Security prices and market transparency: the role of prior information

This paper analyzes the role of traders' priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information

Trade disclosure and price dispersion

This paper determines the effects of post-trade opaqueness on market performance. We find that the degree of market transparency has important effects on market equilibria. In particular, we show that dealers operating in a transparent structure set regret-free prices at each period making zero expected profits in each of the two trading rounds, whereas in the opaque market dealers invest in acquiring information at the beginning of the trading day. Moreover, we obtain that if there is no trading activity in the first period, then market makers only change their quotes in the opaque market. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning welfare of market participants, we obtain ambiguous results. Keywords: Market microstructure, Post-trade transparency, Price experimentation, Price dispersion.

When do central banks prefer to intervene secretly?

Central banks often intervene secretly in the foreign exchange market. This secrecy seems to be at odds with the signalling channel. In this article we will analyse when a central bank intervening in the foreign exchange rate market purely through the signalling channel would prefer to act secretly or publicly. By using a microstructure model, we will show that the consistency of the intervention with fundamentals, the volume of noise trading, the weight given to the effectiveness of intervention and the degree of superior information held by the central bank will influence the decision to intervene secretly or publicly. Keywords: foreign exchange intervention, market microstructure. JEL Classifi…cation: D82, E58, F31, G14.

Market effects of foreign exchange coordinated intervention

In this article we develop a theoretical microstructure model of coordinated central bank intervention based on asymmetric information. We study the economic implications of coordination on some measures of market quality and show that the model predicts higher volatility and more significant exchange rate changes when central banks coordinate compared to when they intervene unilaterally. Both these predictions are in line with empirical evidence. Keywords: coordinated foreign exchange intervention, market microstructure. JEL Classification: D82, E58, F31, G14

Predicting trabecular bone microdamage initiation and accumulation using a non-linear perfect damage model

Studies evaluating the mechanical behavior of the trabecular microstructure play an important role in our understanding of pathologies such as osteoporosis, and in increasing our understanding of bone fracture and bone adaptation. Understanding of such behavior in bone is important for predicting and providing early treatment of fractures. The objective of this study is to present a numerical model for studying the initiation and accumulation of trabecular bone microdamage in both the pre- and post-yield regions. A sub-region of human vertebral trabecular bone was analyzed using a uniformly loaded anatomically accurate microstructural three-dimensional finite element model. The evolution of trabecular bone microdamage was governed using a non-linear, modulus reduction, perfect damage approach derived from a generalized plasticity stress-strain law. The model introduced in this paper establishes a history of microdamage evolution in both the pre- and post-yield regions

