Efficient Prices at Any Cost: Does Algorithmic Trading Deter Information Acquisition?

I demonstrate a powerful tension between acquiring information and incorporating it into asset prices, the two core elements of price discovery. As a salient case, I focus on the transformative rise of algorithmic trading (AT) typically associated with improved price efficiency. Using a measure of the relative information content of prices and a comprehensive panel of 37,325 stock-quarters of SEC market data, I establish instead that algorithmic trading strongly decreases the net amount of information in prices. The increase in price distortions associated with the AT “information gap” is roughly $42.6 billion/year for U.S. common stocks around earnings announcement events alone. Information losses are concentrated among stocks with high shares of algorithmic liquidity takers relative to algorithmic liquidity makers, suggesting that aggressive AT powerfully deters fundamental information acquisition despite its importance for translating available information into prices.

Market-oriented new product development of health promoting foods for the ageing population

Major factors influencing food development and food marketing strategies in global market places at present can be attributable to the changing age structure of the population. The significant shifts in global age structure will inevitably lead to the number of people aged 60 reaching an all-time high of one billion by the year 2020. The rapidly growing population of ageing people globally represents a large, neglected and very much under-developed category within the Food Industry. The primary focus of this study was the integration of knowledge creation techniques at early NPD stages, for the development of market-oriented new health promoting foods for the ageing population. The methodology of this study was centered on an exploratory sequential mixed methods strategy. Stage one of the study involved in-depth semi-structured interviews with 16 Stakeholders to facilitate the need identification stage of the NPD process. The main outputs identified were the need for: the fortification of foods for a preventative nutrition approach, the development of foods that targeted age-related conditions such as cognitive, heart, gut and bone health, the integration of ageing compensatory packaging adaptations and the creation of marketing messages with an active lifestyle message. Stage two consisted of a market-oriented computer assisted NPD technique, a user centered design interaction (UCD) to integrate consumers as co-creators throughout the idea generation stage of the NPD process. The most important product attributes identified in this stage included: products targeted at brain and cognitive health, liquid based beverages, easy to use packaging with environmentally friendly elements, simplistic marketing with a clear focus on health not age and realistic health claims constructed with consumer friendly terminology. Finally, Stage three used an abbreviated means-end chain (MEC) analysis to complete the concept development stage of the NPD process. This stage identified commercial information that could be used by food firms for the development of positioning and communication strategies. Equally, the information generated could be of high strategic importance to governments, policy makers, health professionals and medical professionals. The values and goals listed in this stage included: better overall health, active lifestyle, optimum nutrition and wellbeing feelings. Overall, this research illustrated that knowledge creation techniques can assist firms in the development of market-oriented health promoting foods for the ageing population.

Exploring Auditors’ Perceptions of the Usage and Importance of Audit Information Technology

This study provides novel evidence on the extent to which auditors perceive the usage and importance of audit technology in an emerging market. It explores the types of audit technology tools used and factors influencing the use of these; it tests the association between the perceived use and importance of the tools and firm-specific/ auditor-specific characteristics. Using interviews and questionnaires from auditors at Big 4 and international non-Big 4 audit firms, the findings reflect the highly perceived importance of using audit technology in technical and administrative procedures, specifically to assess risk. We find that the perceived use and importance of audit technology is relatively higher for those in Big 4 firms, with less years of auditor experience and higher auditor technology expertise, and those in management positions. The results provide policy makers with guidance on the opportunities and challenges of using information technology in the audit process.

Market reforms and privatisation in the English National Health Service

The article examines developments in the marketisation and privatisation of the English National Health Service, primarily since 1997. It explores the use of competition and contracting out in ancillary services and the levering into public services of private finance for capital developments through the Private Finance Initiative. A substantial part of the article examines the repeated restructuring of the health service as a market in clinical services, initially as an internal market but subsequently as a market increasing opened up to private sector involvement. Some of the implications of market processes for NHS staff and for increased privatisation are discussed. The article examines one episode of popular resistance to these developments, namely the movement of opposition to the 2011 health and social care legislative proposals. The article concludes with a discussion of the implications of these system reforms for the founding principles of the NHS and the sustainability of the service.

