Microstructure Characteristics of U.S. Futures Markets

Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liquidity Characteristics for U.S. Electronic Futures and ETF Markets” explores the price discovery process in U.S. futures and ETF markets. Hasbrouck’s information share method is applied to futures and ETF instruments. The information share results show that futures markets dominate the price discovery process. The results on the factors that affect the price discovery process show that when volatility increases, the price leadership of futures markets declines. Furthermore, when the relative size of bid-ask spread in one market increases, its information share decreases. The second essay, entitled “The Resiliency of Large Trades for U.S. Electronic Futures Markets,“ examines the effects of large trades in futures markets. How quickly prices and liquidity recovers after large trades is an important characteristic of financial markets. The price effects of large trades are greater during the crisis period compared to the pre-crisis period. Furthermore, relative to the pre-crisis period, during the crisis period it takes more trades until liquidity returns to the pre-block trade levels. The third essay, entitled “Components of Quoted Bid-Ask Spreads in U.S. Electronic Futures Markets,” investigates the bid-ask spread components in futures market. The components of bid-ask spreads is one of the most important subjects of microstructure studies. Utilizing Huang and Stoll’s (1997) method the third essay of this dissertation provides the first analysis of the components of quoted bid-ask spreads in U.S. electronic futures markets. The results show that order processing cost is the largest component of bid-ask spreads, followed by inventory holding costs. During the crisis period market makers increase bid-ask spreads due to increasing inventory holding and adverse selection risks.

’Letting the right one in’: provider contexts for recruitment to initial teacher education in the United Kingdom

We exploit policy differences within the UK to investigate provider context and recruitment to initial teacher education (ITE). We identify three dimensions of variation: conceptions of professionalism, universal or context specific preparation and costs and benefits to providers. University-led ITE programmes used similar criteria and processes in each jurisdiction, but there were differences between university-led and school-led recruitment. Our study suggests that the current shortfall in recruitment to ITE in England may be a product of the contextual constraints which schools experience. It also suggests that school-led recruitment may tend to emphasise short-term and school-specific needs.

Essays on Corruption and Enforcement

Thesis (Ph.D.)--University of Washington, 2016-08

Impactos da adoção do padrão contábil IFRS no Brasil : houve redução na percepção do risco de seleção adversa pelos credores não bancários das empresas de capital aberto brasileiras?

Dissertação (mestrado)—UnB/UFPB/UFRN, Programa MultiInstitucional e Inter-Regional de Pós-Graduação em Ciências Contábeis, 2016.

Relevance or irrelevance of capital structure?

In this paper we examine the effects of asymmetric information on the nature of financial equilibrium and on the capital structure of firms. In the first model presented, the financial contracts on offer involve pooling equilibrium with no adverse selection. However, in the special case analyzed, where contracts are of mixed form, there may be a separating equilibrium and also equilibrium may not exist. Interesting result is that the separating equilibrium found is not economically efficient since aggregate investments falls short of first-best level. More importantly, capital structure does matter. The relative magnitude of outside equity makes a real difference to the quantity of aggregate investment in equilibrium.

Selection Constructive based Hyper-heuristic for Dynamic Scheduling

A função de escalonamento desempenha um papel importante nos sistemas de produção. Os sistemas de escalonamento têm como objetivo gerar um plano de escalonamento que permite gerir de uma forma eficiente um conjunto de tarefas que necessitam de ser executadas no mesmo período de tempo pelos mesmos recursos. Contudo, adaptação dinâmica e otimização é uma necessidade crítica em sistemas de escalonamento, uma vez que as organizações de produção têm uma natureza dinâmica. Nestas organizações ocorrem distúrbios nas condições requisitos de trabalho regularmente e de forma inesperada. Alguns exemplos destes distúrbios são: surgimento de uma nova tarefa, cancelamento de uma tarefa, alteração na data de entrega, entre outros. Estes eventos dinâmicos devem ser tidos em conta, uma vez que podem influenciar o plano criado, tornando-o ineficiente. Portanto, ambientes de produção necessitam de resposta imediata para estes eventos, usando um método de reescalonamento em tempo real, para minimizar o efeito destes eventos dinâmicos no sistema de produção. Deste modo, os sistemas de escalonamento devem de uma forma automática e inteligente, ser capazes de adaptar o plano de escalonamento que a organização está a seguir aos eventos inesperados em tempo real. Esta dissertação aborda o problema de incorporar novas tarefas num plano de escalonamento já existente. Deste modo, é proposta uma abordagem de otimização – Hiper-heurística baseada em Seleção Construtiva para Escalonamento Dinâmico- para lidar com eventos dinâmicos que podem ocorrer num ambiente de produção, a fim de manter o plano de escalonamento, o mais robusto possível. Esta abordagem é inspirada em computação evolutiva e hiper-heurísticas. Do estudo computacional realizado foi possível concluir que o uso da hiper-heurística de seleção construtiva pode ser vantajoso na resolução de problemas de otimização de adaptação dinâmica.

