Secondary market pricing behaviour around UK bond auctions

Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield curve, the market offered statistically and economically significant excess returns, around the auctions held between 1992 and 2004. A cross-sectional analysis of the cumulative excess returns shows that the excess demand at the auctions is a key determinant of this excess return.

The implications of internet auctions for small to medium sized enterprises (SMEs) in Great Britain

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Auctions with Untrustworthy Bidders

The paper analyzes auctions which are not completely enforceable. In such auctions, economic agents may fail to carry out their obligations, and parties involved cannot rely on external enforcement or control mechanisms for backing up a transaction. We propose two mechanisms that make bidders directly or indirectly reveal their trustworthiness. The first mechanism is based on discriminating bidding schedules that separate trustworthy from untrustworthy bidders. The second mechanism is a generalization of the Vickrey auction to the case of untrustworthy bidders. We prove that, if the winner is considered to have the trustworthiness of the second-highest bidder, truthfully declaring one's trustworthiness becomes a dominant strategy. We expect the proposed mechanisms to reduce the cost of trust management and to help agent designers avoid many market failures caused by lack of trust.

Bidding For Parking: The Impact of University Affiliation on Predicting Bid Values in Dutch Auctions of On-Campus Parking Permits

Parking is often underpriced and expanding its capacity is expensive; universities need a better way of reducing congestion outside of building costly parking garages. Demand based pricing mechanisms, such as auctions, offer a possible solution to the problem by promising to reduce parking at peak times. However, faculty, students, and staff at universities have systematically different parking needs, leading to different parking valuations. In this study, I determine the impact university affiliation has on predicting bid values cast in three Dutch Auctions of on-campus parking permits sold at Chapman University in Fall 2010. Using clustering techniques crosschecked with university demographic information to detect affiliation groups, I ran a log-linear regression, finding that university affiliation had a larger effect on bid amount than on lot location and fraction of auction duration. Generally, faculty were predicted to have higher bids whereas students were predicted to have lower bids.

Tianjin sales of land by auctions:Italian Colonialism in the early twentieth century China

s a signatory to the Boxer Protocol in 1901, Italy came into possession of the Tianjin concession, its only colonial possession in China. The Italian settlement was situated on the Hai River, and most of the land consisted of cemeteries and salt deposits. Italian administration of the settlement encountered many difficulties. Expropriation of land from the Chinese occupants was not easy, and it proved equally difficult to attract Italian investors. However despite the fact that Italian public opinion supported the abandonment of the concession, the Italian government was ultimately obliged to undertake a project for its urban development. Success in Tianjin became a national challenge for Italy, with the National Trust providing the necessary economic support. The history of the Italian settlement in Tianjin therefore sheds light on the politics of colonialism and on Italy's economic and political agendas at the turn of the twentieth century.

EXISTENCE OF UNUSED MANAGED CAPACITY ON DEDICATED LANES AND AN ALTERNATIVE ON HOW TO SELL IT VIA AUCTIONS

This dissertation verifies whether the following two hypotheses are true: (1) High-occupancy/toll lanes (and therefore other dedicated lanes) have capacity that could still be used; (2) such unused capacity (or more precisely, “unused managed capacity”) can be sold successfully through a real-time auction. To show that the second statement is true, this dissertation proposes an auction-based metering (ABM) system, that is, a mechanism that regulates traffic that enters the dedicated lanes. Participation in the auction is voluntary and can be skipped by paying the toll or by not registering to the new system. This dissertation comprises the following four components: a measurement of unused managed capacity on an existing HOT facility, a game-theoretic model of an ABM system, an operational description of the ABM system, and a simulation-based evaluation of the system. Some other and more specific contributions of this dissertation include the following: (1) It provides a definition and a methodology for measuring unused managed capacity and another important variable referred as “potential volume increase”. (2) It proves that the game-theoretic model has a unique Bayesian Nash equilibrium. (3) And it provides a specific road design that can be applied or extended to other facilities. The results provide evidence that the hypotheses are true and suggest that the ABM system would benefit a public operator interested in reducing traffic congestion significantly, would benefit drivers when making low-reliability trips (such as work-to-home trips), and would potentially benefit a private operator interested in raising revenue.

