Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the U.S. market

Flow of new information is what produces price changes, understanding if the market is unbalanced is fundamental to know how much inventory market makers should keep during an important economic release. After identifying which economic indicators impact the S&P and 10 year Treasuries. The Volume Synchronized Probability of Information-Based Trading (VPIN) will be used as a predictability measure. The results point to some predictability power over economic surprises of the VPIN metric, mainly when calculated using the S&P. This finding appears to be supported when analysing depth imbalance before economic releases. Inferior results were achieved when using treasuries. The final aim of this study is to fill the gap between microstructural changes and macroeconomic events.

Three essays on the interrelationships among financial restatements, corporate governance, market microstructure and the firm's rate of return

The increase in the number of financial restatements in recent years has resulted in a significant decrease in the amount of market capitalization for restated companies. Prior literature did not differentiate between single and multiple restatements announcements. This research investigated the inter-relationships among multiple financial restatements, corporate governance, market microstructure and the firm’s rate of return in the form of three essays by differentiating between single and multiple restatement announcement companies. First essay examined the stock performance of companies announcing the financial restatement multiple times. The postulation is that prior research overestimates the abnormal return by not separating single restatement companies from multiple restatement companies. This study investigated how market penalizes the companies that announce restatement more than once. Differentiating the restatement announcement data based on number of restatement announcements, the results supported the non persistence hypothesis that the market has no memory and negative abnormal returns obtained after each of the restatement announcements are completely random. Second essay examined the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. This study examined the pattern of information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The empirical analysis supported the hypotheses that the spread does widen not only around the first restatement announcement day but around every subsequent announcement days as well. The third essay empirically examined the financial and corporate governance characteristics of single and multiple restatement announcements companies. The analysis showed that corporate governance variables influence the occurrence of multiple restatement announcements and can distinguish multiple restatements announcement companies from single restatement announcement companies.

Three Essays on the Interrelationships Among Financial Restatements, Corporate Governance, Market Microstructure and the Firm's Rate of Return

The increase in the number of financial restatements in recent years has resulted in a significant decrease in the amount of market capitalization for restated companies. Prior literature does not differentiate between single and multiple restatements announcements. This research investigates the inter-relationships among multiple financial restatements, corporate governance, market microstructure and the firm's rate of return in the form of three essays by differentiating between single and multiple restatement announcement companies. First essay examines the stock performance of companies announcing the financial restatement multiple times. The postulation is that prior research overestimates the abnormal return by not separating single restatement companies from multiple restatement companies. This study investigates how market penalizes the companies that announce restatement more than once. Differentiating the restatement announcement data based on number of restatement announcements, the results support for non persistence hypothesis that the market has no memory and negative abnormal returns obtained after each of the restatement announcements are completely random. Second essay examines the multiple restatement announcements and its perceived resultant information asymmetry around the announcement day. This study examines the pattern of information asymmetry for these announcements in terms of whether the bid-ask spread widens around the announcement day. The empirical analysis supports the hypotheses that the spread does widen not only around the first restatement announcement day but around every subsequent announcement days as well. The third essay empirically examines the financial and corporate governance characteristics of single and multiple restatement announcements companies. The analysis shows that corporate governance variables influence the occurrence of multiple restatement announcements and can distinguish multiple restatements announcement companies from single restatement announcement companies.

Tailoring microstructure and physical properties of poly(vinylidene fluoride–hexafluoropropylene) porous films

This paper presents a systematic study for the production of poly(vinylidene fluoride-hexafluoropropylene), P(VDF-HFP), porous films using solvent evaporation (SE) and non-solvent induced phase separation (NIPS) techniques. Parameters such as volume fraction of the copolymer solution, film thickness, time exposure to air, non-solvent and temperature of the coagulation bath were investigated on the morphology, crystallization and mechanical properties of the samples. Films with different porous morphologies including homogeneous pore sizes, macrovoids and spherulites were obtained depending on the processing conditions, which in turn affect the wettability and mechanical properties of the material. Knowing that the phase content of the films also depends on the processing conditions, this paper shows that P(VDF-HFP) films with tailored porous morphology, electroactive phase content, hydrophobicity, cristallinity and mechanical properties can be achieved for a specific application using the adequate SE and NIPS techniques conditions.

Microstructure and mechanical properties of carbon nanotube reinforced cementitious composites developed using a novel dispersion technique

The authors also acknowledge Centre for Textile Science and Technology (University of Minho) and FIBRENAMICS PLATFORMfor providing required conditions for this research. Sincere thanks are also due to Mr. Pedro Samuel Leite and Mr. Carlos Jesus for their kind help in sample preparation and testing.

