Impact of derivatives trading on emerging stock markets:some evidence from India

It is generally accepted that the introduction of financial derivatives that facilitate hedging is an important step in the development of stock markets. However, financial derivatives can potentially increase volatility in the underlying cash market, which might be detrimental to the development of the stock market itself. Using data from India, we examine one possible route through which derivatives trading can increase cash market volatility: expiration day effect. Our results indicate that expiration of equity derivatives contracts does not have any effect on the intra-day volatility of the market index, and it reduces the volatility of inter-day returns to the index.

Amino acids in oral drug delivery:salts, ion-pairs and transcriptomics

Oral drug delivery is considered the most popular route of delivery because of the ease of administration, availability of a wide range of dosage forms and the large surface area for drug absorption via the intestinal membrane. However, besides the unfavourable biopharmaceutical properties of the therapeutic agents, efflux transporters such as Pglycoprotein (P-gp) and multiple resistance proteins (MRP) decrease the overall drug uptake by extruding the drug from the cells. Although, prodrugs have been investigated to improve drug partitioning by masking the polar groups covalently with pre-moieties promoting increased uptake, they present significant challenges including reduced solubility and increased toxicity. The current work investigates the use of amino acids as ion-pairs for three model drugs: indomethacin (weak acid), trimethoprim (weak base) and ciprofloxacin (zwitter ion) in an attempt to improve both solubility and uptake. Solubility was studied by salt formation while creating new routes for uptake across the membranes via amino acids transporter proteins or dipeptidyl transporters was the rationale to enhance absorption. New salts were prepared for the model drugs and the oppositely charged amino acids by freeze drying and they were characterised using FTIR, 1HNMR, DSC, SEM, pH solubility profile, solubility and dissolution. Permeability profiles were assessed using an in vitro cell based method; Caco-2 cells and the genetic changes occurring across the transporter genes and various pathways involved in the cellular activities were studied using DNA microarrays. Solubility data showed a significant increase in drug solubility upon preparing the new salts with the oppositely charged counter ions (ciprofloxacin glutamate salt exhibiting 2.9x103 fold enhancement when compared to the free drug). Moreover, permeability studies showed a 3 fold increase in trimethoprim and indomethacin permeabilities upon ion-pairing with amino acids and more than 10 fold when the zwitter ionic drug was paired with glutamic acid. Microarray data revealed that trimethoprim was absorbed actively via OCTN1 transporters while MRP7 is the main transporter gene that mediates its efflux. The absorption of trimethoprim from trimethoprim glutamic acid ion-paired formulations was affected by the ratio of glutamic acid in the formulation which was inversely proportional to the degree of expression of OCTN1. Interestingly, ciprofloxacin glutamic acid ion-pairs were found to decrease the up-regulation of ciprofloxacin efflux proteins (P-gp and MRP4) and over-express two solute carrier transporters; (PEPT2 and SLCO1A2) suggesting that a high aqueous binding constant (K11aq) enables the ion-paired formulations to be absorbed as one entity. In conclusion, formation of ion-pairs with amino acids can influence in a positive way solubility, transfer and gene expression effects of drugs.

Intraday trading patterns in London listed exchange traded funds

In this paper we examine the intraday trading patterns of Exchange Traded Funds (ETFs) listed on the London Stock Exchange. ETFs have been shown to be characterised by much lower bid–ask spread costs and by lower levels of information asymmetry than individual securities. One possible explanation for intraday trading patterns is that concentration of trading arises at the start of the trading day because informed traders have private information that quickly diminishes in value as trading progresses. Since ETFs have lower trading costs and lower levels of information asymmetry we would expect these securities to display less pronounced intraday patterns than individual securities. We fail to find that ETFs are characterised by concentrated trading bouts during the day and therefore find support for the argument that information asymmetry is the cause of intraday volume patterns in stock markets. We find that ETF bid–ask spreads and volatility are elevated at the open but not at the close. This lends support to the “accumulation of information” explanation that sees high spreads and volatility at the open as a consequence of information accumulating during a market closure and impacting on the market when it next opens.

Efficiency and the trading system:The case of SETSmm

This paper studies the impact that a change from a dealer system to a market-maker supported auction system has on market quality. We study the impact that the introduction of SETSmm at the London Stock Exchange had on firm value, price efficiency and liquidity. We discover a small SETSmm return premium associated with the announcement that securities are to migrate to the new trading system. Moreover, securities that migrate to SETSmm are characterized by improvements to liquidity and pricing efficiency. We find that these changes are related to the return premium.