Review of virtual power plant applications for the power system management and V2G market development

Utilization of renewable energy sources and energy storage systems is increasing with fostering new policies on energy industries. However, the increase of distributed generation hinders the reliability of power systems. In order to stabilize them, a virtual power plant emerges as a novel power grid management system. The VPP has a role to make a participation of different distributed energy resources and energy storage systems. This paper defines core technology of the VPP which are demand response and ancillary service concerning about Korea, America and Europe cases. It also suggests application solutions of the VPP to V2G market for restructuring national power industries in Korea.

Democracy lessons in market-oriented schools : The case of Swedish upper secondary education

Based on recent ethnographic research, this article explores young people’s opportunities of formal and informal democracy learning and expressions of such learning in the highly market-influenced Swedish upper secondary education. With its ambitious democracy-fostering goals and far-reaching marketisation, Swedish education constitutes an interesting case in this respect. The analysis indicates that ‘voting with the feet’ emerges as an important way of exerting student influence. At the same time, young people’s voice is surprisingly neglected in classroom practice. Increased focus on performance and goal attainment tends to overshadow less ‘rewarding’ aspects of the curriculum, such as democracy teaching and learning, both from the side of teachers and students. Students are also increasingly expected to act as school representatives and to avoid giving negative impressions of their school.

The impact of the Eurozone sovereign debt crisis on bond fund performance persistence: Evidence from a small market

We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001–2012 period. Besides avoiding data mining, we also introduce a methodological innovation in assessing bond fund performance persistence. Our results show that bond funds underperform significantly both during crisis and non-crisis periods. Besides, we find strong evidence of performance persistence, for both short- and longer-term horizons, during non-crisis periods but not during the debt crisis. In this way, the persistence phenomenon in small markets seems to occur only during non-crisis periods and this is valuable information for bond fund investors to exploit.

Essays on market design and regulation in electricity systems

This thesis discusses market design and regulation in electricity systems, focusing on the information exchange of the regulated grid firm and the generation firms as well as the regulation of the grid firm. In the first chapter, an economic framework is developed to consistently analyze different market designs and the information exchange between the grid firm and the generation firms. Perfect competition between the generation firms and perfect regulation of the grid firm is assumed. A numerical algorithm is developed and its feasibility demonstrated on a large-scale problem. The effects of different market designs for the Central Western European (CWE) region until 2030 are analyzed. In the second chapter, the consequences of restricted grid expansion within the current market design in the CWE region until 2030 are analyzed. In the third chapter the assumption of efficient markets is modified. The focus of the analysis is then, whether and how inefficiencies in information availability and processing affect different market designs. For different parameter settings, nodal and zonal pricing are compared regarding their welfare in the spot and forward market. In the fourth chapter, information asymmetries between the regulator and the regulated firm are analyzed. The optimal regulatory strategy for a firm, providing one output with two substitutable inputs, is defined. Thereby, one input and the absolute quantity of inputs is not observable for the regulator. The result is then compared to current regulatory approaches.

Researching a segmented market: reflections on telephone interviewing

Purpose The purpose of this paper was to review the effectiveness of telephone interviewing for capturing data and to consider in particular the challenges faced by telephone interviewers when capturing information about market segments. Design/methodology/approach The platform for this methodological critique was a market segment analysis commissioned by Sport Wales which involved a series of 85 telephone interviews completed during 2010. Two focus groups involving the six interviewers involved in the study were convened to reflect on the researchers’ experiences and the implications for business and management research. Findings There are three principal sets of findings. First, although telephone interviewing is generally a cost-effective data collection method, it is important to consider both the actual costs (i.e. time spent planning and conducting interviews) as well as the opportunity costs (i.e. missed appointments, “chasing participants”). Second, researchers need to be sensitised to and sensitive to the demographic characteristics of telephone interviewees (insofar as these are knowable) because responses are influenced by them. Third, the anonymity of telephone interviews may be more conducive for discussing sensitive issues than face-to-face interactions. Originality/value The present study adds to this modest body of literature on the implementation of telephone interviewing as a research technique of business and management. It provides valuable methodological background detail about the intricate, personal experiences of researchers undertaking this method “at a distance” and without visual cues, and makes explicit the challenges of telephone interviewing for the purposes of data capture.