Contact metamorphism and emplacement of the western Adamello tonalite

The geodynamic forces acting in the Earth's interior manifest themselves in a variety of ways. Volcanoes are amongst the most impressive examples in this respect, but like with an iceberg, they only represent the tip of a more extensive system hidden underground. This system consists of a source region where melt forms and accumulates, feeder connections in which magma is transported towards the surface, and different reservoirs where it is stored before it eventually erupts to form a volcano. A magma represents a mixture of melt and crystals. The latter can be extracted from the source region, or form anywhere along the path towards their final crystallization place. They will retain information of the overall plumbing system. The host rocks of an intrusion, in contrast, provide information at the emplacement level. They record the effects of thermal and mechanical forces imposed by the magma. For a better understanding of the system, both parts - magmatic and metamorphic petrology - have to be integrated. I will demonstrate in my thesis that information from both is complementary. It is an iterative process, using constraints from one field to better constrain the other. Reading the history of the host rocks is not always straightforward. This is shown in chapter two, where a model for the formation of clustered garnets observed in the contact aureole is proposed. Fragments of garnets, older than the intrusive rocks are overgrown by garnet crystallizing due to the reheating during emplacement of the adjacent pluton. The formation of the clusters is therefore not a single event as generally assumed but the result of a two-stage process, namely the alteration of the old grains and the overgrowth and amalgamation of new garnet rims. This makes an important difference when applying petrological methods such as thermobarometry, geochronology or grain size distributions. The thermal conditions in the aureole are a strong function of the emplacement style of the pluton. therefore it is necessary to understand the pluton before drawing conclusions about its aureole. A study investigating the intrusive rocks by means of field, geochemical, geochronologi- cal and structural methods is presented in chapter three. This provided important information about the assembly of the intrusion, but also new insights on the nature of large, homogeneous plutons and the structure of the plumbing system in general. The incremental nature of the emplacement of the Western Adamello tonalité is documented, and the existence of an intermediate reservoir beneath homogeneous plutons is proposed. In chapter four it is demonstrated that information extracted from the host rock provides further constraints on the emplacement process of the intrusion. The temperatures obtain by combining field observations with phase petrology modeling are used together with thermal models to constrain the magmatic activity in the immediate intrusion. Instead of using the thermal models to control the petrology result, the inverse is done. The model parameters were changed until a match with the aureole temperatures was obtained. It is shown, that only a few combinations give a positive match and that temperature estimates from the aureole can constrain the frequency of ancient magmatic systems. In the fifth chapter, the Anisotropy of Magnetic Susceptibility of intrusive rocks is compared to 3D tomography. The obtained signal is a function of the shape and distribution of ferromagnetic grains, and is often used to infer flow directions of magma. It turns out that the signal is dominated by the shape of the magnetic crystals, and where they form tight clusters, also by their distribution. This is in good agreement with the predictions made in the theoretical and experimental literature. In the sixth chapter arguments for partial melting of host rock carbonates are presented. While at first very surprising, this is to be expected when considering the prior results from the intrusive study and experiments from the literature. Partial melting is documented by compelling microstructures, geochemical and structural data. The necessary conditions are far from extreme and this process might be more frequent than previously thought. The carbonate melt is highly mobile and can move along grain boundaries, infiltrating other rocks and ultimately alter the existing mineral assemblage. Finally, a mineralogical curiosity is presented in chapter seven. The mineral assemblage magne§site and calcite is in apparent equilibrium. It is well known that these two carbonates are not stable together in the system Ca0-Mg0-Fe0-C02. Indeed, magnesite and calcite should react to dolomite during metamorphism. The presented explanation for this '"forbidden" assemblage is, that a calcite melt infiltrated the magnesite bearing rock along grain boundaries and caused the peculiar microstructure. This is supported by isotopie disequilibrium between calcite and magnesite. A further implication of partially molten carbonates is, that the host rock drastically looses its strength so that its physical properties may be comparable to the ones of the intrusive rocks. This contrasting behavior of the host rock may ease the emplacement of the intrusion. We see that the circle closes and the iterative process of better constraining the emplacement could start again. - La Terre est en perpétuel mouvement et les forces tectoniques associées à ces mouvements se manifestent sous différentes formes. Les volcans en sont l'un des exemples les plus impressionnants, mais comme les icebergs, les laves émises en surfaces ne représentent que la pointe d'un vaste système caché dans les profondeurs. Ce système est constitué d'une région source, région où la roche source fond et produit le magma ; ce magma peut s'accumuler dans cette région source ou être transporté à travers différents conduits dans des réservoirs où le magma est stocké. Ce magma peut cristalliser in situ et produire des roches plutoniques ou alors être émis en