Selection of dynamic comparative advantages

Considera diversos factores para examinar cómo modifican el principio simple de las ventajas comparativas estáticas y de mercado.

Dynamic decision-making based on NFR for managing software variability and configuration selection

Due to dynamic variability, identifying the specific conditions under which non-functional requirements (NFRs) are satisfied may be only possible at runtime. Therefore, it is necessary to consider the dynamic treatment of relevant information during the requirements specifications. The associated data can be gathered by monitoring the execution of the application and its underlying environment to support reasoning about how the current application configuration is fulfilling the established requirements. This paper presents a dynamic decision-making infrastructure to support both NFRs representation and monitoring, and to reason about the degree of satisfaction of NFRs during runtime. The infrastructure is composed of: (i) an extended feature model aligned with a domain-specific language for representing NFRs to be monitored at runtime; (ii) a monitoring infrastructure to continuously assess NFRs at runtime; and (iii) a exible decision-making process to select the best available configuration based on the satisfaction degree of the NRFs. The evaluation of the approach has shown that it is able to choose application configurations that well fit user NFRs based on runtime information. The evaluation also revealed that the proposed infrastructure provided consistent indicators regarding the best application configurations that fit user NFRs. Finally, a benefit of our approach is that it allows us to quantify the level of satisfaction with respect to NFRs specification.

A Fuzzy Decision Strategy for Topic Identification and Dynamic Selection of Language Models

International audience

Parallel Dynamic Optimization of Steel Risers

This paper addresses the use of optimization techniques in the design of a steel riser. Two methods are used: the genetic algorithm, which imitates the process of natural selection, and the simulated annealing, which is based on the process of annealing of a metal. Both of them are capable of searching a given solution space for the best feasible riser configuration according to predefined criteria. Optimization issues are discussed, such as problem codification, parameter selection, definition of objective function, and restrictions. A comparison between the results obtained for economic and structural objective functions is made for a case study. Optimization method parallelization is also addressed. [DOI: 10.1115/1.4001955]

A general model for host plant selection in phytophagous insects

We develop a general theoretical framework for exploring the host plant selection behaviour of herbivorous insects. This model can be used to address a number of questions, including the evolution of specialists, generalists, preference hierarchies, and learning. We use our model to: (i) demonstrate the consequences of the extent to which the reproductive success of a foraging female is limited by the rate at which they find host plants (host limitation) or the number of eggs they carry (egg limitation); (ii) emphasize the different consequences of variation in behaviour before and after landing on (locating) a host (termed pre- and post-alighting, respectively); (iii) show that, in contrast to previous predictions, learning can be favoured in post-alighting behaviour-in particular, individuals can be selected to concentrate oviposition on an abundant low-quality host, whilst ignoring a rare higher-quality host; (iv) emphasize the importance of interactions between mechanisms in favouring specialization or learning. (C) 2002 Elsevier Science Ltd.

QoS-based surrogates selection and service proposal formulation in offloading environments

Resource constraints are becoming a problem as many of the wireless mobile devices have increased generality. Our work tries to address this growing demand on resources and performance, by proposing the dynamic selection of neighbor nodes for cooperative service execution. This selection is in uenced by user's quality of service requirements expressed in his request, tailoring provided service to user's speci c needs. In this paper we improve our proposal's formulation algorithm with the ability to trade o time for the quality of the solution. At any given time, a complete solution for service execution exists, and the quality of that solution is expected to improve overtime.

Enhancing Multimodal Silent Speech Interfaces With Feature Selection

In research on Silent Speech Interfaces (SSI), different sources of information (modalities) have been combined, aiming at obtaining better performance than the individual modalities. However, when combining these modalities, the dimensionality of the feature space rapidly increases, yielding the well-known "curse of dimensionality". As a consequence, in order to extract useful information from this data, one has to resort to feature selection (FS) techniques to lower the dimensionality of the learning space. In this paper, we assess the impact of FS techniques for silent speech data, in a dataset with 4 non-invasive and promising modalities, namely: video, depth, ultrasonic Doppler sensing, and surface electromyography. We consider two supervised (mutual information and Fisher's ratio) and two unsupervised (meanmedian and arithmetic mean geometric mean) FS filters. The evaluation was made by assessing the classification accuracy (word recognition error) of three well-known classifiers (knearest neighbors, support vector machines, and dynamic time warping). The key results of this study show that both unsupervised and supervised FS techniques improve on the classification accuracy on both individual and combined modalities. For instance, on the video component, we attain relative performance gains of 36.2% in error rates. FS is also useful as pre-processing for feature fusion. Copyright © 2014 ISCA.

Production of recombinant protein hLIF in static and dynamic systems of animal cell culture

Thesis for the Degree of Master of Science in Biotechnology Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia