The role of pre-existing liquidity in determining price efficiency and liquidity gains following the introduction of SETSmm

In this paper we examine the impact that the new trading system SETSmm had on market quality measures such as firm value, liquidity and pricing efficiency. This system was introduced for mid-cap securities on the London Stock Exchange in 2003. We show that there is a small SETSmm return premium associated with the announcement that securities are to migrate to the new trading system. We find that migration to SETSmm also improves liquidity and pricing efficiency and these changes are related to the return premium. We also find that these gains are stronger for firms with high pre SETSmm liquidity and weaker for firms with low SETSmm liquidity. © 2013 John Wiley & Sons Ltd.

A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével = Modelling of the carbon dioxide emissions of a power plant, using real options

A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein-Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. ______ The carbon-dioxide emissions of an EU Emissions Trading System participant, gas-fuelled power generator are modelled by using real options for four underlying instruments (peak and off-peak electricity, gas, emission quota). This profit-maximizing power plant operates and emits pollution only if its profit (spread) on energy produced is positive. The future emissions can be estimated by a sum of European binary-spread options. Based on the real-option model, the expected value of emissions and its probability-density function can be deducted. Also calculable is the Value at Risk of emission quota position, which gives the cost of compliance at a given confidence level. To model the prices of the four underlying instruments, the geometric Ornstein-Uhlenbeck process is supposed and matched to public available price data from EEX. Based on the simulation model, the effects of various technological and market factors are analysed for the emissions level and the cost of compliance.

Trade, justice, and the politics of difference: Small developing states in the World Trade Organization

The purpose of this research project was to investigate two distinct types of research questions – one theoretical, the other empirical: (1) What would justice mean in the context of the international trade regime? (2.Using the small developing states of the Commonwealth Caribbean as a case study, what do Commonwealth Caribbean trade negotiators mean when they appeal to justice? Regarding the first question, Iris Young's framework which focuses on the achievement of social justice in a domestic context by acknowledging social differences such as those based on race and gender, was adopted and its relevance argued in the international context of interstate trade negotiation so as to validate the notion of (size, location, and governance capacity) difference in this latter context. The point of departure is that while states are typically treated as equals in international law – as are individuals in liberal political theory – there are significant differences between states which warrant different treatment in the international arena. The study found that this re-formulation of justice which takes account of such differences between states, allows for more adequate policy responses than those offered by the presumption of equal treatment. Regarding the second question, this theoretical perspective was used to analyze the understandings of justice from which Commonwealth Caribbean trade negotiators proceed. Interpretive and ethnographic methods, including participant observation, interviews, field notes, and textual analysis, were employed to analyze their understandings of justice. The study found that these negotiators perceive such justice as being justice to difference because of the distinct characteristics of small developing states which combine to constrain their participation in the international trading system; based on this perception, they seek rules and outcomes in the multilateral trade regime which are sensitive to such different characteristics; and while these issues were examined in a specific region, its findings are relevant for other regions consisting of small developing states, such as those in the ACP group.

See you in Geneva? Democracy, the Rule of Law and the WTO (Working Paper 16)

This paper is a constructivist attempt to understand a global political space where states as actors (the traditional domain of international relations theory and international law) are joined by international organizations, firms, NGOs, and others. Today we know that many supposedly private or international orders (meaning sources of order other than the central institutions of the territorial state) are engaged in the regulation of large domains of collective life in a world where the sources of power are multiple, sovereignties are overlapping, and anarchy is meaningless. The paper begins with an attempt, discussed in the first section, to sort out what the rule of law might mean in the context of the WTO, where we soon see that it can only be understood by also considering the meaning of Administrative Law. Much of the debate about rule of law depends on positivist and centralist theories of “law,” whose inadequacy for my purposes leads, in the second section, to a discussion of legal pluralism and implicit law in legal theory. These approaches offer an alternative theoretical framework that respects the role of the state while not seeing it as the only source of normativity. The third section looks directly at WTO law and dispute settlement. I tr y to show that the sources and interpretations of law in the WTO and the trading system cannot be reduced to the Dispute Settlement Body. I conclude in the fourth section with some suggestions on how a WTO rule of law could be understood as democratic.