surface. Un magma représente un mélange entre un liquide et des cristaux. Ces cristaux peuvent être extraits de la source ou se former tout au long du chemin jusqu'à l'endroit final de cristallisation. L'étude de ces cristaux peut ainsi donner des informations sur l'ensemble du système magmatique. Au contraire, les roches encaissantes fournissent des informations sur le niveau d'emplacement de l'intrusion. En effet ces roches enregistrent les effets thermiques et mécaniques imposés par le magma. Pour une meilleure compréhension du système, les deux parties, magmatique et métamorphique, doivent être intégrées. Cette thèse a pour but de montrer que les informations issues de l'étude des roches magmatiques et des roches encaissantes sont complémentaires. C'est un processus itératif qui utilise les contraintes d'un domaine pour améliorer la compréhension de l'autre. Comprendre l'histoire des roches encaissantes n'est pas toujours aisé. Ceci est démontré dans le chapitre deux, où un modèle de formation des grenats observés sous forme d'agrégats dans l'auréole de contact est proposé. Des fragments de grenats plus vieux que les roches intru- sives montrent une zone de surcroissance générée par l'apport thermique produit par la mise en place du pluton adjacent. La formation des agrégats de grenats n'est donc pas le résultat d'un seul événement, comme on le décrit habituellement, mais d'un processus en deux phases, soit l'altération de vieux grains engendrant une fracturation de ces grenats, puis la formation de zone de surcroissance autour de ces différents fragments expliquant la texture en agrégats observée. Cette interprétation en deux phases est importante, car elle engendre des différences notables lorsque l'on applique des méthodes pétrologiques comme la thermobarométrie, la géochronologie ou encore lorsque l'on étudie la distribution relative de la taille des grains. Les conditions thermales dans l'auréole de contact dépendent fortement du mode d'emplacement de l'intrusion et c'est pourquoi il est nécessaire de d'abord comprendre le pluton avant de faire des conclusions sur son auréole de contact. Une étude de terrain des roches intrusives ainsi qu'une étude géochimique, géochronologique et structurale est présente dans le troisième chapitre. Cette étude apporte des informations importantes sur la formation de l'intrusion mais également de nouvelles connaissances sur la nature de grands plutons homogènes et la structure de système magmatique en général. L'emplacement incrémental est mis en évidence et l'existence d'un réservoir intermédiaire en-dessous des plutons homogènes est proposé. Le quatrième chapitre de cette thèse illustre comment utiliser l'information extraite des roches encaissantes pour expliquer la mise en place de l'intrusion. Les températures obtenues par la combinaison des observations de terrain et l'assemblage métamorphique sont utilisées avec des modèles thermiques pour contraindre l'activité magmatique au contact directe de cette auréole. Au lieu d'utiliser le modèle thermique pour vérifier le résultat pétrologique, une approche inverse a été choisie. Les paramètres du modèle ont été changés jusqu'à ce qu'on obtienne une correspondance avec les températures observées dans l'auréole de contact. Ceci montre qu'il y a peu de combinaison qui peuvent expliquer les températures et qu'on peut contraindre la fréquence de l'activité magmatique d'un ancien système magmatique de cette manière. Dans le cinquième chapitre, les processus contrôlant l'anisotropie de la susceptibilité magnétique des roches intrusives sont expliqués à l'aide d'images de la distribution des minéraux dans les roches obtenues par tomographie 3D. Le signal associé à l'anisotropie de la susceptibilité magnétique est une fonction de la forme et de la distribution des grains ferromagnétiques. Ce signal est fréquemment utilisé pour déterminer la direction de mouvement d'un magma. En accord avec d'autres études de la littérature, les résultats montrent que le signal est dominé par la forme des cristaux magnétiques, ainsi que par la distribution des agglomérats de ces minéraux dans la roche. Dans le sixième chapitre, une étude associée à la fusion partielle de carbonates dans les roches encaissantes est présentée. Si la présence de liquides carbonatés dans les auréoles de contact a été proposée sur la base d'expériences de laboratoire, notre étude démontre clairement leur existence dans la nature. La fusion partielle est documentée par des microstructures caractéristiques pour la présence de liquides ainsi que par des données géochimiques et structurales. Les conditions nécessaires sont loin d'être extrêmes et ce processus pourrait être plus fréquent qu'attendu. Les liquides carbonatés sont très mobiles et peuvent circuler le long des limites de grain avant d'infiltrer d'autres roches en produisant une modification de leurs assemblages minéralogiques. Finalement, une curiosité minéralogique est présentée dans le chapitre sept. L'assemblage de minéraux de magnésite et de calcite en équilibre apparent est observé. Il est bien connu que ces deux carbonates ne sont pas stables ensemble dans le système CaO-MgO-FeO-CO.,. En effet, la magnésite et la calcite devraient réagir et produire de la dolomite pendant le métamorphisme. L'explication présentée pour cet assemblage à priori « interdit » est que un liquide carbonaté provenant des roches adjacentes infiltre cette roche et est responsable pour cette microstructure. Une autre implication associée à la présence de carbonates fondus est que la roche encaissante montre une diminution drastique de sa résistance et que les propriétés physiques de cette roche deviennent comparables à celles de la roche intrusive. Cette modification des propriétés rhéologiques des roches encaissantes peut faciliter la mise en place des roches intrusives. Ces différentes études démontrent bien le processus itératif utilisé et l'intérêt d'étudier aussi bien les roches intrusives que les roches encaissantes pour la compréhension des mécanismes de mise en place des magmas au sein de la croûte terrestre.

