Price manipulation: theoretical models and empirical investigation

Understanding why market manipulation is conducted, under which conditions it is the most profitable and investigating the magnitude of these practices are crucial questions for financial regulators. Closing price manipulation induced by derivatives’ expiration is the primary subject of this thesis. The first chapter provides a mathematical framework in continuous time to study the incentive to manipulate a set of securities induced by a derivative position. An agent holding a European-type contingent claim, depending on the price of a basket of underlying securities, is considered. The agent can affect the price of the underlying securities by trading on each of them before expiration. The elements of novelty are at least twofold: (1) a multi-asset market is considered; (2) the problem is solved by means of both classic optimisation and stochastic control techniques. Both linear and option payoffs are considered. In the second chapter an empirical investigation is conducted on the existence of expiration day effects on the UK equity market. Intraday data on FTSE 350 stocks over a six-year period from 2015-2020 are used. The results show that the expiration of index derivatives is associated with a rise in both trading activity and volatility, together with significant price distortions. The expiration of single stock options appears to have little to no impact on the underlying securities. The last chapter examines the existence of patterns in line with closing price manipulation of UK stocks on option expiration days. The main contributions are threefold: (1) this is one of the few empirical studies on manipulation induced by the options market; (2) proprietary equity orderbook and transaction data sets are used to define manipulation proxies, providing a more detailed analysis; (3) the behaviour of proprietary trading firms is studied. Despite the industry concerns, no evidence is found of this type of manipulative behaviour.

Economic impact of a rotavirus vaccine in Brazil

The study was done to evaluate the cost-effectiveness of a national rotavirus vaccination programme in Brazilian children from the healthcare system perspective. A hypothetical annual birth-cohort was followed for a five-year period. Published and national administrative data were incorporated into a model to quantify the consequences of vaccination versus no vaccination. Main outcome measures included the reduction in disease burden, lives saved, and disability-adjusted life-years (DALYs) averted. A rotavirus vaccination programme in Brazil would prevent an estimated 1,804 deaths associated with gastroenteritis due to rotavirus, 91,127 hospitalizations, and 550,198 outpatient visits. Vaccination is likely to reduce 76% of the overall healthcare burden of rotavirus-associated gastroenteritis in Brazil. At a vaccine price of US$ 7-8 per dose, the cost-effectiveness ratio would be US$ 643 per DALY averted. Rotavirus vaccination can reduce the burden of gastroenteritis due to rotavirus at a reasonable cost-effectiveness ratio.

Recovery of the star formation history of the LMC from the VISTA survey of the Magellanic system

The VISTA near infrared survey of the Magellanic System (VMC) will provide deep YJK(s) photometry reaching stars in the oldest turn-off point throughout the Magellanic Clouds (MCs). As part of the preparation for the survey, we aim to access the accuracy in the star formation history (SFH) that can be expected from VMC data, in particular for the Large Magellanic Cloud (LMC). To this aim, we first simulate VMC images containing not only the LMC stellar populations but also the foreground Milky Way (MW) stars and background galaxies. The simulations cover the whole range of density of LMC field stars. We then perform aperture photometry over these simulated images, access the expected levels of photometric errors and incompleteness, and apply the classical technique of SFH-recovery based on the reconstruction of colour-magnitude diagrams (CMD) via the minimisation of a chi-squared-like statistics. We verify that the foreground MW stars are accurately recovered by the minimisation algorithms, whereas the background galaxies can be largely eliminated from the CMD analysis due to their particular colours and morphologies. We then evaluate the expected errors in the recovered star formation rate as a function of stellar age, SFR(t), starting from models with a known age-metallicity relation (AMR). It turns out that, for a given sky area, the random errors for ages older than similar to 0.4 Gyr seem to be independent of the crowding. This can be explained by a counterbalancing effect between the loss of stars from a decrease in the completeness and the gain of stars from an increase in the stellar density. For a spatial resolution of similar to 0.1 deg(2), the random errors in SFR(t) will be below 20% for this wide range of ages. On the other hand, due to the lower stellar statistics for stars younger than similar to 0.4 Gyr, the outer LMC regions will require larger areas to achieve the same level of accuracy in the SFR( t). If we consider the AMR as unknown, the SFH-recovery algorithm is able to accurately recover the input AMR, at the price of an increase of random errors in the SFR(t) by a factor of about 2.5. Experiments of SFH-recovery performed for varying distance modulus and reddening indicate that these parameters can be determined with (relative) accuracies of Delta(m-M)(0) similar to 0.02 mag and Delta E(B-V) similar to 0.01 mag, for each individual field over the LMC. The propagation of these errors in the SFR(t) implies systematic errors below 30%. This level of accuracy in the SFR(t) can reveal significant imprints in the dynamical evolution of this unique and nearby stellar system, as well as possible signatures of the past interaction between the MCs and the MW.