Thin films composed of Ag nanoclusters dispersed in TiO2: Influence of composition and thermal annealing on the microstructure and physical responses

Noble metal powders containing gold and silver have been used for many centuries, providing different colours in the windows of the medieval cathedrals and in ancient Roman glasses. Nowadays, the interest in nanocomposite materials containing noble nanoparticles embedded in dielectric matrices is related with their potential use for a wide range of advanced technological applications. They have been proposed for environmental and biological sensing, tailoring colour of functional coatings, or for surface enhanced Raman spectroscopy. Most of these applications rely on the so-called localised surface plasmon resonance absorption, which is governed by the type of the noble metal nanoparticles, their distribution, size and shape and as well as of the dielectric characteristics of the host matrix. The aim of this work is to study the influence of the composition and thermal annealing on the morphological and structural changes of thin films composed of Ag metal clusters embedded in a dielectric TiO2 matrix. Since changes in size, shape and distribution of the clusters are fundamental parameters for tailoring the properties of plasmonic materials, a set of films with different Ag concentrations was prepared. The optical properties and the thermal behaviour of the films were correlated with the structural and morphological changes promoted by annealing. The films were deposited by DC magnetron sputtering and in order to promote the clustering of the Ag nanoparticles the as-deposited samples were subjected to an in-air annealing protocol. It was demonstrated that the clustering of metallic Ag affects the optical response spectrum and the thermal behaviour of the films.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

Quantifying and modeling financial market fluctuations

Die Entstehung eines Marktpreises für einen Vermögenswert kann als Superposition der einzelnen Aktionen der Marktteilnehmer aufgefasst werden, die damit kumulativ Angebot und Nachfrage erzeugen. Dies ist in der statistischen Physik mit der Entstehung makroskopischer Eigenschaften vergleichbar, die von mikroskopischen Wechselwirkungen zwischen den beteiligten Systemkomponenten hervorgerufen werden. Die Verteilung der Preisänderungen an Finanzmärkten unterscheidet sich deutlich von einer Gaußverteilung. Dies führt zu empirischen Besonderheiten des Preisprozesses, zu denen neben dem Skalierungsverhalten nicht-triviale Korrelationsfunktionen und zeitlich gehäufte Volatilität zählen. In der vorliegenden Arbeit liegt der Fokus auf der Analyse von Finanzmarktzeitreihen und den darin enthaltenen Korrelationen. Es wird ein neues Verfahren zur Quantifizierung von Muster-basierten komplexen Korrelationen einer Zeitreihe entwickelt. Mit dieser Methodik werden signifikante Anzeichen dafür gefunden, dass sich typische Verhaltensmuster von Finanzmarktteilnehmern auf kurzen Zeitskalen manifestieren, dass also die Reaktion auf einen gegebenen Preisverlauf nicht rein zufällig ist, sondern vielmehr ähnliche Preisverläufe auch ähnliche Reaktionen hervorrufen. Ausgehend von der Untersuchung der komplexen Korrelationen in Finanzmarktzeitreihen wird die Frage behandelt, welche Eigenschaften sich beim Wechsel von einem positiven Trend zu einem negativen Trend verändern. Eine empirische Quantifizierung mittels Reskalierung liefert das Resultat, dass unabhängig von der betrachteten Zeitskala neue Preisextrema mit einem Anstieg des Transaktionsvolumens und einer Reduktion der Zeitintervalle zwischen Transaktionen einhergehen. Diese Abhängigkeiten weisen Charakteristika auf, die man auch in anderen komplexen Systemen in der Natur und speziell in physikalischen Systemen vorfindet. Über 9 Größenordnungen in der Zeit sind diese Eigenschaften auch unabhängig vom analysierten Markt - Trends, die nur für Sekunden bestehen, zeigen die gleiche Charakteristik wie Trends auf Zeitskalen von Monaten. Dies eröffnet die Möglichkeit, mehr über Finanzmarktblasen und deren Zusammenbrüche zu lernen, da Trends auf kleinen Zeitskalen viel häufiger auftreten. Zusätzlich wird eine Monte Carlo-basierte Simulation des Finanzmarktes analysiert und erweitert, um die empirischen Eigenschaften zu reproduzieren und Einblicke in deren Ursachen zu erhalten, die zum einen in der Finanzmarktmikrostruktur und andererseits in der Risikoaversion der Handelsteilnehmer zu suchen sind. Für die rechenzeitintensiven Verfahren kann mittels Parallelisierung auf einer Graphikkartenarchitektur eine deutliche Rechenzeitreduktion erreicht werden. Um das weite Spektrum an Einsatzbereichen von Graphikkarten zu aufzuzeigen, wird auch ein Standardmodell der statistischen Physik - das Ising-Modell - auf die Graphikkarte mit signifikanten Laufzeitvorteilen portiert. Teilresultate der Arbeit sind publiziert in [PGPS07, PPS08, Pre11, PVPS09b, PVPS09a, PS09, PS10a, SBF+10, BVP10, Pre10, PS10b, PSS10, SBF+11, PB10].

