Market Transparency, Market Quality and Sunshine Trading

This paper analyzes the implications of pre-trade transpareny on market performance. We find that transparency increases the precision held by agents, however we show that this increase in precision may not be due to prices themselves. In competitive markets, transparency increases market liquidity and reduces price volatility, whereas these results may not hold under imperfect competition. More importantly, market depth and volatility might be positively related with proper priors. Moreover, we study the incentives for liquidity traders to engage in sunshine trading. We obtain that the choice of sunshine/dark trading for a noise trader is independent of his order size, being the traders with higher liquidity needs more interested in sunshine trading, as long as this practice is desirable. Key words: Market Microstructure, Transparency, Prior Information, Market Quality, Sunshine Trading

Beneficial effects of strontium ranelate compared to alendronate on bone micro-structure - a 2-year study

Aims: In a head-to-head study, we compared the effects of strontium ranelate (SrRan) and alendronate (ALN), anti-osteoporotic agents with antifracture efficacy, on bone microstructure, a component of bone quality, hence of bone strength. Methods: In a randomised, double-dummy, double-blind controlled trial, 88 postmenopausal osteoporotic women were randomised to SrRan 2g/day or ALN 70mg/week for 2 years. Microstructure of the distal radius and distal tibia were assessed by HR-pQCT after 3,6,12,18 and 24 months of treatment. Primary endpoint was HR-pQCT variables relative changes from baseline. An ITT analysis was applied. Results: Baseline characteristics were similar in both groups (mean ±SD): age: 63.6±7.5 vs. 63.7±7.6 yrs; L1-L4T Score: -2.7±0.8 vs. -2.8±0.8g/cm², Cortical Thickness (CTh), trabecular bone fraction (BV/TV) and cortical density=721±242 vs. 753±263μm, 9.5±2.5 vs. 9.3±2.7%, and 750±87 vs. 745±78mg/cm3 respectively. Over 2 yrs, distal radius values changes were within 1 to 2% without significant differences except cortical density. In contrast distal tibia CTh, BV/TV, trabecular and cortical densities increased significantly more in the SrRan group than in the ALN group (Table). No significant between-group differences were observed for the remaining measured parameter (trabecular number, trabecular spacing, and trabecular thickness). After 2 years, L1- L4 and hip aBMD increases were similar to results from pivotal trials (L1-L4:+6.5% and +5.6%;total hip:+4.1% and +2.9%, in Sr- Ran and ALN groups, respectively). In the SrRan group, bALP increased by a median of 18% (p<0.001) and sCTX decreased by a median of -16% (p=0.005) while in the ALN group, bALP and CTX decreased by median of -31% (p<0.001) and -59% (p<0.001) respectively. Relative changes from baseline to last observation (%) SrRan ALN Estimated between group difference p value CTh (μm) 6.29±9.53 0.93±6.23 5.411±1.836 0.004 BV/TV (%) 2.48±5.13 0.84±3.81 1.783±0.852 0.040 Trabecular density (mgHA/cm3) 2.47±5.07 0.88±4.00 1.729±0.859 0.048 Cortical density (mgHA/cm3) 1.43±2.77 0.36±2.14 1.137±0.530 0.045 The two treatments were well tolerated. Conclusions: Within the constraints related to HRpQCT technology, it appears that strontium ranelate has greater effects than alendronate on distal tibia cortical thickness, trabecular and cortical bone densities in women with postmenopausal osteoporosis after two years of treatment. A concomitant significant increase in bone formation marker is observed in the SrRan group.

Investgiation into Improved Pavement Curing Materials and Techniques: Part 1 - Phases I and II, April 2002

Concrete curing is closely related to cement hydration, microstructure development, and concrete performance. Application of a liquid membrane-forming curing compound is among the most widely used curing methods for concrete pavements and bridge decks. Curing compounds are economical, easy to apply, and maintenance free. However, limited research has been done to investigate the effectiveness of different curing compounds and their application technologies. No reliable standard testing method is available to evaluate the effectiveness of curing, especially of the field concrete curing. The present research investigates the effects of curing compound materials and application technologies on concrete properties, especially on the properties of surface concrete. This report presents a literature review of curing technology, with an emphasis on curing compounds, and the experimental results from the first part of this research—lab investigation. In the lab investigation, three curing compounds were selected and applied to mortar specimens at three different times after casting. Two application methods, single- and double-layer applications, were employed. Moisture content, conductivity, sorptivity, and degree of hydration were measured at different depths of the specimens. Flexural and compressive strength of the specimens were also tested. Statistical analysis was conducted to examine the relationships between these material properties. The research results indicate that application of a curing compound significantly increased moisture content and degree of cement hydration and reduced sorptivity of the near-surface-area concrete. For given concrete materials and mix proportions, optimal application time of curing compounds depended primarily upon the weather condition. If a sufficient amount of a high-efficiency-index curing compound was uniformly applied, no double-layer application was necessary. Among all test methods applied, the sorptivity test is the most sensitive one to provide good indication for the subtle changes in microstructure of the near-surface-area concrete caused by different curing materials and application methods. Sorptivity measurement has a close relation with moisture content and degree of hydration. The research results have established a baseline for and provided insight into the further development of testing procedures for evaluation of curing compounds in field. Recommendations are provided for further field study.