An investigation of customer order flow in the foreign exchange market

This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new, and the largest, proprietary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs. We make several contributions. Firstly, we investigate the extent to which customer order flow can help to explain exchange rate movements over and above the influence of macroeconomic variables. Secondly, we address the issue of whether order flows contain (private) information which explain exchange rates changes. Thirdly, we look at the usefulness of order flow in forecasting exchange rate movements at longer horizons than those generally considered in the microstructure literature. Finally we address the question of whether the out-of-sample exchange rate forecasts generated by order flows can be employed profitably in the foreign exchange markets

The regional economic impacts of biofuels: A review of multisectoral modelling techniques and evaluation of applications

The regional economic impact of biofuel production depends upon a number of interrelated factors: the specific biofuels feedstock and production technology employed; the sector’s embeddedness to the rest of the economy, through its demand for local resources; the extent to which new activity is created. These issues can be analysed using multisectoral economic models. Some studies have used (fixed price) Input-Output (IO) and Social Accounting Matrix (SAM) modelling frameworks, whilst a nascent Computable General Equilibrium (CGE) literature has also begun to examine the regional (and national) impact of biofuel development. This paper reviews, compares and evaluates these approaches for modelling the regional economic impacts of biofuels.

The regional economic impacts of biofuels: A review of multisectoral modelling techniques and evaluation of applications

The regional economic impact of biofuel production depends upon a number of interrelated factors: the specific biofuels feedstock and production technology employed; the sector’s embeddedness to the rest of the economy, through its demand for local resources; the extent to which new activity is created. These issues can be analysed using multisectoral economic models. Some studies have used (fixed price) Input-Output (IO) and Social Accounting Matrix (SAM) modelling frameworks, whilst a nascent Computable General Equilibrium (CGE) literature has also begun to examine the regional (and national) impact of biofuel development. This paper reviews, compares and evaluates these approaches for modelling the regional economic impacts of biofuels.

Development of an optimized methodology for tensile testing of carbon steels in hydrogen environment

The study was performed at OCAS, the Steel Research Centre of ArcelorMittal for the Industry market. The major aim of this research was to obtain an optimized tensile testing methodology with in-situ H-charging to reveal the hydrogen embrittlement in various high strength steels. The second aim of this study has been the mechanical characterization of the hydrogen effect on hight strength carbon steels with varying microstructure, i.e. ferrite-martensite and ferrite-bainite grades. The optimal parameters for H-charging - which influence the tensile test results (sample geometry type of electrolyte, charging methods effect of steel type, etc.) - were defined and applied to Slow Strain Rate testing, Incremental Step Loading and Constant Load Testing. To better understand the initiation and propagation of cracks during tensile testing with in-situ H-charging, and to make the correlation with crystallographic orientation, some materials have been analyzed in the SEM in combination with the EBSD technique. The introduction of a notch on the tensile samples permits to reach a significantly improved reproducibility of the results. Comparing the various steel grades reveals that Dual Phase (ferrite-martensite) steels are more sensitive to hydrogen induced cracking than the FB (ferritic-bainitic) ones. This higher sensitivity to hydrogen was found back in the reduced failure times, increased creep rates and enhanced crack initiation (SEM) for the Dual Phase steels in comparison with the FB steels.

Obtenció de matrius poroses d'àcid polilàctic (PDLLA) mitjançant fluids comprimits per a ús en regeneració tissular

En aquest treball es pretén obtenir material porós de PDLLA, amb ús potencial com a bastida en enginyeria tissular, mitjançant l’ús de freó R-134a com a fluid escumant. Per aquest motiu, s’ha realitzat un estudi on es valoren diferents variables com la temperatura de procés, la pressió de treball i l’ús de N2 en la despressurització que poden modificar la microestructura final de la bastida.

Recrystallisation rims in zircon (Valle d'Arbedo, Switzerland): an integrated cathodoluminescence, LA-ICP-MS, SHRIMP, and TEM study

