Speculative securities

A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders have superior information. In this paper we show that agents may find it desirable to trade such a security in spite of the fact that it is a poorer hedge against their endowment risks as the time oftrade, and has an associated adverse selection cost. In the specific institutional setting of innovation of futures contracts, we show that a futures exchange may not have an incentive to introduce a speculative security even when all traders favor it.

Osingon irtoamisen kurssivaikutus suomalaisissa pörssiyhtiöissä vuosina 1994-2002

Tutkielmassa analysoitiin osingon irtoamisen vaikutusta osakekursseihin suomalaisissa pörssiyrityksissä vuosina 1994-2002. Osingon irtoamisen aikaista hinnoittumistehokkuutta tutkittiin pääasiassa niin sanotun markkinakorjatun kurssilaskusuhteen avulla. Saatujen tulosten mukaan ulkomaalaiset sijoittajat ja/ tai lyhytaikaista kauppaa käyvät markkinaosapuolet ovat toimineet hinnanmäärittäjinä Suomen osakemarkkinoilla tutkimusperiodin aikana. Lisäksi havaittiin tilastollisesti merkitsevä ero osakeindeksin nousu- ja laskupäivien keskimääräisten kurssilaskusuhteiden välillä. Osingon irtoamisen osuessa laskupäivälle osakekurssit laskivat huomattavasti vähemmän suhteessa osingon määrään kuin osingon irrotessa nousupäivänä. Tutkimuksessa havaittiin myös korkean osinkotuottoprosentin yrityksillä keskimääräisen kurssilaskusuhteen olevan suurempi muihin yrityksiin verrattuna.

How institutions shaped the last major evolutionary transition to large-scale human societies.

What drove the transition from small-scale human societies centred on kinship and personal exchange, to large-scale societies comprising cooperation and division of labour among untold numbers of unrelated individuals? We propose that the unique human capacity to negotiate institutional rules that coordinate social actions was a key driver of this transition. By creating institutions, humans have been able to move from the default 'Hobbesian' rules of the 'game of life', determined by physical/environmental constraints, into self-created rules of social organization where cooperation can be individually advantageous even in large groups of unrelated individuals. Examples include rules of food sharing in hunter-gatherers, rules for the usage of irrigation systems in agriculturalists, property rights and systems for sharing reputation between mediaeval traders. Successful institutions create rules of interaction that are self-enforcing, providing direct benefits both to individuals that follow them, and to individuals that sanction rule breakers. Forming institutions requires shared intentionality, language and other cognitive abilities largely absent in other primates. We explain how cooperative breeding likely selected for these abilities early in the Homo lineage. This allowed anatomically modern humans to create institutions that transformed the self-reliance of our primate ancestors into the division of labour of large-scale human social organization.

Rakennukset ja rakentajat Raision Ihalassa rautakauden lopulla ja varhaisella keskiajalla

