of bid-ask spreads, while ETFs on NASDAQ do not. Specifically, ETFs on NASDAQ have higher bid-ask spreads at the market opening, then the lowest bid-ask spread in the middle of the day. At the close of the market, the bid-ask spread of ETFs on NASDAQ slightly elevated when compared to mid-day.

Common variants in left/right asymmetry genes and pathways are associated with relative hand skill

Humans display structural and functional asymmetries in brain organization, strikingly with respect to language and handedness. The molecular basis of these asymmetries is unknown. We report a genome-wide association study meta-analysis for a quantitative measure of relative hand skill in individuals with dyslexia [reading disability (RD)] (n = 728). The most strongly associated variant, rs7182874 (P = 8.68×10-9), is located in PCSK6, further supporting an association we previously reported. We also confirmed the specificity of this association in individuals with RD; the same locus was not associated with relative hand skill in a general population cohort (n = 2,666). As PCSK6 is known to regulate NODAL in the development of left/right (LR) asymmetry in mice, we developed a novel approach to GWAS pathway analysis, using gene-set enrichment to test for an over-representation of highly associated variants within the orthologs of genes whose disruption in mice yields LR asymmetry phenotypes. Four out of 15 LR asymmetry phenotypes showed an over-representation (FDR≤5%). We replicated three of these phenotypes; situs inversus, heterotaxia, and double outlet right ventricle, in the general population cohort (FDR≤5%). Our findings lead us to propose that handedness is a polygenic trait controlled in part by the molecular mechanisms that establish LR body asymmetry early in development. © 2013 Brandler et al.

Reduction of nonlinear intrachannel effects by channel asymmetry in transmission lines with strong bit overlapping

We have examined the statistics of simulated bit-error rates in optical transmission systems with strong patterning effects and have found strong correlation between the probability of marks in a pseudorandom pattern and the error-free transmission distance. We discuss how a reduced density of marks can be achieved by preencoding optical data.

Assessment of Information Asymmetry

2000 Mathematics Subject Classification: 62P20, 91B42

Signal power asymmetry optimisation for optical phase conjugation using random DFB laser Raman amplification

We numerically optimise in-span signal power asymmetry in advanced Raman amplification schemes, reaching 3% over 62 km SMF, and evaluate its impact on the performance of systems using mid-link OPC using 7 × 15 16QAM Nyquist-spaced WDM-PDM. © 2015 OSA.

Signal power asymmetry optimisation for optical phase conjugation using Raman amplification

We numerically optimise in-span signal power asymmetry in different advanced Raman amplification schemes, achieving a 3% asymmetry over 62 km SMF using random DFB Raman laser amplifier. We then evaluate the impact of such asymmetry on the performance of systems using mid-link OPC by simulating transmission of 7 x 15 Gbaud 16QAM Nyquist-spaced WDM-PDM signals. (C) 2015 Optical Society of America

Kontraszelekció és erkölcsi kockázat a politikában. Vázlat az információs aszimmetria közgazdaságtani fogalmainak politikatudományi alkalmazhatóságáról (Negative selection and moral risk in politics. An outline of the usefulness to political science of the economic concept of information asymmetry)

Az írás a kontraszelekció és az erkölcsi kockázat információ-gazdaságtani fogalmának politikatudományi alkalmazhatósága mellett érvel. Azt kívánja bemutatni, hogy a politikai piac szereplői közti információs aszimmetria mechanizmusainak éppúgy lehetnek súlyos negatív hatásai a demokratikus politikai rendszer működésére nézve, mint ahogy a gazdasági szereplők közti információs aszimmetria - Nobel-díjas közgazdászok érvei szerint - alááshatja a piaci verseny hatékonyságát. Az írás új megvilágításba helyezi a - már Platón óta ismert - politikai kontraszelekció jelenségét, továbbá részletesen foglalkozik az erkölcsi kockázat és a megbízó-megbízott relációk megjelenésével a politikában. Érinti tovább azoknak a mechanizmusoknak - a jelzésnek és a szűrésnek - a megjelenését a politikában, melyeket a közgazdászok az információs aszimmetria csökkentésére ajánlanak. / === / The paper argues in favour of employing in political science the economic concept of information asymmetry, seeking to show that the mechanisms of information asymmetry among the players on the political market may have negative effects on the operation of a democratic political system as information asymmetry among economic actors – according to arguments of Nobel prize-winning economists – has on the efficiency of market competition. The paper sheds new light on the phenomenon of negative political selection (known since Plato's time), and goes on to deal in detail with the appearance of moral risk and client/agent relations in politics. The author touches also on the appearance in politics of mechanisms – signals and filters – that economists suggest for reducing information asymmetry.

Group participative budgeting: The effect of information asymmetry on group work standards

The complexity of many organizational tasks requires perspectives, expertise, and talents that are often not found in a single individual. Organizations have therefore been placing employees into groups, assigning them to tasks they would formally have undertaken individually. The use of these groups, known as workgroups, has become an important strategy for managing this increased complexity. Empirical research on participative budgeting however has been limited almost exclusively to individuals. This dissertation empirically examines the effect of the information that management and workgroups have about group members' performance capabilities, on the work standards that workgroups select during the participative budgeting process. ^ A laboratory experiment was conducted in which two hundred and forty undergraduate business students were randomly assigned to three-member groups. The study provides empirical evidence which suggests that when management is unaware of group members' performance capabilities, workgroups select higher work standards and have higher performance levels than when management is aware of their performance capabilities. ^

Measurement of single spin asymmetry and fifth structure function for the p( e&ar; ,e'K +)Λ reaction with CEBAF Large Acceptance Spectrometer (CLAS)

The single spin asymmetry, ALT ′, and the polarized structure function, σ LT′, for the p( e&ar; , e′K +)Λ reaction in the resonance region have been measured and extracted using the CEBAF Large Acceptance Spectrometer (CLAS) at Jefferson Lab. Data were taken at an electron beam energy of 2.567 GeV. The large acceptance of CLAS allows for full azimuthal angle coverage over a large range of center-of-mass scattering angles. Results were obtained that span a range in Q 2 from 0.5 to 1.3 GeV2 and W from threshold up to 2.1 GeV and were compared to existing theoretical calculations. The polarized structure function is sensitive to the interferences between various resonant amplitudes, as well as to resonant and non-resonant amplitudes. This measurement is essential for understanding the structure of nucleons and searching for previously undetected nucleon excited states (resonances) predicted by quark models. The W dependence of the σ LT′ in the kinematic regions dominated by s and u channel exchange (cos qcmk = −0.50, −0.167, 0.167) indicated possible resonance structures not predicted by theoretical calculations. The σLT ′ behavior around W = 1.875 GeV could be the signature of a resonance predicted by the quark models and possibly seen in photoproduction. In the very forward angles where the reaction is dominated by the t-channel, the average σLT ′ was zero. There was no indication of the interference between resonances or resonant and non-resonant amplitudes. This might be indicating the dominance of a single t-channel exchange. Study of the sensitivity of the fifth structure function data to the resonance around 1900 MeV showed that these data were highly sensitive to the various assumptions of the models for the quantum number of this resonance. This project was part of a larger CLAS program to measure cross sections and polarization observables for kaon electroproduction in the nucleon resonance region. ^

QCD structure of nuclear interactions

The research presented in this dissertation investigated selected processes involving baryons and nuclei in hard scattering reactions. These processes are characterized by the production of particles with large energies and transverse momenta. Through these processes, this work explored both, the constituent (quark) structure of baryons (specifically nucleons and Δ-Isobars), and the mechanisms through which the interactions between these constituents ultimately control the selected reactions. The first of such reactions is the hard nucleon-nucleon elastic scattering, which was studied here considering the quark exchange between the nucleons to be the dominant mechanism of interaction in the constituent picture. In particular, it was found that an angular asymmetry exhibited by proton-neutron elastic scattering data is explained within this framework if a quark-diquark picture dominates the nucleon’s structure instead of a more traditional SU(6) three quarks picture. The latter yields an asymmetry around 90o center of mass scattering with a sign opposite to what is experimentally observed. The second process is the hard breakup by a photon of a nucleon-nucleon system in light nuclei. Proton-proton (pp) and proton-neutron (pn) breakup in 3He, and ΔΔ-isobars production in deuteron breakup were analyzed in the hard rescattering model (HRM), which in conjunction with the quark interchange mechanism provides a Quantum Chromodynamics (QCD) description of the reaction. Through the HRM, cross sections for both channels in 3He photodisintegration were computed without the need of a fitting parameter. The results presented here for pp breakup show excellent agreement with recent experimental data. In ΔΔ-isobars production in deuteron breakup, HRM angular distributions for the two ΔΔ channels were compared to the pn channel and to each other. An important prediction fromthis study is that the Δ++Δ- channel consistently dominates Δ+Δ0, which is in contrast with models that unlike the HRM consider a ΔΔ system in the initial state of the interaction. For such models both channels should have the same strength. These results are important in developing a QCD description of the atomic nucleus.