Dutch Auctions: The case of fish auction in Bermeo

In this work I will analyze fish auctions focusing on a particular case: fish auctions in Bermeo. The purpose is to explain if at present the Dutch auction is the appropriate mechanism in the field of fish auctions or there are better alternatives for the sale of fish. For the fulfillment of this essay, I will first introduce some general notions on auctions and more particularly on Dutch auctions describing their properties and limitations.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

Residential sales by auction : a property type or geographic consideration

The sale of residential property by auction is a preferred sale method by real estate agents, but not always preferred by some vendors and most residential property buyers. In many residential property markets, the performance and measure of residential property market activity is based on the number of properties offered for sale by auction, auction clearance rates and the number of properties sold prior to auction. However, in many specific residential property markets, sale by auction may not be the preferred or supported method of sale. This paper will review the type of residential property sale within the Sydney residential property market and track the auction sales and clearance rates for Sydney over the past 5 months and compare these results in relation to clearance rates, passed in sales, and properties sold prior to auction This will provide a breakdown of real estate agency sale practice over a large metropolitan region to determine the impact of geographic location and socio-economic factors on the auction of residential property. In addition the paper will analyse the weekly auction sales in the Sydney residential property market to determine what areas of Sydney have the greatest number of house auctions and the performance of the auctions in relation location and socio economic factors.

Investigating customer click through behaviour with integrated sponsored and nonsponsored results

This paper reports findings from a study investigating the effect of integrating sponsored and nonsponsored search engine links into a single web listing. The premise underlying this research is that web searchers are chiefly interested in relevant results. Given the reported negative bias that web searchers have concerning sponsored links, separate listings may be a disservice to web searchers as it might not direct them to relevant websites. Some web meta-search engines integrate sponsored and nonsponsored links into a single listing. Using a web search engine log of over 7 million interactions from hundreds of thousands of users from a major web meta-search engine, we analysed the click-through patterns for both sponsored and nonsponsored links. We also classified web queries as informational, navigational and transactional based on the expected type of content and analysed the click-through patterns of each classification. The findings show that for more than 35% of queries, there are no clicks on any result. More than 80% of web queries are informational in nature and approximately 10% are transactional, and 10% navigational. Sponsored links account for approximately 15% of all clicks. Integrating sponsored and nonsponsored links does not appear to increase the clicks on sponsored listings. We discuss how these research results could enhance future sponsored search platforms.

Cryptographic techniques for managing computational effort

Availability has become a primary goal of information security and is as significant as other goals, in particular, confidentiality and integrity. Maintaining availability of essential services on the public Internet is an increasingly difficult task in the presence of sophisticated attackers. Attackers may abuse limited computational resources of a service provider and thus managing computational costs is a key strategy for achieving the goal of availability. In this thesis we focus on cryptographic approaches for managing computational costs, in particular computational effort. We focus on two cryptographic techniques: computational puzzles in cryptographic protocols and secure outsourcing of cryptographic computations. This thesis contributes to the area of cryptographic protocols in the following ways. First we propose the most efficient puzzle scheme based on modular exponentiations which, unlike previous schemes of the same type, involves only a few modular multiplications for solution verification; our scheme is provably secure. We then introduce a new efficient gradual authentication protocol by integrating a puzzle into a specific signature scheme. Our software implementation results for the new authentication protocol show that our approach is more efficient and effective than the traditional RSA signature-based one and improves the DoSresilience of Secure Socket Layer (SSL) protocol, the most widely used security protocol on the Internet. Our next contributions are related to capturing a specific property that enables secure outsourcing of cryptographic tasks in partial-decryption. We formally define the property of (non-trivial) public verifiability for general encryption schemes, key encapsulation mechanisms (KEMs), and hybrid encryption schemes, encompassing public-key, identity-based, and tag-based encryption avors. We show that some generic transformations and concrete constructions enjoy this property and then present a new public-key encryption (PKE) scheme having this property and proof of security under the standard assumptions. Finally, we combine puzzles with PKE schemes for enabling delayed decryption in applications such as e-auctions and e-voting. For this we first introduce the notion of effort-release PKE (ER-PKE), encompassing the well-known timedrelease encryption and encapsulated key escrow techniques. We then present a security model for ER-PKE and a generic construction of ER-PKE complying with our security notion.