Turun yliopiston arkeologian oppiaine tutki Raision Ihalan historiallisella kylätontilla, ns. Mullin eduspellolla, asuinpaikan, josta löydettiin maamme oloissa harvinaisen hyvin säilyneitä rakennusten puuosien jäännöksiä. Löytö on ainutlaatuinen Suomen oloissa ja sillä on kansainvälistäkin merkitystä, koska hyvin säilyneet myöhemmän rautakauden ja varhaisen keskiajan maaseutuasuinpaikat, joista tavataan puujäännöksiä, ovat harvinaisia erityisesti itäisen Itämeren piirissä. Rakennukset on ennallistettu käyttäen tiukkaa paikallisen analogian (’Tight Local Analogy’) metodia, erityisesti suoraa historiallista analogista lähestymistapaa. Tätä tarkoitusta varten muodostettiin aluksi arkeologinen, historiallinen ja etnografinen lähdemalli. Tämä valittiin maantieteellisesti ja ajallisesti relevantista tutkimusaineistosta pohjoisen Itämeren piiristä. Tiedot lounaisen Suomen rakennuksista ja rakennusteknologiasta katsottiin olevan tärkein osa mallia johtuen historiallisesta ja spatiaalisesta jatkuvuudesta. Lähdemalli yhdistettiin sitten Mullin arkeologiseen aineistoon ja analyysin tuloksena saatiin rakennusten ennallistukset. Mullista on voitu ennallistaa ainakin kuusi eri rakennusta neljässä eri rakennuspaikassa. Rakennusteknologia perustui kattoa kannattaviin horisontaalisiin pitkiin seinähirsiin, jotka oli nurkissa yhdistetty joko salvoksella tai varhopatsaalla. Kaikissa rakennuksissa ulkoseinän pituus oli 5 – 7 metriä. Löydettiin lisäksi savi- ja puulattioita sekä kaksi tulisijaa, savikupoliuuni ja avoin liesi. Runsaan palaneen saven perusteella on mahdollista päätellä, että katto oli mitä todennäköisimmin kaksilappeinen vuoliaiskatto, joka oli katettu puulla ja/tai turpeella. Kaikki rakennukset olivat samaa tyyppiä ja ne käsittivät isomman huoneen ja kapean eteisen. Kaikki analysoitu puu oli mäntyä. Ulkoalueelta tavattiin lisäksi tunkioita, ojia, aitoja ja erilaisia varastokuoppia. Rakennukset on ajoitettu 900-luvun lopulta 1200-luvun lopulle (cal AD). Lopuksi tutkittiin rakennuksia yhteisöllisessä ympäristössään, niiden ajallista asemaa sekä asukkaiden erilaisia spatiaalisia kokemuksia ja yhteyksiä. Raision Ihalaa analysoidaan sosiaalisen identiteetin ja sen materiaalisten ilmenemismuotojen kautta. Nämä sosiaaliset identiteetit muodostuvat kommunikaatioverkostoista eri spatiaalisilla ja yhteisöllisillä ta¬soilla. Näitä eri tasoja ovat: 1) kotitalous arjen toimintoineen, perhe ja sukulaisuussuhteet traditioineen; 2) paikallinen identiteetti, rakennus, rakennuspaikka, asuinpaikan ympäristö ja sen käyttö, (maa)talo ja kylä; 3) Raision Ihalan kylä laajemmassa alueellisessa kontekstissaan pohjoisen Itämeren piirissä: kauppiaiden ja käsityöläisten kontaktiverkostot, uskonnollinen identiteetti ja sen muutokset.

From Fluid Dynamics to Human Psychology.What Drives Financial Markets Towards Extreme Events

For decades researchers have been trying to build models that would help understand price performance in financial markets and, therefore, to be able to forecast future prices. However, any econometric approaches have notoriously failed in predicting extreme events in markets. At the end of 20th century, market specialists started to admit that the reasons for economy meltdowns may originate as much in rational actions of traders as in human psychology. The latter forces have been described as trading biases, also known as animal spirits. This study aims at expressing in mathematical form some of the basic trading biases as well as the idea of market momentum and, therefore, reconstructing the dynamics of prices in financial markets. It is proposed through a novel family of models originating in population and fluid dynamics, applied to an electricity spot price time series. The main goal of this work is to investigate via numerical solutions how well theequations succeed in reproducing the real market time series properties, especially those that seemingly contradict standard assumptions of neoclassical economic theory, in particular the Efficient Market Hypothesis. The results show that the proposed model is able to generate price realizations that closely reproduce the behaviour and statistics of the original electricity spot price. That is achieved in all price levels, from small and medium-range variations to price spikes. The latter were generated from price dynamics and market momentum, without superimposing jump processes in the model. In the light of the presented results, it seems that the latest assumptions about human psychology and market momentum ruling market dynamics may be true. Therefore, other commodity markets should be analyzed with this model as well.

Do retail investors use technical analysis? Evidence from Stuttgart stock exchange.

Tutkielma käyttää automaattista kuviontunnistusalgoritmia ja yleisiä kahden liukuvan keskiarvon leikkauspiste –sääntöjä selittääkseen Stuttgartin pörssissä toimivien yksityissijoittajien myynti-osto –epätasapainoa ja siten vastatakseen kysymykseen ”käyttävätkö yksityissijoittajat teknisen analyysin menetelmiä kaupankäyntipäätöstensä perustana?” Perusolettama sijoittajien käyttäytymisestä ja teknisen analyysin tuottavuudesta tehtyjen tutkimusten perusteella oli, että yksityissijoittajat käyttäisivät teknisen analyysin metodeja. Empiirinen tutkimus, jonka aineistona on DAX30 yhtiöiden data vuosilta 2009 – 2013, ei tuottanut riittävän selkeää vastausta tutkimuskysymykseen. Heikko todistusaineisto näyttää kuitenkin osoittavan, että yksityissijoittajat muuttavat kaupankäyntikäyttäytymistänsä eräiden kuvioiden ja leikkauspistesääntöjen ohjastamaan suuntaan.