A precise measurement of the two -photon exchange effect

The two-photon exchange phenomenon is believed to be responsible for the discrepancy observed between the ratio of proton electric and magnetic form factors, measured by the Rosenbluth and polarization transfer methods. This disagreement is about a factor of three at Q 2 of 5.6 GeV2. The precise knowledge of the proton form factors is of critical importance in understanding the structure of this nucleon. The theoretical models that estimate the size of the two-photon exchange (TPE) radiative correction are poorly constrained. This factor was found to be directly measurable by taking the ratio of the electron-proton and positron-proton elastic scattering cross sections, as the TPE effect changes sign with respect to the charge of the incident particle. A test run of a modified beamline has been conducted with the CEBAF Large Acceptance Spectrometer (CLAS) at Thomas Jefferson National Accelerator Facility. This test run demonstrated the feasibility of producing a mixed electron/positron beam of good quality. Extensive simulations performed prior to the run were used to reduce the background rate that limits the production luminosity. A 3.3 GeV primary electron beam was used that resulted in an average secondary lepton beam of 1 GeV. As a result, the elastic scattering data of both lepton types were obtained at scattering angles up to 40 degrees for Q2 up to 1.5 GeV2. The cross section ratio displayed an &epsis; dependence that was Q2 dependent at smaller Q2 limits. The magnitude of the average ratio as a function of &epsis; was consistent with the previous measurements, and the elastic (Blunden) model to within the experimental uncertainties. Ultimately, higher luminosity is needed to extend the data range to lower &epsis; where the TPE effect is predicted to be largest.

Proton Form Factor Puzzle and the CEBAF Large Acceptance Spectrometer (CLAS) two-photon exchange experiment

The electromagnetic form factors are the most fundamental observables that encode information about the internal structure of the nucleon. The electric (GE) and the magnetic ( GM) form factors contain information about the spatial distribution of the charge and magnetization inside the nucleon. A significant discrepancy exists between the Rosenbluth and the polarization transfer measurements of the electromagnetic form factors of the proton. One possible explanation for the discrepancy is the contributions of two-photon exchange (TPE) effects. Theoretical calculations estimating the magnitude of the TPE effect are highly model dependent, and limited experimental evidence for such effects exists. Experimentally, the TPE effect can be measured by comparing the ratio of positron-proton elastic scattering cross section to that of the electron-proton [R = σ(e +p)/σ(e+p)]. The ratio R was measured over a wide range of kinematics, utilizing a 5.6 GeV primary electron beam produced by the Continuous Electron Beam Accelerator Facility (CEBAF) at Jefferson Lab. This dissertation explored dependence of R on kinematic variables such as squared four-momentum transfer (Q2) and the virtual photon polarization parameter (&epsis;). A mixed electron-positron beam was produced from the primary electron beam in experimental Hall B. The mixed beam was scattered from a liquid hydrogen (LH2) target. Both the scattered lepton and the recoil proton were detected by the CEBAF Large Acceptance Spectrometer (CLAS). The elastic events were then identified by using elastic scattering kinematics. This work extracted the Q2 dependence of R at high &epsis;(&epsis; > 0.8) and the $&epsis; dependence of R at ⟨Q 2⟩ approx 0.85 GeV2. In these kinematics, our data confirm the validity of the hadronic calculations of the TPE effect by Blunden, Melnitchouk, and Tjon. This hadronic TPE effect, with additional corrections contributed by higher excitations of the intermediate state nucleon, largely reconciles the Rosenbluth and the polarization transfer measurements of the electromagnetic form factors.

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.