Setting the Rules of the Game: Mega-Regionals and the Role of the WTO

Faced with a WTO in a state of paralysis, large developed trading nations have shifted their attentions to other fora to pursue their trade policy objectives. In particular, preferential trade agreements (PTAs) are now being used to promote the regulatory disciplines that were previously rejected by developing countries at the multilateral level. These so-called ‘deep’ or ‘21st century’ PTAs address a variety of issues, from technical norms, procurement, investment protection and intellectual property rights to social and environmental protection. Moreover, recently, developed countries have sought to negotiate PTAs which are large in scale, both in terms of economic size and geographical reach, including the so-called ‘mega-regional’ PTAs, such as the EU-US Transatlantic Trade and Investment Partnership, the EU-Japan PTA, the Transpacific Partnership, and the China-backed Regional Comprehensive Economic Partnership. These mega-regional PTAs are distinctive not just in terms of their sheer size and the breadth and depth of issues addressed, but also because some of their proponents readily admit that one of the central aims pursued by such agreements is to design global rules on new trade issues. In other words, these agreements are being conceived as alternatives to multilateral rule making at the WTO level. The proliferation of 21st century trade deals raises important questions concerning the continued relevance of the WTO as a global rule-making venue, and the impact that the regulatory disciplines promoted in such agreements will have on both developing and developed countries. This paper discusses the emerging features of an international trading system that is increasingly populated by large-scale PTAs and discusses some of the points of tension that arise from such practice. Firstly, it examines instances of horizontal tension resulting from the proliferation of PTAs, particularly the extent to which such PTAs represent a threat or multilateral trade governance. Secondly, it looks at an example of vertical tension by examining the manner in which the imposition of regulatory disciplines through trade agreements can undermine the ability of countries, especially developing countries, to pursue legitimate public interest objectives. Finally, the paper considers a number of steps that could be considered to address some of the adverse effects associated with the fragmentation of the international trading system, including the option of embracing variable geometry within the WTO framework and the need to develop mechanisms that provide flexibility for developing countries in the implementation of regulatory disciplines.

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.

Sviluppo di metodologie di simulazione avanzate per la progettazione fluidodinamica di condotti di motori endotermici alternativi

L’attuale panorama motoristico, fortemente guidato dalle normative, prevede l’implementazione di diverse tecnologie che hanno lo scopo di migliorare l’efficienza del motore e ridurre le emissioni di inquinanti e per le quali risulta necessario una corretta progettazione dei condotti di aspirazione. Lo sviluppo ottimale dei condotti risulta un compromesso tra obiettivi contrastanti e in termini matematici si tratta di un’ottimizzazione multiobiettivo. Le simulazioni CFD e gli algoritmi genetici sono stati applicati con successo allo studio di questi problemi, ma la combinazione di questi elementi risulta notevolmente dispendiosa in termini di tempo, in quanto sarebbero necessarie un alto numero di simulazioni. Per ridurre i tempi di calcolo, un set di simulazioni CFD pu`o essere pi`u convenientemente utilizzato per istruire una rete neurale, che una volta opportunamente istruita pu`o essere usata per prevedere gli output delle simulazioni in funzione dei parametri di progetto durante l’ottimizzazione con l’algoritmo genetico, operando quella che viene chiamata una ottimizzazione virtuale. In questa tesi, viene mostrata una metodologia numerica per l’ottimizzazione multi-obiettivo dei condotti di aspirazione, basata su un modello CAD a geometria variabile, le simulazioni fluidodinamiche tridimensionali e una rete neurale combinata con un algoritmo genetico.

Analisi delle prestazioni di un sistema di accumulo termico

Analisi termofluidodinamica di un accumulatore di calore che utilizza materiali a cambiamento di fase (PCM). I campi di velocità, di temperatura e di titolo, in regime termico non stazionario, relativi al singolo canale, vengono calcolati con un programma basato sul metodo dei volumi finiti, scritto in ambiente di lavoro Matlab. Vengono proposte diverse ottimizzazioni delle performance di accumulo termico, basate su un algoritmo genetico. Le ottimizzazioni sono fatte sia con differenti tipi di parametri di valutazione, sia con differenti gradi del polinomio che descrive la parete del canale; per ogni ottimizzazione l’algoritmo genetico è stato, quindi, utilizzato per determinare i parametri geometrici del canale ottimali. A partire dai risultati ottenuti dalle ottimizzazioni, vengono poi analizzate le prestazioni di canali della stessa geometria, ai quali viene aggiunta un’intelaiatura metallica. Vengono, infine, mostrati i risultati delle simulazioni numeriche fatte.

