Meeting technologies and optimal trading mechanisms in competitive search markets

In a market in which sellers compete by posting mechanisms, we study how the properties of the meeting technology affect the mechanism that sellers select. In general, sellers have incentive to use mechanisms that are socially efficient. In our environment, sellers achieve this by posting an auction with a reserve price equal to their own valuation, along with a transfer that is paid by (or to) all buyers with whom the seller meets. However, we define a novel condition on meeting technologies, which we call “invariance,” and show that the transfer is equal to zero if and only if the meeting technology satisfies this condition.

IPH Response to Dept of Justice and Equality Review of the Code of Practice on the Sale and Display of Alcohol in Mixed Trading Premises

IPH responded to the Department of Justice, Equality and Defence review of the voluntary Code of Practice for the display and sale of alcohol in supermarkets, convenience stores and similar mixed trading outlets. The voluntary Code was introduced in 2008 as an alternative to the statutory rules for structural separation of alcohol products in mixed trading outlets which are set out in section 9 of the Intoxicating Liquor Act 2008. Interested bodies and individuals were invited to submit comments on the Compliance Report for 2011 and on the effectiveness of the voluntary approach to structural separation by 20th December 2011. The Minister said he intended to also seek the views of the Minister for Health and the Joint Oireachtas Committee on Justice, Defence and Equality before reaching any decision on whether to bring the statutory rules in the 2008 Act into operation.

Macrophage migration inhibitory factor: a counter-regulator of glucocorticoid action and critical mediator of septic shock.

Recent studies have led to the discovery of a mediator that acts as an endogenous counter-regulator of glucocorticoid action within the immune system. Isolated as a product of anterior pituitary cells, this protein was found to have the sequence of macrophage migration inhibitory factor (MIF), one of the first cytokine activities to be described. Macrophages and T cells release MIF in response both to various inflammatory stimuli and upon incubation with low concentrations of glucocorticoids. The glucocorticoid-induced secretion of MIF is tightly regulated and decreases at high, anti-inflammatory steroid concentrations. Once secreted, MIF "overrides" the anti-inflammatory and immunosuppressive effects of steroids on macrophage and T-cell cytokine production. The physiological role of MIF thus appears to be to counter-balance steroid inhibition of the inflammatory response. Anti-MIF antibodies fully protect animals from experimentally induced gram-negative or gram-positive septic shock, an effect that may be the result of the increased anti-inflammatory effects of glucocorticoids after neutralization of endogenous MIF. Anti-MIF therapeutic strategies are presently under development and may prove to be a means to modulate cytokine production in septic shock as well as in other inflammatory disease states.

Response to the Office of Fair Trading on the Care Home Market (PDF 36 KB)

Response to the Office of Fair Trading on the Care Home Market

Comparison between the Counter Immunoelectrophoresis Test and Mouse Neutralization Test for the Detection of Antibodies against Rabies Virus in Dog Sera

The detection of rabies antibodies is extremely valuable for epidemiological studies, determination of immune status in man, animals, and for the diagnosis of the disease. Several serological procedures have been described for this purpose. The present study reports a comparison between counterimmunoelectrophoresis test (CIET) and mouse neutralization test (MNT) in the detection of antibodies against rabies virus from 212 serum samples of vaccinated dogs. The agreement between both techniques was 79.7% and a significative association was demonstrated. The correlation coefficients between MNT and the CIET titers was determined considering 88 samples showing positive results in both techniques [CIET = 2 and MNT = 5 (0.13 IU/ml)] and resulted r² = 0.7926 (p < 0.001). The performance of CIET system was technically simple, cheap and rapid, and thereby it could be useful for serological monitoring of dog vaccination campaigns as well as for individual analysis.

Accès sans prescription aux statines: bénéfique ou délétère. [Over-the-counter statins: benefit or harmful?]

Making statin available over the counter is one of the measures proposed to correct its underuse. Since May 2004, simvastatin 10 mg is sold over the counter in Great Britain. But uncertainties persist concerning the efficacy of statin in primary prevention and at a 10 mg dose. Finally, there is a risk of side effects and drug interactions. Beyond the correction of statin underuse and the hope of coronary heart disease mortality reduction, the British decision highlighted the will to give individuals a sense of responsibility concerning their health and its financial cost. Anyway, the benefit of switching statin from prescription to over the counter should be experimentally evaluated before its introduction.

Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.

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

Survival and Sensemaking: Organizational Resilience in a Wall Street Trading Room After 9/11

How do organizations cope with extreme uncertainty? The existing literature is divided on this issue: some argue that organizations deal best with uncertainty in the environment by reproducing it in the organization, whereas others contend that the orga nization should be protected from the environment. In this paper we study the case of a Wall Street investment bank that lost its entire office and trading technology in the terrorist attack of September 11 th. The traders survived, but were forced to relocate to a makeshift trading room in New Jersey. During the six months the traders spent outside New York City, they had to deal with fears and insecurities inside the company as well as outside it: anxiety about additional attacks, questions of professional identity, doubts about the future of the firm, and ambiguities about the future re-location of the trading room. The firm overcame these uncertainties by protecting the traders' identities and their ability to engage in sensemaking. The organization held together through a leadership style that managed ambiguities and created the conditions for new solutions to emerge.

Ecologies of Value in a Wall Street Trading Room

Our task in this paper is to analyze the organization of trading in the era of quantitative finance. To do so, we conduct an ethnography of arbitrage, the trading strategy that best exemplifies finance in the wake of the quantitative revolution. In contrast to value and momentum investing, we argue, arbitrage involves an art of association-the construction of equivalence (comparability) of properties across different assets. In place of essential or relational characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else-associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.