Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

This thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.

Second Welland Canal - Book 3, Survey Map 1 - Canal to Chippewa Creek with Port Robinson

Survey map of the Second Welland Canal created by the Welland Canal Company showing Port Robinson and the canal to Chippewa Creek. The surveyors' measurements and notes can be seen in red and black ink and pencil. Local area landmarks are also identified and include streets and roads (ex. Front Street, Bridge Street, and Cross Street), the Welland railroad, Dry Dock leased to D. McFarland and Abbey, G. Jordan Tavern, D. McFarland and Co. Burnt Saw Mill, I. Pew Shop, Old Locks, New Lock, Canal to Chippewa Creek, Chippewa Creek, covered drain from dry dock, a barn and several bridges. Properties and property owners of note are: Lots 202, Broken Front lots 202 and 203, D. McFarland, and G. Jordan.

Second Welland Canal - Book 3, Survey Map 2 - Canal to Chippewa Creek with Port Robinson

Survey map of the Second Welland Canal created by the Welland Canal Company showing the canal as it passes through Port Robinson. Identified structures associated with the Canal include the Guard Lock, Collector Toll Office, towing path, and the New Cut of the canal. The surveyors' measurements and notes can be seen in red and black ink and pencil. Local area landmarks are also identified and include streets and roads (ex. Island Street, Bridge Street, John Street, and Cross Street), bridges (Swing Bridge, and several unnamed bridges), Welland Railroad, Canal to Chippewa Creek (and two old locks and one new lock associated with the canal), Chippewa Creek, Back Water, an unnamed Island, Dry Dock leased to McFarland and Abbey, Abbey's Office, D. McFarland and Co. Saw Mill (Burnt), G. Jordan Tavern, Robert Elliot Store House and Wharf, Isaac Pew's Shop, Colemans Hotel, R. Band and Co. Girst Mill, Donaldson and Co. Grist Mill, H. Marlatt Dwelling House and barn, Henry W. Timms Hotel, Methodist Church, Post Office, Blacksmith Shop, a church, a structure labeled B. Patch, and a number of other structures that are not named. Properties and property owners of note are: Lots 202 and 203, S. Hill, D. McFarland, Church Society, G. Jordan, D. Coleman, John Brown, Rob Coulter, Robert Elliot, Isaac Pew, James McCoppen, William Bell, Charles Stuart, Andrew Elliot, Robert Band, Ed. Feney, John Betty, F. Sharp, William B. Hendershot, A. Brownson, H. Marlatt, J. S. Powell, and the School Trustees. Two reserved properties are labeled in red.The current spelling of Chippewa Creek is Chippawa. Although it not possible to make out the entire name of the H. W. Timms hotel located at Front and Bridge Street on the map itself, it was discovered to belong to Henry W. Timms after consulting the 1851-52 Canada Directory.

Market reactions to changes in the Nasdaq-100 Index membership

We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.

Macroeconomic News and LOB in Foreign Exchange ECN Market

We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.

Subscription to Lady’s Book of Philadelphia, a 3 year subscription from July 1835 – June 1838 made out to H. Nelles

Subscription to Lady’s Book of Philadelphia, a 3 year subscription from July 1835 – June 1838 made out to H. Nelles and signed by S.A. Godey. There is a note from the postmaster on the inner page of this subscription, May 19, 1838.

“When I Grow Up I Want to be a Doctor”: Promoting Atikamekw Children’s Interest for Health Professions Through a Book Collection

Introduction: Aboriginal peoples are underrepresented within the healthcare professions, and recruitment of Aboriginal students has become a priority for medical schools in Canada. Because of very low high-school completion rates among youth living on-reserve, the Université de Montréal’s Faculty of Medicine launched in 2011 the Mini-école de la santé, a program where health sciences students visit aboriginal schools. Through activities and games, students introduce children to the discovery of health professions. In 2014, the Health Library joined the project with the development of a science books collection for the school libraries and by having a librarian participate in the school visits. Description: In collaboration with the two Atikamekw elementary schools to be visited in 2014, 70 children books on science, human anatomy and the health professions were selected and purchased for each school by the Health Library. A librarian joined the health sciences students during the schools visits and the book collection was integrated in the activities organised during the day. The books were afterwards donated to the school library. Outcomes: Children, school teachers and administrators greatly appreciated the collection. The books were integrated in the library school collections or in the classrooms collections. Discussion: Quality school libraries play an important role in student learning, and access to science and health sciences books could enhance children‘s interest for the health professions. By participating in this project, the library is supporting the Health sciences faculties in achieving their goal of reaching out to Aboriginal children and making them aware that a career in health sciences is possible for them. The collaboration has been successful and will be pursued: the Health library will work with the high schools in the same Atikamekw communities to develop science book collections and the schools will be visited in 2015. A Masters in Library and Information Science student will be joining the Mini-école. Upgrading all donated collections is planned as well.