A quality assessment system for fresh fruits in hypermarkets and fruit trading centres.

When the fresh fruit reaches the final markets from the suppliers, its quality is not always as good as it should, either because it has been mishandled during transportation or because it lacks an adequate quality control at the producer level, before being shipped. This is why it is necessary for the final markets to establish their own quality assessment system if they want to ensure to their customers the quality they want to sell. In this work, a system to control fruit quality at the last level of the distribution channel has been designed. The system combines rapid control techniques with laboratory equipment and statistical sampling protocols, to obtain a dynamic, objective process, which can substitute advantageously the quality control inspections carried out visually by human experts at the reception platform of most hypermarkets. Portable measuring equipment have been chosen (firmness tester, temperature and humidity sensors...) as well as easy-to-use laboratory equipment (texturometer, colorimeter, refractometer..,) combining them to control the most important fruit quality parameters (firmness, colour, sugars, acids). A complete computer network has been designed to control all the processes and store the collected data in real time, and to perform the computations. The sampling methods have been also defined to guarantee the confidence of the results. Some of the advantages of a quality assessment system as the proposed one are: the minimisation of human subjectivity, the ability to use modern measuring techniques, and the possibility of using it also as a supplier's quality control system. It can be also a way to clarify the quality limits of fruits among members of the commercial channel, as well as the first step in the standardisation of quality control procedures.

The Emission Trading Scheme reform: will the Commission's proposal save the system? EPC Policy Brief, 29 May 2015

The European Union’s Emission Trading Scheme (ETS), proposed by the Commission in 2001, entered into force in 2005. It was the flagship instrument of an ambitious policy aiming to reduce the emission of greenhouse gasses in the EU by making emission allowances a freely tradable ‘financial commodity’. However, in recent years, the cracks in the system have begun to show as the price of these CO2 emission allowances has dropped. In this Policy Brief, Jørgen Knud Henningsen argues that the envisaged ETS reform may not be enough to address the system’s shortcomings, and that there should be a more open discussion about its potential if it is to contribute to the EU’s goal of a largely de-carbonised economy by 2050.

System for foreign exchange trading using genetic algorithms and reinforcement learning

Foreign exchange trading has emerged recently as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process will be very helpful. A major issue for traders in the deregulated Foreign Exchange Market is when to sell and when to buy a particular currency in order to maximize profit. This paper presents novel trading strategies based on the machine learning methods of genetic algorithms and reinforcement learning.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

European Union emissions trading scheme impact on the Spanish electricity price during phase II and phase III implementation

The European Union Emissions Trading Scheme (EU ETS) is a cornerstone of the European Union's policy to combat climate change and its key tool for reducing industrial greenhouse gas emissions cost-effectively. The purpose of the present work is to evaluate the influence of CO2 opportunity cost on the Spanish wholesale electricity price. Our sample includes all Phase II of the EU ETS and the first year of Phase III implementation, from January 2008 to December 2013. A vector error correction model (VECM) is applied to estimate not only long-run equilibrium relations, but also short-run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The four commodities prices are modeled as joint endogenous variables with air temperature and renewable energy as exogenous variables. We found a long-run relationship (cointegration) between electricity price, carbon price, and fuel prices. By estimating the dynamic pass-through of carbon price into electricity price for different periods of our sample, it is possible to observe the weakening of the link between carbon and electricity prices as a result from the collapse on CO2 prices, therefore compromising the efficacy of the system to reach proposed environmental goals. This conclusion is in line with the need to shape new policies within the framework of the EU ETS that prevent excessive low prices for carbon over extended periods of time.

Forward rates : predictive power and trading strategies

Magdeburg, Univ., Fak. für Wirtschaftswiss., Diss., 2014