Generalised gamma bidding model

A generalised gamma bidding model is presented, which incorporates many previous models. The log likelihood equations are provided. Using a new method of testing, variants of the model are fitted to some real data for construction contract auctions to find the best fitting models for groupings of bidders. The results are examined for simplifying assumptions, including all those in the main literature. These indicate no one model to be best for all datasets. However, some models do appear to perform significantly better than others and it is suggested that future research would benefit from a closer examination of these.

An efficient eAuction potocol

A secure protocol for electronic, sealed-bid, single item auctions is presented. The protocol caters to both first and second price (Vickrey) auctions and provides full price flexibility. Both computational and communication cost are linear with the number of bidders and utilize only standard cryptographic primitives. The protocol strictly divides knowledge of the bidder's identity and their actual bids between, respectively, a registration authority and an auctioneer, who are assumed not to collude but may be separately corrupt. This assures strong bidder-anonymity, though only weak bid privacy. The protocol is structured in two phases, each involving only off-line communication. Registration, requiring the use of the public key infrastructure, is simultaneous with hash-sealed bid-commitment and generates a receipt to the bidder containing a pseudonym. This phase is followed by encrypted bid-submission. Both phases involve the registration authority acting as a communication conduit but the actual message size is quite small. It is argued that this structure guarantees non-repudiation by both the winner and the auctioneer. Second price correctness is enforced either by observing the absence of registration of the claimed second-price bid or, where registered but lower than the actual second price, is subject to cooperation by the second price bidder - presumably motivated through self-interest. The use of the registration authority in other contexts is also considered with a view to developing an architecture for efficient secure multiparty transactions

Essays on Market Microstructure: Price Discovery and Informed Trading

Market microstructure is “the study of the trading mechanisms used for financial securities” (Hasbrouck (2007)). It seeks to understand the sources of value and reasons for trade, in a setting with different types of traders, and different private and public information sets. The actual mechanisms of trade are a continually changing object of study. These include continuous markets, auctions, limit order books, dealer markets, or combinations of these operating as a hybrid market. Microstructure also has to allow for the possibility of multiple prices. At any given time an investor may be faced with a multitude of different prices, depending on whether he or she is buying or selling, the quantity he or she wishes to trade, and the required speed for the trade. The price may also depend on the relationship that the trader has with potential counterparties. In this research, I touch upon all of the above issues. I do this by studying three specific areas, all of which have both practical and policy implications. First, I study the role of information in trading and pricing securities in markets with a heterogeneous population of traders, some of whom are informed and some not, and who trade for different private or public reasons. Second, I study the price discovery of stocks in a setting where they are simultaneously traded in more than one market. Third, I make a contribution to the ongoing discussion about market design, i.e. the question of which trading systems and ways of organizing trading are most efficient. A common characteristic throughout my thesis is the use of high frequency datasets, i.e. tick data. These datasets include all trades and quotes in a given security, rather than just the daily closing prices, as in traditional asset pricing literature. This thesis consists of four separate essays. In the first essay I study price discovery for European companies cross-listed in the United States. I also study explanatory variables for differences in price discovery. In my second essay I contribute to earlier research on two issues of broad interest in market microstructure: market transparency and informed trading. I examine the effects of a change to an anonymous market at the OMX Helsinki Stock Exchange. I broaden my focus slightly in the third essay, to include releases of macroeconomic data in the United States. I analyze the effect of these releases on European cross-listed stocks. The fourth and last essay examines the uses of standard methodologies of price discovery analysis in a novel way. Specifically, I study price discovery within one market, between local and foreign traders.