A network approach to overcoming barriers to market engagement for SMEs in energy efficiency initiatives such as the Green Deal

The Green Deal (GD) was launched in 2013 by the UK Government as a market-led scheme to encourage uptake of energy efficiency measures in the UK and create green sector jobs. The scheme closed in July 2015 after 30 months due to government concerns over low uptake and industry standards but additional factors potentially contributed to its failure such as poor scheme design and lack of understanding of the customer and supply chain journey. We explore the role of key delivery agents of GD services, specifically SMEs, and we use the LoCal-Net project as a case study to examine the use of networks to identify and reduce barriers to SME market engagement. We find that SMEs experienced multiple barriers to interaction with the GD such as lack of access to information, training, and confusion over delivery of the scheme but benefited from interaction with the network to access information, improve understanding of the scheme, increasing networking opportunities and forming new business models and partnerships to reduce risk. The importance of SMEs as delivery agents and their role in the design of market-led schemes such as the GD are discussed with recommendations for improving SME engagement in green sector initiatives.

Effects of Information and Time of Use Pricing on Irish Electricity Demand and Supply

In this dissertation I quantify residential behavior response to interventions designed to reduce electricity demand at different periods of the day. In the first chapter, I examine the effect of information provision coupled with bimonthly billing, monthly billing, and in-home displays, as well as a time-of-use (TOU) pricing scheme to measure consumption over each month of the Irish Consumer Behavior Trial. I find that time-of-use pricing with real time usage information reduces electricity usage up to 8.7 percent during peak times at the start of the trial but the effect decays over the first three months and after three months the in-home display group is indistinguishable from the monthly treatment group. Monthly and bi-monthly billing treatments are not found to be statistically different from another. These findings suggest that increasing billing reports to the monthly level may be more cost effective for electricity generators who wish to decrease expenses and consumption, rather than providing in-home displays. In the following chapter, I examine the response of residential households after exposure to time of use tariffs at different hours of the day. I find that these treatments reduce electricity consumption during peak hours by almost four percent, significantly lowering demand. Within the model, I find evidence of overall conservation in electricity used. In addition, weekday peak reductions appear to carry over to the weekend when peak pricing is not present, suggesting changes in consumer habit. The final chapter of my dissertation imposes a system wide time of use plan to analyze the potential reduction in carbon emissions from load shifting based on the Ireland and Northern Single Electricity Market. I find that CO2 emissions savings are highest during the winter months when load demand is highest and dirtier power plants are scheduled to meet peak demand. TOU pricing allows for shifting in usage from peak usage to off peak usage and this shift in load can be met with cleaner and cheaper generated electricity from imports, high efficiency gas units, and hydro units.

User Interface Abstraction for enabling TV set based Inclusive Access to the Information Society

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Essays on Market Frictions and Securitization