Stochastic particle models: mean reversion and burgers dynamics. An application to commodity markets

The aim of this study is to propose a stochastic model for commodity markets linked with the Burgers equation from fluid dynamics. We construct a stochastic particles method for commodity markets, in which particles represent market participants. A discontinuity in the model is included through an interacting kernel equal to the Heaviside function and its link with the Burgers equation is given. The Burgers equation and the connection of this model with stochastic differential equations are also studied. Further, based on the law of large numbers, we prove the convergence, for large N, of a system of stochastic differential equations describing the evolution of the prices of N traders to a deterministic partial differential equation of Burgers type. Numerical experiments highlight the success of the new proposal in modeling some commodity markets, and this is confirmed by the ability of the model to reproduce price spikes when their effects occur in a sufficiently long period of time.

Account book from the Wilcox Estate, 1882-1886

This may be the account book of someone in the wholesale dry goods or grocery business. The account book includes balance sheets for a Waterford store and a Dunnville store. The accounts include clients from several southwestern Ontario communities. Names include Leitch, Turner, Auger, McKim, Beatty, Hewetson, Murton, Bell, Greig, Duggan, Kirk, and Logie. Local Niagara names include: W.B. Chambers of Welland and B.F. Morely of Thorold. Also includes deposit accounts held with Traders Bank of Canada and investments in the Temperance Colonization Society.

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Bundling under the Threat of Parallel Trade

This paper examines the use of bundling by a firm that sells in two national markets and faces entry by parallel traders. The firm can bundle its main product, - a tradable good- with a non-traded service. It chooses between the strategies of pure bundling, mixed bundling and no bundling. The paper shows that in the low-price country the threat of grey trade elicits a move from mixed bundling, or no bundling, towards pure bundling. It encourages a move from pure bundling towards mixes bundling or no bundling in the high-price country. The set of parameter values for which the profit maximizing strategy is not to supply the low price country is smaller than in the absence of bundling. The welfare effects of deterrence of grey trade are not those found in conventional models of price arbitrage. Some consumers in the low-price country may gain from the threat of entry by parallel traders although they pay a higher price. This is due to the fact that the firm responds to the threat of arbitrageurs by increasing the amount of services it puts in the bundle targeted at consumers in that country. Similarly, the threat of parallel trade may affect some consumers in the hight-price country adversely.

Immigrants et décor urbain : le cas des vendeurs ambulants africains de Piazza Garibaldi à Naples

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal.

Skewness risk and bond prices

Statistical evidence is reported that even outside disaster periods, agents face negative consumption skewness, as well as positive inflation skewness. Quantitative implications of skewness risk for nominal loan contracts in a pure exchange economy are derived. Key modeling assumptions are Epstein-Zin preferences for traders and asymmetric distributions for consumption and inflation innovations. The model is solved using a third-order perturbation and estimated by the simulated method of moments. Results show that skewness risk accounts for 6 to 7 percent of the risk premia depending on the bond maturity.

Les navires vikings : conception géométrique et architecture traditionnelle au Moyen Âge scandinave.