E-contracting with price configuration for Web services and QoS

The large amount of information in electronic contracts hampers their establishment due to high complexity. An approach inspired in Software Product Line (PL) and based on feature modelling was proposed to make this process more systematic through information reuse and structuring. By assessing the feature-based approach in relation to a proposed set of requirements, it was showed that the approach does not allow the price of services and of Quality of Services (QoS) attributes to be considered in the negotiation and included in the electronic contract. Thus, this paper also presents an extension of such approach in which prices and price types associated to Web services and QoS levels are applied. An extended toolkit prototype is also presented as well as an experiment example of the proposed approach.

Professional development and a discussion of the professional preparation provided by information and library science degree programs in public universities in Madrid, 2000-2005

A study was designed to determine how the degree programs in Information and library science available in 2000-2005 at the public universities of Madrid fit the tabour market needs of their students. The methodology used was the development of a questionnaire addressed to graduates. Although the number of surveys completed is not high (118), the authors believe that the results obtained permit a series of conclusions that may be extrapolated to the entire cohort.

Sequential production of amylolytic and lipolytic enzymes by bacterium strain isolated from petroleum contaminated soil

Amylases and lipases are highly demanded industrial enzymes in various sectors such as food, pharmaceuticals, textiles, and detergents. Amylases are of ubiquitous occurrence and hold the maximum market share of enzyme sales. Lipases are the most versatile biocatalyst and bring about a range of bioconversion reactions such as hydrolysis, inter-esterification, esterification, alcoholysis, acidolysis, and aminolysis. The objective of this work was to study the feasibility for amylolitic and lipolytic production using a bacterium strain isolated from petroleum contaminated soil in the same submerged fermentation. This was a sequential process based on starch and vegetable oils feedstocks. Run were performed in batchwise using 2% starch supplemented with suitable nutrients and different vegetable oils as a lipase inducers. Fermentation conditions were pH 5.0; 30 degrees C, and stirred speed (200 rpm). Maxima activities for amyloglucosidase and lipase were, respectively, 0.18 and 1,150 U/ml. These results showed a promising methodology to obtain both enzymes using industrial waste resources containing vegetable oils.

Atmospheric impacts of the life cycle emissions of fuel ethanol in Brazil: based on chemical exergy

An assessment is made of the atmospheric emissions from the life cycle of fuel ethanol coupled with the cogeneration of electricity from sugarcane in Brazil. The total exergy loss from the most quantitative relevant atmospheric emission substances produced by the life cycle of fuel ethanol is 3.26E+05 kJ/t of C(2)H(5)OH, Compared with the chemical exergy of 1 t of ethanol (calculated as 34.56E + 06 kJ). the exergy loss from the life cycle`s atmospheric emission represents 1.11% of the product`s exergy. The activity that most contributes to atmospheric emission chemical exergy losses is the harvesting of sugarcane through the methane emitted in burning. Suggestions for improved environmental quality and greater efficiency of the life cycle of fuel ethanol with cogenerated energy are: harvesting the sugarcane without burning, renewable fuels should be used in tractors, trucks and buses instead of fossil fuel and the transportation of products and input should be logistically optimized. (C) 2009 Elsevier Ltd. All rights reserved.