This dissertation provides a novel theory of securitization based on intermediaries minimizing the moral hazard that insiders can misuse assets held on-balance sheet. The model predicts how intermediaries finance different assets. Under deposit funding, the moral hazard is greatest for low-risk assets that yield sizable returns in bad states of nature; under securitization, it is greatest for high-risk assets that require high guarantees and large reserves. Intermediaries thus securitize low-risk assets. In an extension, I identify a novel channel through which government bailouts exacerbate the moral hazard and reduce total investment irrespective of the funding mode. This adverse effect is stronger under deposit funding, implying that intermediaries finance more risky assets off-balance sheet. The dissertation discusses the implications of different forms of guarantees. With explicit guarantees, banks securitize assets with either low information-intensity or low risk. By contrast, with implicit guarantees, banks only securitize assets with high information-intensity and low risk. Two extensions to the benchmark static and dynamic models are discussed. First, an extension to the static model studies the optimality of tranching versus securitization with guarantees. Tranching eliminates agency costs but worsens adverse selection, while securitization with guarantees does the opposite. When the quality of underlying assets in a certain security market is sufficiently heterogeneous, and when the highest quality assets are perceived to be sufficiently safe, securitization with guarantees dominates tranching. Second, in an extension to the dynamic setting, the moral hazard of misusing assets held on-balance sheet naturally gives rise to the moral hazard of weak ex-post monitoring in securitization. The use of guarantees reduces the dependence of banks' ex-post payoffs on monitoring efforts, thereby weakening monitoring incentives. The incentive to monitor under securitization with implicit guarantees is the weakest among all funding modes, as implicit guarantees allow banks to renege on their monitoring promises without being declared bankrupt and punished.

Essays in Market Design

In this dissertation, I study three problems in market design: the allocation of resources to schools using deferred acceptance algorithms, the demand reduction of employees on centralized labor markets, and the alleviation of traffic congestion. I show how institutional and behavioral considerations specific to each problem can alleviate several practical limitations faced by current solutions. For the case of traffic congestion, I show experimentally that the proposed solution is effective. In Chapter 1, I investigate how school districts could assign resources to schools when it is desirable to provide stable assignments. An assignment is stable if there is no student currently assigned to a school that would prefer to be assigned to a different school that would admit him if it had the resources. Current assignment algorithms assume resources are fixed. I show how simple modifications to these algorithms produce stable allocations of resources and students to schools. In Chapter 2, I show how the negotiation of salaries within centralized labor markets using deferred acceptance algorithms eliminates the incentives of the hiring firms to strategically reduce their demand. It is well-known that it is impossible to eliminate these incentives for the hiring firms in markets without negotiation of salaries. Chapter 3 investigates how to achieve an efficient distribution of traffic congestion on a road network. Traffic congestion is the product of an externality: drivers do not consider the cost they impose on other drivers by entering a road. In theory, Pigouvian prices would solve the problem. In practice, however, these prices face two important limitations: i) the information required to calculate these prices is unavailable to policy makers and ii) these prices would effectively be new taxes that would transfer resources from the public to the government. I show how to construct congestion prices that retrieve the required information from the drivers and do not transfer resources to the government. I circumvent the limitations of Pigouvian prices by assuming that individuals make some mistakes when selecting routes and have a tendency towards truth-telling. Both assumptions are very robust observations in experimental economics.

Regulatory governance of ‘training markets’, ‘market failure’, and ‘quasi’ markets: historical dimensions of the post-initial training market in the Netherlands

This article examines regulatory governance of the post-initial training market in The Netherlands. From an historical perspective on policy formation processes, it examines market formation in terms of social, economic, and cultural factors in the development of provision and demand for post-initial training; the roles of stakeholders in the longterm construction of regulatory governance of the market; regulation of and public providers; policy responses to market failure; and tripartite division of responsibilities between the state, social partners, commercial and publicly-funded providers. Historical description and analysis examine policy narratives of key stakeholders with reference to: a) influence of societal stakeholders on regulatory decision-making; b) state regulation of the post-initial training market; c) public intervention regulating the market to prevent market failure; d) market deregulation, competition, employability and individual responsibility; and, e) regulatory governance to prevent ‘allocative failure’ by the market in non-delivery of post-initial training to specific target groups, particularly the low-qualified. Dominant policy narratives have resulted in limited state regulation of the supply-side, a tripartite system of regulatory governance by the state, social partners and commercial providers as regulatory actors. Current policy discourses address interventions on the demand-side to redistribute structures of opportunity throughout the life courses of individuals. Further empirical research from a comparative historical perspective is required to deepen contemporary understandings of regulatory governance of markets and the commodification of adult learning in knowledge societies and information economies. (DIPF/Orig.)