Recrystallization rims are a common feature of zircon crystals that underwent metamorphism. We present a microstructural and microchemical study of partially recrystallized zircon grains collected in polymetamorphic migmatites (Valle d'Arbedo, Ticino, Switzerland). The rims are bright in cathodo-luminescence (CL), with sharp and convex contacts characterized by inward-penetrating embayments transgressing igneous zircon cores. Laser ablation-inductively coupled plasma-mass spectrometry (LA-ICP-MS) data and transmission electron microscopy (TEM) imaging indicate that the rims are chemically and microstructurally different from the cores. The rims are strongly depleted in REE, with concentrations up to two orders of magnitude lower than in the cores, indicating a significant loss of REE during zircon recrystallization. Enrichment in non-formula elements, such as Ca, has not been observed in the rims. The microstructure of zircon cores shows a dappled intensity at and below the 100 nm scale, possibly due to radiation damage. Other defects such as pores and dislocations are absent in the core except at healed cracks. Zircon rims are mostly dapple-free, but contain nanoscale pores and strain centers, interpreted as fluid inclusions and chemical residues, respectively. Sensitive high-resolution ion microprobe (SHRIMP) U-Pb ages show that the recrystallization of the rims took place >200 Ma ago when the parent igneous zircon was not metamict. The chemical composition and the low-Ti content of the rims indicate that they form at sub-solidus temperatures (550-650 degrees C). Recrystallization rims in Valle d'Arbedo zircon are interpreted as the result of the migration of chemical reaction fronts in which fluid triggered in situ and contemporaneous interface-coupled dissolution-reprecipitation mechanisms. This study indicates that strong lattice strain resulting from the incorporation of a large amount of impurities and structural defects is not a necessary condition for zircon to recrystallize. Our observations suggest that the early formation of recrystallization rims played a major role in preserving zircon from the more recent Alpine metamorphic overprint.

Characteristics and origin of agates in sedimentary rocks from the Dryhead area, Montana, USA

Agates from the Bighorn district in Montana (USA), the so-called Dryhead area, and their adjacent host rocks have been examined in the present study. Analyses by XRD, polarizing microscopy, LA-ICP-MS, cathodoluminescence (CL), SEM and of oxygen isotopes were performed to obtain information surrounding the genesis of this agate type. Investigations of the agate microstructure by polarizing microscopy and CL showed that chalcedony layers and macrocrystalline quartz crystals may have formed by crystallization from the same silica source by a process of self-organization. High defect densities and internal structures (e. g. sector zoning) of quartz indicate that crystallization went rapidly under non-equilibrium conditions. Most trace-element contents in macrocrystalline quartz are less than in chalcedony due to a process of `self-purification', which also caused the formation of Fe oxide inclusions and spherules. Although the agates formed in sedimentary host rocks, analytical data indicate participation of hydrothermal fluids during agate formation. Trace elements (REE distribution patterns, U contents up to 70 ppm) and CL features of agate (transient blue CL), as well as associated minerals (fluorite, REE carbonates) point to the influence of hydrothermal processes on the genesis of the Dryhead agates. However, formation temperatures <120 degrees C were calculated from O-isotope compositions between 28.9 parts per thousand (quartz) and 32.2 parts per thousand (chalcedony).

Comparison of Methods for Evaluation of the Bactericidal Activity of Copper-Sputtered Surfaces against Methicillin-Resistant Staphylococcus aureus.

Bacteria can survive on hospital textiles and surfaces, from which they can be disseminated, representing a source of health care-associated infections (HCAIs). Surfaces containing copper (Cu), which is known for its bactericidal properties, could be an efficient way to lower the burden of potential pathogens. The antimicrobial activity of Cu-sputtered polyester surfaces, obtained by direct-current magnetron sputtering (DCMS), against methicillin-resistant Staphylococcus aureus (MRSA) was tested. The Cu-polyester microstructure was characterized by high-resolution transmission electron microscopy to determine the microstructure of the Cu nanoparticles and by profilometry to assess the thickness of the layers. Sputtering at 300 mA for 160 s led to a Cu film thickness of 20 nm (100 Cu layers) containing 0.209% (wt/wt) polyester. The viability of MRSA strain ATCC 43300 on Cu-sputtered polyester was evaluated by four methods: (i) mechanical detachment, (ii) microcalorimetry, (iii) direct transfer onto plates, and (iv) stereomicroscopy. The low efficacy of mechanical detachment impeded bacterial viability estimations. Microcalorimetry provided only semiquantitative results. Direct transfer onto plates and stereomicroscopy seemed to be the most suitable methods to evaluate the bacterial inactivation potential of Cu-sputtered polyester surfaces, since they presented the least experimental bias. Cu-polyester samples sputtered for 160 s by DCMS were further tested against 10 clinical MRSA isolates and showed a high level of bactericidal activity, with a 4-log(10) reduction in the initial MRSA load (10(6) CFU) within 1 h. Cu-sputtered polyester surfaces might be of use to prevent the transmission of HCAI pathogens.

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. © 2014 American Society for Bone and Mineral Research.