Modelling intraday trading volume

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT

Reinsurance trading in Lloyd's of London:balancing conflicting-yet-complementary logics in practice

Drawing on a year-long ethnographic study of reinsurance trading in Lloyd’s of London, this paper makes three contributions to current discussions of institutional complexity. First, we shift focus away from structural and relatively static organizational responses to institutional complexity and identify three balancing mechanisms - segmenting, bridging, and demarcating - which allow individuals to manage competing logics and their shifting salience within their everyday work. Second, we integrate these mechanisms in a theoretical model that explains how individuals can continually keep coexisting logics, and their tendencies to either blend or disconnect, in a state of dynamic tension which makes them conflicting-yet-complementary logics. Our model shows how actors are able to dynamically balance coexisting logics, maintaining the distinction between them, whilst also exploiting the benefits of their interdependence. Third, in contrast to most studies of newly formed hybrids and/or novel complexity our focus on a long-standing context of institutional complexity shows how institutional complexity can itself become institutionalized and routinely enacted within everyday practice.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Matrixes of Relations between Pairs Objects and Transformations between Various Kinds

Ways of representation of relations between pair's objects are described at a complete choice. Methods of revealing and kinds of relations between objects are considered. The table of conformity between various forms of representation of relations is resulted.

An Optimal Distributed Algorithm for All-Pairs Shortest-Path

In this paper the network problem of determining all-pairs shortest-path is examined. A distributed algorithm which runs in O(n) time on a network of n nodes is presented. The number of messages of the algorithm is O(e+n log n) where e is the number of communication links of the network. We prove that this algorithm is time optimal.

An intelligent broker agent for energy trading:an MDP approach

This paper details the development and evaluation of AstonTAC, an energy broker that successfully participated in the 2012 Power Trading Agent Competition (Power TAC). AstonTAC buys electrical energy from the wholesale market and sells it in the retail market. The main focus of the paper is on the broker’s bidding strategy in the wholesale market. In particular, it employs Markov Decision Processes (MDP) to purchase energy at low prices in a day-ahead power wholesale market, and keeps energy supply and demand balanced. Moreover, we explain how the agent uses Non-Homogeneous Hidden Markov Model (NHHMM) to forecast energy demand and price. An evaluation and analysis of the 2012 Power TAC finals show that AstonTAC is the only agent that can buy energy at low price in the wholesale market and keep energy imbalance low.

The effects of non-trading on the illiquidity ratio

Using a simulation analysis we show that non-trading can cause an overstatement of the observed illiquidity ratio. Our paper shows how this overstatement can be eliminated with a very simple adjustment to the Amihud illiquidity ratio. We find that the adjustment improves the relationship between the illiquidity ratio and measures of illiquidity calculated from transaction data. Asset pricing tests show that without the adjustment, illiquidity premia estimates can be understated by more than 17% for NYSE securities and by more than 24% for NASDAQ securities.

Trading-up on unmet expectations? Evaluating consumers’ expectations in online premium grocery shopping logistics

Geography and retail store locations are inherently bound together; this study links food retail changes to systemic logistics changes in an emerging market. The later include raising income and education, access to a wide range of technologies, traffic and transport difficulties, lagging retail provision, changing family structure and roles, as well as changing food culture and taste. The study incorporates demand for premium products defined by Kapferer and Bastien [2009b. The Luxury Strategy. London: Kogan Page] as comprising a broad variety of higher quality and unique or distinctive products and brands including in grocery organic ranges, healthy options, allergy free selections, and international and gourmet/specialty products through an online grocery model (n = 356) that integrates a novel view of home delivery in Istanbul. More importantly from a logistic perspective our model incorporates any products from any online vendors broadening the range beyond listed items found in any traditional online supermarkets. Data collected via phone survey and analysed via structural equation modelling suggest that the offer of online premium products significantly affects consumers’ delivery logistics expectations. We discuss logistics operations and business management implications, identifying the emerging geography of logistic models which respond to consumers’ unmet expectations using multiple sourcing and consolidation points.

Charting new territory for organizational ethnography:insights from a team-based video ethnography of reinsurance trading in Lloyd’s of London

An increasing interest in “bringing actors back in” and gaining a nuanced understanding of their actions and interactions across a variety of strands in the management literature, has recently helped ethnography to unknown prominence in the field of organizational studies. Yet, calls remain that ethnography should “play a much more central role in the organization and management studies repertoire than it currently does” (Watson, 2011: 202). Ironically, those organizational realities that ethnographers are called to examine have at the same time become less and less amenable to ethnographic study. In this paper, we respond to these calls for innovative ethnographic methods in two ways. First, we report on the practices and ethnographic experiences of conducting a year-long team-based video ethnography of reinsurance trading in Lloyd’s of London. Second, drawing on these experiences, we propose an initial framework for systematizing new approaches to organizational ethnography and visualizing the ways in which they are ‘expanding’ ethnography as it was traditionally practiced.