Lifecycle assessment of fuel ethanol from sugarcane in Brazil

This paper presents the lifecycle assessment (LCA) of fuel ethanol, as 100% of the vehicle fuel, from sugarcane in Brazil. The functional unit is 10,000 km run in an urban area by a car with a 1,600-cm(3) engine running on fuel hydrated ethanol, and the resulting reference flow is 1,000 kg of ethanol. The product system includes agricultural and industrial activities, distribution, cogeneration of electricity and steam, ethanol use during car driving, and industrial by-products recycling to irrigate sugarcane fields. The use of sugarcane by the ethanol agribusiness is one of the foremost financial resources for the economy of the Brazilian rural area, which occupies extensive areas and provides far-reaching potentials for renewable fuel production. But, there are environmental impacts during the fuel ethanol lifecycle, which this paper intents to analyze, including addressing the main activities responsible for such impacts and indicating some suggestions to minimize the impacts. This study is classified as an applied quantitative research, and the technical procedure to achieve the exploratory goal is based on bibliographic revision, documental research, primary data collection, and study cases at sugarcane farms and fuel ethanol industries in the northeast of SA o pound Paulo State, Brazil. The methodological structure for this LCA study is in agreement with the International Standardization Organization, and the method used is the Environmental Design of Industrial Products. The lifecycle impact assessment (LCIA) covers the following emission-related impact categories: global warming, ozone formation, acidification, nutrient enrichment, ecotoxicity, and human toxicity. The results of the fuel ethanol LCI demonstrate that even though alcohol is considered a renewable fuel because it comes from biomass (sugarcane), it uses a high quantity and diversity of nonrenewable resources over its lifecycle. The input of renewable resources is also high mainly because of the water consumption in the industrial phases, due to the sugarcane washing process. During the lifecycle of alcohol, there is a surplus of electric energy due to the cogeneration activity. Another focus point is the quantity of emissions to the atmosphere and the diversity of the substances emitted. Harvesting is the unit process that contributes most to global warming. For photochemical ozone formation, harvesting is also the activity with the strongest contributions due to the burning in harvesting and the emissions from using diesel fuel. The acidification impact potential is mostly due to the NOx emitted by the combustion of ethanol during use, on account of the sulfuric acid use in the industrial process and because of the NOx emitted by the burning in harvesting. The main consequence of the intensive use of fertilizers to the field is the high nutrient enrichment impact potential associated with this activity. The main contributions to the ecotoxicity impact potential come from chemical applications during crop growth. The activity that presents the highest impact potential for human toxicity (HT) via air and via soil is harvesting. Via water, HT potential is high in harvesting due to lubricant use on the machines. The normalization results indicate that nutrient enrichment, acidification, and human toxicity via air and via water are the most significant impact potentials for the lifecycle of fuel ethanol. The fuel ethanol lifecycle contributes negatively to all the impact potentials analyzed: global warming, ozone formation, acidification, nutrient enrichment, ecotoxicity, and human toxicity. Concerning energy consumption, it consumes less energy than its own production largely because of the electricity cogeneration system, but this process is highly dependent on water. The main causes for the biggest impact potential indicated by the normalization is the nutrient application, the burning in harvesting and the use of diesel fuel. The recommendations for the ethanol lifecycle are: harvesting the sugarcane without burning; more environmentally benign agricultural practices; renewable fuel rather than diesel; not washing sugarcane and implementing water recycling systems during the industrial processing; and improving the system of gases emissions control during the use of ethanol in cars, mainly for NOx. Other studies on the fuel ethanol from sugarcane may analyze in more details the social aspects, the biodiversity, and the land use impact.

The importance of the industrialization of Brazilian shale when faced with the world energy scenario

This article discusses the importance of the industrialization of Brazilian shale based on factors such as: security of the national energy system security, global oil geopoliticsl, resources available, production costs, oil prices, environmental impacts and the national oil reserves. The study shows that the industrialization of shale always arises when issues such as peak oil or its geopolitics appear as factors that raise the price of oil to unrealistic levels. The article concludes that in the Brazilian case, shale oil may be classified as a strategic resource, economically viable, currently in development by the success of the retorting technology for extraction of shale oil and the price of crude oil. The article presents the conclusion that shale may be the driving factor for the formation of a technology park in Sao Mateus do Sul, due to the city`s economic dependence on Petrosix.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Competitiveness of Brazilian sugarcane ethanol compared to US corn ethanol