Selon l’image reçue des Vikings, ce peuple incarne l'esprit d’une immense solidarité primitive ayant su résister rudement au joug du christianisme et à la domination du Latin en Europe occidentale. Cette image n’est pas sans ses contradictions et, s’il est vrai que l’écriture était encore inconnue en Scandinavie durant les premiers siècles de l’expansion viking, on sait maintenant que le commerce et la colonisation, autant que les célèbres raids, motivèrent l’irruption des peuples scandinaves sur la scène médiévale. Quant aux navires de ces marchands, colonisateurs, pêcheurs et guerriers, ils apparaissent, un peu à l’image des Vikings eux-mêmes, sur le grand tableau de l’histoire nautique sous l’enseigne d’une originalité et d’une technicité sans parallèle. Comment les Vikings construisaient-ils leurs navires, en leur donnant une symétrie, un équilibre et une finesse si achevés? Les premiers ethnologues qui se sont intéressés à cette question ont privilégié les idées issues d'une tradition acquise par des générations de constructeurs, et d'astuces simples pour équilibrer tribord et bâbord. Puis, ils se sont rapidement tournés vers les techniques inhérentes à la construction à clin : utilisation de planches fendues et non sciées et de rivets abondants témoignant d’une sidérurgie acquise depuis peu. Le problème que présentent ces navires, est que leur construction artisanale demeure conforme à l’image reçue des Vikings, mais que leur conception architecturale, réalisée selon des connaissances théoriques très exactes, brise la notion d’une Scandinavie médiévale illettrée et coupée des grands centres du savoir. Ce travail s’intéresse précisément à la conception architecturale des navires scandinaves du VIIIe au XIe siècle pour montrer comment ils s’insèrent dans un haut savoir européen dès leur apparition. Il explore ensuite les liens qui unissent ce savoir théorique aux aspects véritablement originaux des navires vikings, en l’occurrence leur construction à clin et leur homogénéité sur une grande région à travers plus de cinq siècles. Au terme de cette recherche, l'analyse réalisée sur le maître-couple de trois épaves vikings, une épave antique et une épave scandinave pré-viking, a permis de mettre en évidence plusieurs indices de l'utilisation du système de conception géométrique apparaissant pour la première fois dans les traités d'architecture navale de la Renaissance, et ce, sur chacune de ces épaves. Les résultats obtenus démontrent qu'il est possible d'employer un système transversal de conception pour des navires vraisemblablement construits bordé premier et assemblés à clin.

Women Industrial Cooperatives- An Analysis of Its Structure, Performance and Growth in Kannur District

In the present study made an attempt to analyse the structure, performance and growth of women industrial cooperatives in kannur district, Kerala. The study encompasses all women industrial cooperatives registered at the district industries center, kannur and that currently exist. The women industrial cooperatives are classified into two ie; group with network and another group without network. In Kannur there are 54 units working as women industrial cooperatives. One of the main problems the women cooperatives face is the lack of working capital followed marketing problem. The competition between cooperatives and private traders is very high. The variables examined to analyse the performance of women industrial cooperatives in Kannur showed that there exists inter unit differences in almost all the variables. The financial structure structure shows that the short term liquidity of women cooperatives in Kannur favour more the units which have political networks; but the long term financial coverage is seen to be highly geared in this group, not because of a decline is net worth but due to highly proportionate increase in financial liabilities in the form of borrowings. The encouragement given by the government through financial stake and other incentives has been the major factor in the formation and growth of women cooperatives. As a result both productivity and efficiency improves in the cooperatives. In short the present study helped to capture the impact, role and dynamics of networking in general and socio political network in particular in relation to intra and inter unit differences on the structure, growth and performance of women industrial cooperatives societies in Kannur district

Customer perceptions of Banking Products and Services in Kerala with reference to Specific Customer Segments in the Urban Area

As of 1999. the state of Kerala has 3210 offices of scheduled commercial banks (SCBS). In all, there are 48 commercial banks operating in Kerala, which includes PSBs, OPBs, NPBS. FBs, and Gramin Banks. The urban areas give a complete picture of the competition in the present day banking scenario with the presence of all bank groups. Semi-urban areas of Kerala have 2196 and urban areas have 593 as on March 1995.“ The study focuses on the selected segments ofthe urban customers in Kerala which is capable of giving the finer aspects of variation in customer behaviour in the purchase of banking products and services. Considering the exhaustive nature of such an exercise, all the districts in the state have not been brought under the purview of the study. Instead. three districts with largest volume of business in terms of deposits, advances, and number of offices have been short listed as representative regions for a focused study. The study focuses on the retail customer segment and their perceptions on the various products or services offered to them. Non Resident Indians (NRIs), and Traders and Small—ScaIe Industries segments have also been included in the study with a view to obtain a comparative picture with respect to perception on customer satisfaction and service quality dimensions and bank choice behaviour. The research is hence confined to customer behaviour and the implications for possible strategies for segmentation within the retail segment customers