The microstructure of the Irish stock market

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. Although we find no evidence of volatility changes associated with the introduction of Xetra we do find evidence of an increase in the speed of adjustment (JEL: G15).

Hopping transport on a fractal: ac conductivity of porous silicon

We have measured the frequency dependence of the conductivity and the dielectric constant of various samples of porous Si in the regime 1 Hz-100 kHz at different temperatures. The conductivity data exhibit a strong frequency dependence. When normalized to the dc conductivity, our data obey a universal scaling law, with a well-defined crossover, in which the real part of the conductivity sigma' changes from an sqrt(omega) dependence to being proportional to omega. We explain this in terms of activated hopping in a fractal network. The low-frequency regime is governed by the fractal properties of porous Si, whereas the high-frequency dispersion comes from a broad distribution of activation energies. Calculations using the effective-medium approximation for activated hopping on a percolating lattice give fair agreement with the data.

The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

The steady performance of a porous and compliant aerostatic thrust bearing

Recent developments in aerostatic thrust bearings have included: (a) the porous aerostatic thrust bearing containing a porous pad and (b) the inherently compensated compliant surface aerostatic thrust bearing containing a thin elastomer layer. Both these developments have been reported to improve the bearing load capacity compared to conventional aerostatic thrust bearings with rigid surfaces. This development is carried one stage further in a porous and compliant aerostatic thrust bearing incorporating both a porous pad and an opposing compliant surface. The thin elastomer layer forming the compliant surface is bonded to a rigid backing and is of a soft rubber like material. Such a bearing is studied experimentally and theoretically under steady state operating conditions. A mathematical model is presented to predict the bearing performance. In this model is a simplified solution to the elasticity equations for deflections of the compliant surface. Account is also taken of deflections in the porous pad due to the pressure difference across its thickness. The lubrication equations for flow in the porous pad and bearing clearance are solved by numerical finite difference methods. An iteration procedure is used to couple deflections of the compliant surface and porous pad with solutions to the lubrication equations. Comparisons between experimental results and theoretically predicted bearing performance are in good agreement. However these results show that the porous and compliant aerostatic thrust bearing performance is lower than that of a porous aerostatic thrust bearing with a rigid surface in place of the compliant surface. This discovery is accounted to the recess formed in the bearing clearance by deflections of the compliant surface and its effect on flow through the porous pad.