Corn ethanol produced in the US and sugarcane ethanol produced in Brazil are the world`s leading sources of biofuel. Current US biofuel policies create both incentives and constraints for the import of ethanol from Brazil and together with the cost competitiveness and greenhouse gas intensity of sugarcane ethanol compared to corn ethanol will determine the extent of these imports. This study analyzes the supply-side determinants of cost competitiveness and compares the greenhouse gas intensity of corn ethanol and sugarcane ethanol delivered to US ports. We find that while the cost of sugarcane ethanol production in Brazil is lower than that of corn ethanol in the US, the inclusion of transportation costs for the former and co-product credits for the latter changes their relative competitiveness. We also find that the relative cost of ethanol in the US and Brazil is highly sensitive to the prevailing exchange rate and prices of feedstocks. At an exchange rate of US$1=R$2.15 the cost of corn ethanol is 15% lower than the delivered cost of sugarcane ethanol at a US port. Sugarcane ethanol has lower GHG emissions than corn ethanol but a price of over $113 per ton of CO(2) is needed to affect competitiveness. (C) 2010 Elsevier Ltd. All rights reserved.

Pricing corporate bonds in Brazil: 2000 to 2004

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond`s maturity influence pricing and points out associations of long-term bonds with better rating issues. (C) 2008 Elsevier Inc. All rights reserved.

Price dispersion and price indexes

The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Economic performance of Brazilian manufacturing firms: a counterfactual analysis of innovation impacts

This article assesses if innovators outperform non-innovators in Brazilian manufacturing during 1996-2002. To do so, we begin with a simple theoretical model and test the impacts of technological innovation (treatment) on innovating firms (treated) by employing propensity score matching techniques. Correcting for the survivorship bias in the period, it was verified that, on an average, the accomplishment of technological innovations produces positive and significant impacts on the employment, the net revenue, the labor productivity, the capital productivity, and market share of the firms. However, this result was not observed for the mark-up. Especially, the net revenue reflects more robustly the impacts of the innovations. Quantitatively speaking, innovating firms experienced a 10.8-12.5 percentage points (p.p. henceforth) higher growth on employment, a 18.1-21.7 p.p. higher growth on the net revenue, a 10.8-11.9 p.p. higher growth on labor productivity, a 11.8-12.0 p.p. higher growth on capital productivity, and a 19.9-24.3 p.p. higher growth on their market share, relative to the average of the non-innovating firms in the control group. It was also observed that the conjunction of product and process innovations, relative to other forms of innovation, presents the stronger impacts on the performance of Brazilian firms.

Cost-effectiveness analysis of routine rotavirus vaccination in Brazil

Objective. The objective of this study was to conduct a cost-effectiveness analysis of a universal rotavirus vaccination program among children : 5 years of age in Brazil. Methods. Considering a hypothetical annual cohort of approximately 3 300 000 newborns followed over 5 years, a decision-tree model was constructed to examine the possible clinical and economic effects of rotavirus infection with and without routine vaccination of children. Probabilities and unit costs were derived from published research and national administrative data. The impact of different estimates for key parameters was studied using sensitivity analysis. The analysis was conducted from both healthcare system and societal perspectives. Results. The vaccination program was estimated to prevent approximately 1735 351 (54%) of the 3 210 361 cases of rotavirus gastroenteritis and 703 (75%) of 933 rotavirus-associated deaths during the 5-year period. At a vaccine price of 18.6 Brazilian reais (R$) per dose, this program would cost R$121 673 966 and would save R$38 536 514 in direct costs to the public healthcare system and R$71 778 377 in direct and indirect costs to society. The program was estimated to cost R$1 028 and R$1 713 per life-years saved (LYS)from the societal and healthcare system perspectives, respectively. Conclusions. Universal rotavirus vaccination was a cost-effective strategy for both perspectives. However, these findings are highly sensitive to diarrhea incidence rate, proportion of severe cases, vaccine coverage, and vaccine price.