The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

A comprehensive study of bankruptcy prediction: Accounting ratios, market variables, and microstructure

Bankruptcy prediction has been a fruitful area of research. Univariate analysis and discriminant analysis were the first methodologies used. While they perform relatively well at correctly classifying bankrupt and nonbankrupt firms, their predictive ability has come into question over time. Univariate analysis lacks the big picture that financial distress entails. Multivariate discriminant analysis requires stringent assumptions that are violated when dealing with accounting ratios and market variables. This has led to the use of more complex models such as neural networks. While the accuracy of the predictions has improved with the use of more technical models, there is still an important point missing. Accounting ratios are the usual discriminating variables used in bankruptcy prediction. However, accounting ratios are backward-looking variables. At best, they are a current snapshot of the firm. Market variables are forward-looking variables. They are determined by discounting future outcomes. Microstructure variables, such as the bid-ask spread, also contain important information. Insiders are privy to more information that the retail investor, so if any financial distress is looming, the insiders should know before the general public. Therefore, any model in bankruptcy prediction should include market and microstructure variables. That is the focus of this dissertation. The traditional models and the newer, more technical models were tested and compared to the previous literature by employing accounting ratios, market variables, and microstructure variables. Our findings suggest that the more technical models are preferable, and that a mix of accounting and market variables are best at correctly classifying and predicting bankrupt firms. Multi-layer perceptron appears to be the most accurate model following the results. The set of best discriminating variables includes price, standard deviation of price, the bid-ask spread, net income to sale, working capital to total assets, and current liabilities to total assets.

Analysis of multiple cracking in metal/ceramic composites with lamellar microstructure

Financial support of this research by The Royal Society, UK (IE121116), The Carnegie Trust for the Universities of Scotland, UK (Trust Reference 31747) and DFG (PI 785/3-2, PI 785/1-2), Germany, is gratefully acknowledged. We thank Dr. S. Roy (KIT) for providing the microstructure images and Professor I. Tsukrov (University of New Hampshire, USA) for helpful discussions.

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.

Annealing effects on microstructure and coercive field of ferritic-martensitic ODS Eurofer steel

Oxide dispersion strengthened reduced-activation ferritic-martensitic steels are promising candidates for applications in future fusion power plants. Samples of a reduced activation ferritic-martensitic 9 wt.%Cr-oxide dispersion strengthened Eurofer steel were cold rolled to 80% reduction in thickness and annealed in vacuum for 1 h from 200 to 1350 degrees C to evaluate its thermal stability. Vickers microhardness testing and electron backscatter diffraction (EBSD) were used to characterize the microstructure. The microstructural changes were also followed by magnetic measurements, in particular the corresponding variation of the coercive field (H(c)), as a function of the annealing treatment. Results show that magnetic measurements were sensitive to detect the changes, in particular the martensitic transformation, in samples annealed above 850 degrees C (austenitic regime). (C) 2010 Elsevier B.V. All rights reserved.

The influence of microstructure on the maximum load and fracture energy of refractory castables

Refractory castables are composed of fractions of fine to fairly coarse particles. The fine fraction is constituted primarily of raw materials and calcium aluminate cement, which becomes hydrated, forming chemical bonds that stiffen the concrete during the curing process. The present study focused on an evaluation of several characteristics of two refractory castables with similar chemical compositions but containing aggregates of different sizes. The features evaluated were the maximum load, the fracture energy, and the ""relative crack-propagation work"" of the two castables heat-treated at 110, 650, 1100 and 1550 degrees C. The results enabled us to draw the following conclusions: the heat treatment temperature exerts a significant influence on the matrix/aggregate interaction, different microstructures form in the castables with temperature, and a relationship was noted between the maximum load and the fracture energy. (C) 2009 Elsevier Ltd and Techna Group S.r.l. All rights reserved.

Influence of laser surface texturing on surface microstructure and mechanical properties of adhesive joined steel sheets

This work discusses the resultant microstructure of laser surface treated galvanised steel and the mechanical properties of adhesively bonded surfaces therein. The surface microstructure obtained at laser intensities between 170 and 1700 MW cm 22 exhibit zinc melting and cavity formation. The wavy surface morphology of the treated surface exhibits an average roughness Ra between 1.0 and 1.5 mu m, and a mean roughness depth R(z) of 8.6 mu m. Atomic force microscopic analyses revealed that the R(z) inside the laser shot cavities increased from 68 to 243 nm when the incident laser intensity was increased from 170 to 1700 MW cm(-2). X-ray fluorescence analyses were used to measure Zn coating thicknesses as a function of process parameters. Both X-ray fluorescence and X-ray diffraction analyses demonstrated that the protective coating remains at the material surface, and the steel structure beneath was not affected by the laser treatment. Tensile tests under peel strength conditions demonstrated that the laser treated adhesively joined samples had resistance strength up to 88 MPa, compared to a maximum of only 23 MPa for the untreated surfaces. The maximum deformation for rupture was also greatly increased from 0.07%, for the original surface, to 0.90% for the laser treated surfaces.