Trabecular bone score: a noninvasive analytical method based upon the DXA image.

The trabecular bone score (TBS) is a gray-level textural metric that can be extracted from the two-dimensional lumbar spine dual-energy X-ray absorptiometry (DXA) image. TBS is related to bone microarchitecture and provides skeletal information that is not captured from the standard bone mineral density (BMD) measurement. Based on experimental variograms of the projected DXA image, TBS has the potential to discern differences between DXA scans that show similar BMD measurements. An elevated TBS value correlates with better skeletal microstructure; a low TBS value correlates with weaker skeletal microstructure. Lumbar spine TBS has been evaluated in cross-sectional and longitudinal studies. The following conclusions are based upon publications reviewed in this article: 1) TBS gives lower values in postmenopausal women and in men with previous fragility fractures than their nonfractured counterparts; 2) TBS is complementary to data available by lumbar spine DXA measurements; 3) TBS results are lower in women who have sustained a fragility fracture but in whom DXA does not indicate osteoporosis or even osteopenia; 4) TBS predicts fracture risk as well as lumbar spine BMD measurements in postmenopausal women; 5) efficacious therapies for osteoporosis differ in the extent to which they influence the TBS; 6) TBS is associated with fracture risk in individuals with conditions related to reduced bone mass or bone quality. Based on these data, lumbar spine TBS holds promise as an emerging technology that could well become a valuable clinical tool in the diagnosis of osteoporosis and in fracture risk assessment.

Alterations of bone microarchitecture in young patients with inflammatory bowel diseases are associated with fracture risk during growth

Aims: Inflammatory bowel diseases (IBD) appearing during childhood and adolescence compromise peak bone mass acquisition and increase fracture risk. The structural determinants of bone fragility in IBD however remain unknown. Methods: We investigated volumetric bone mineral density (vBMD), trabecular and cortical bone microstructure at distal radius and tibia by high-resolution pQCT (XtremeCT, Scanco, Switzerland), aBMD at distal radius, hip and spine and vertebral fracture assessment (VFA) by DXA in 107 young patients (mean age 22.8 yrs, range 12.2-33.7 yrs; 62 females and 45 males) with Crohn's disease (n=75), ulcerative colitis (n=25), undetermined colitis (n=2), and no definitive diagnosis (n=5), and in 389 healthy young individuals. Results: Mean disease duration was 6.1 yrs, 89/107 IBD patients received corticosteroids, 83 other immunomodulators, and 59 vitamin D. Clinical fractures were reported by 38 patients (mean age at 1st fracture, 12.6 yrs), the vast majority of the forearm, arm or hand; 5 had vertebral crush fractures (Grade 1 or 2) and 11 had multiple fractures. As compared to healthy controls (matched 2:1 for age, sex, height and fracture history), the 102 patients with established IBD had similar weight but significantly lower aBMD at all sites, lower trabecular (Tb) BV/TV and number, and greater Tb separation and inhomogeneous Tb distribution (1/SD TbN) at both distal radius and tibia, lower tibia cortical thickness (CTh), but no differences in cortical vBMD nor bone perimeter. Among IBD's, aBMD was not associated with fractures (by logistic regression adjusted for age, age square, sex, height, weight and protein intake). However, radius and tibia Tb BV/TV, thickness and SD 1/TbN, as well as radius Tb separation and perimeter, were significantly associated with fracture risk (fully adjusted as above), whereas cortical vBMD and CTh were not. After adjustment for aBMD at radius, respectively at femur neck, radius SD 1/TbN and tibia BV/TV, TbTh and perimeter remained independently associated with fracture risk. Conclusions: Young subjects with IBD have low bone mass and poor bone microarchitecture compared to healthy controls. Alterations of bone microarchitecture, particularly in the trabecular bone compartment, are specifically associated with increased fracture risk during growth.

Market versus limit orders in an imperfectly competitive security

This paper analyzes the choice between limit and market orders in animperfectly competitive noisy rational expectations economy. There is a uniqueinsider, who takes into account the effect their trading has on prices. If theinsider behaves as a price taker, she will choose market orders if her privateinformation is very precise and she will choose limit orders otherwise. On thecontrary, if the insider recognizes and exploits her ability to affect themarket price, her optimal choice is to place limit orders whatever the precisionof her private information.

Minimum price variations, time priority and quotes dynamics

We analyze the impact of a minimum price variation (tick) and timepriority on the dynamics of quotes and the trading costs when competitionfor the order flow is dynamic. We find that convergence to competitiveoutcomes can take time and that the speed of convergence is influencedby the tick size, the priority rule and the characteristics of the orderarrival process. We show also that a zero minimum price variation is neveroptimal when competition for the order flow is dynamic. We compare thetrading outcomes with and without time priority. Time priority is shownto guarantee that uncompetitive spreads cannot be sustained over time.However it can sometimes result in higher trading costs. Empiricalimplications are proposed. In particular, we relate the size of thetrading costs to the frequency of new offers and the dynamics of theinside spread to the state of the book.

Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

Quantitative analysis of crystal/grain sizes and their distributions in 2D and 3D

We review methods to estimate the average crystal (grain) size and the crystal (grain) size distribution in solid rocks. Average grain sizes often provide the base for stress estimates or rheological calculations requiring the quantification of grain sizes in a rock's microstructure. The primary data for grain size data are either 1D (i.e. line intercept methods), 2D (area analysis) or 3D (e.g., computed tomography, serial sectioning). These data have been used for different data treatments over the years, whereas several studies assume a certain probability function (e.g., logarithm, square root) to calculate statistical parameters as the mean, median, mode or the skewness of a crystal size distribution. The finally calculated average grain sizes have to be compatible between the different grain size estimation approaches in order to be properly applied, for example, in paleo-piezometers or grain size sensitive flow laws. Such compatibility is tested for different data treatments using one- and two-dimensional measurements. We propose an empirical conversion matrix for different datasets. These conversion factors provide the option to make different datasets compatible with each other, although the primary calculations were obtained in different ways. In order to present an average grain size, we propose to use the area-weighted and volume-weighted mean in the case of unimodal grain size distributions, respectively, for 2D and 3D measurements. The shape of the crystal size distribution is important for studies of nucleation and growth of minerals. The shape of the crystal size distribution of garnet populations is compared between different 2D and 3D measurements, which are serial sectioning and computed tomography. The comparison of different direct measured 3D data; stereological data and direct presented 20 data show the problems of the quality of the smallest grain sizes and the overestimation of small grain sizes in stereological tools, depending on the type of CSD. (C) 2011 Published by Elsevier Ltd.

Multi-modal assessment of long-term erythropoietin treatment after neonatal hypoxic-ischemic injury in rat brain.

Erythropoietin (EPO) has been recognized as a neuroprotective agent. In animal models of neonatal brain injury, exogenous EPO has been shown to reduce lesion size, improve structure and function. Experimental studies have focused on short course treatment after injury. Timing, dose and length of treatment in preterm brain damage remain to be defined. We have evaluated the effects of high dose and long-term EPO treatment in hypoxic-ischemic (HI) injury in 3 days old (P3) rat pups using histopathology, magnetic resonance imaging (MRI) and spectroscopy (MRS) as well as functional assessment with somatosensory-evoked potentials (SEP). After HI, rat pups were assessed by MRI for initial damage and were randomized to receive EPO or vehicle. At the end of treatment period (P25) the size of resulting cortical damage and white matter (WM) microstructure integrity were assessed by MRI and cortical metabolism by MRS. Whisker elicited SEP were recorded to evaluate somatosensory function. Brains were collected for neuropathological assessment. The EPO treated animals did not show significant decrease of the HI induced cortical loss at P25. WM microstructure measured by diffusion tensor imaging was improved and SEP response in the injured cortex was recovered in the EPO treated animals compared to vehicle treated animals. In addition, the metabolic profile was less altered in the EPO group. Long-term treatment with high dose EPO after HI injury in the very immature rat brain induced recovery of WM microstructure and connectivity as well as somatosensory cortical function despite no effects on volume of cortical damage. This indicates that long-term high-dose EPO induces recovery of structural and functional connectivity despite persisting gross anatomical cortical alteration resulting from HI.

Regional specificity of MRI contrast parameter changes in normal ageing revealed by voxel-based quantification (VBQ).

Normal ageing is associated with characteristic changes in brain microstructure. Although in vivo neuroimaging captures spatial and temporal patterns of age-related changes of anatomy at the macroscopic scale, our knowledge of the underlying (patho)physiological processes at cellular and molecular levels is still limited. The aim of this study is to explore brain tissue properties in normal ageing using quantitative magnetic resonance imaging (MRI) alongside conventional morphological assessment. Using a whole-brain approach in a cohort of 26 adults, aged 18-85years, we performed voxel-based morphometric (VBM) analysis and voxel-based quantification (VBQ) of diffusion tensor, magnetization transfer (MT), R1, and R2* relaxation parameters. We found age-related reductions in cortical and subcortical grey matter volume paralleled by changes in fractional anisotropy (FA), mean diffusivity (MD), MT and R2*. The latter were regionally specific depending on their differential sensitivity to microscopic tissue properties. VBQ of white matter revealed distinct anatomical patterns of age-related change in microstructure. Widespread and profound reduction in MT contrasted with local FA decreases paralleled by MD increases. R1 reductions and R2* increases were observed to a smaller extent in overlapping occipito-parietal white matter regions. We interpret our findings, based on current biophysical models, as a fingerprint of age-dependent brain atrophy and underlying microstructural changes in myelin, iron deposits and water. The VBQ approach we present allows for systematic unbiased exploration of the interaction between imaging parameters and extends current methods for detection of neurodegenerative processes in the brain. The demonstrated parameter-specific distribution patterns offer insights into age-related brain structure changes in vivo and provide essential baseline data for studying disease against a background of healthy ageing.

Analysis by optical absorption and transmission electron microscopy of the strain inhomogeneities in InGaAs/InP strained layers

Optical absorption spectra and transmission electron microscopy (TEM) observations on InGaAs/InP layers under compressive strain are reported. From the band¿gap energy dispersion, the magnitude of the strain inhomogeneities. Is quantified and its microscopic origin is analyzed in view of the layer microstructure. TEM observations reveal a dislocation network at the layer interface the density of which correlates with ¿¿. It is concluded that local variations of dislocation density are responsible for the inhomogeneous strain field together with another mechanism that dominates when the dislocation density is very low.

Properties of nitrogen doped silicon films deposited by low-pressure chemical vapor deposition from silane and ammonia

Nitrogen doped silicon (NIDOS) films have been deposited by low-pressure chemical vapor deposition from silane SiH4 and ammonia NH3 at high temperature (750°C) and the influences of the NH3/SiH4 gas ratio on the films deposition rate, refractive index, stoichiometry, microstructure, electrical conductivity, and thermomechanical stress are studied. The chemical species derived from silylene SiH2 into the gaseous phase are shown to be responsible for the deposition of NIDOS and/or (silicon rich) silicon nitride. The competition between these two deposition phenomena leads finally to very high deposition rates (100 nm/min) for low NH3/SiH4 gas ratio (R¿0.1). Moreover, complex variations of NIDOS film properties are evidenced and related to the dual behavior of the nitrogen atom into silicon, either n-type substitutional impurity or insulative intersticial impurity, according to the Si¿N atomic bound. Finally, the use of NIDOS deposition for the realization of microelectromechanical systems is investigated.

A time-domain method for the analysis of thermal impedance response preserving the convolution form

The study of the thermal behavior of complex packages as multichip modules (MCM¿s) is usually carried out by measuring the so-called thermal impedance response, that is: the transient temperature after a power step. From the analysis of this signal, the thermal frequency response can be estimated, and consequently, compact thermal models may be extracted. We present a method to obtain an estimate of the time constant distribution underlying the observed transient. The method is based on an iterative deconvolution that produces an approximation to the time constant spectrum while preserving a convenient convolution form. This method is applied to the obtained thermal response of a microstructure as analyzed by finite element method as well as to the measured thermal response of a transistor array integrated circuit (IC) in a SMD package.

Effects of prior hydrogenation on the structure and properties of thermally nanocrystallized silicon layers

Nanocrystalline silicon layers have been obtained by thermal annealing of films sputtered in various hydrogen partial pressures. The as-deposited and crystallized films were investigated by infrared, Raman, x-ray diffraction, electron microscopy, and optical absorption techniques. The obtained data show evidence of a close correlation between the microstructure and properties of the processed material, and the hydrogen content in the as-grown deposit. The minimum stress deduced from Raman was found to correspond to the widest band gap and to a maximum hydrogen content in the basic unannealed sample. Such a structure relaxation seems to originate from the so-called "chemical annealing" thought to be due to Si-H2 species, as identified by infrared spectroscopy. The variation of the band gap has been interpreted in terms of the changes in the band tails associated with the disorder which would be induced by stress. Finally, the layers originally deposited with the highest hydrogen pressure show a lowest stress-which does not correlate with the hydrogen content and the optical band gap¿and some texturing. These features are likely related to the presence in these layers of a significant crystalline fraction already before annealing.