Essays on market microstructure

This thesis contains three essays on market microstructure. Chapter 1 studies how endogenous information acquisition affects financial markets by modelling potentially informed traders who optimally acquire variable information at increasing cost. Prices affect the informed trading by providing incentives for acquiring information. Endogenous information acquisition explains the stylised facts that informed trading and transaction volume spike after informational events and fall over time. My model also tells a cautionary tale for interpreting measures of informed trading. Three common empirical proxies derived under the exogenous assumption (spreads, Easley O'Hara's PIN and blockholder interest) do not agree with each other in my setup. Chapter 2 develops a more general framework with endogenous information acquisition which I use to examine the behaviour of an optimal monopolistic market maker. Unlike a competitive market maker, he sets prices to increase information revelation which is valuable to him. I characterise market information structure by whether narrower or wider spreads increase the information revealed by trades. An optimal monopolistic market maker may behave differently from the standard exogenous information benchmark. He may set narrower spreads in early periods. On average, spreads may widen over time. The different results arise from the interaction of a monopolistic market maker with endogenous information acquisition. Chapter 3 studies the impact of confidential treatment requests made by institutional investors to the Securities and Exchange Commission (SEC) to delay disclosure of their holdings. The SEC requires the manager to present a coherent on-going trading program in his request for confidential treatment. If granted, he is restricted to trade in a manner consistent with his reported forecast in the subsequent period. Under the restriction, the manager earns higher expected profits by applying for confidential treatment only if his probability of success exceeds a threshold. The model predicts that the price impact of a disclosed trade due to a confidential treatment request denial is greater than that of a disclosed trade where there is no request

Potential underdog bias, overconfidence and risk propensity in investor decision-making behavior

In this study we investigate whether investors are prone to take risks, both in terms of how they rate their risk propensity and their behavior in choosing between options with different risk levels, and whether they display overconfidence and underdog bias. We also investigate the relationships among underdog bias, overconfidence and risk propensity. The results indicate overconfidence levels similar to that in other populations and do not reveal underdog bias or high levels of risk propensity. We found support for a negative predictive relationship between underdog bias and overconfidence.https://www.tandfonline.com/loi/hbhf202021-06-03hj2020Gordon Institute of Business Science (GIBS

Body mass trajectories and cortical thickness in middle-aged men: a 42-year longitudinal study starting in young adulthood

Evidence strongly suggests that being overweight or obese at midlife confers significantly higher risk for Alzheimer's disease and greater brain atrophy later in life. Few studies, however, examine associations between longitudinal changes in adiposity during early adulthood and later brain morphometry. Measures of body mass index (BMI) were collected in 373 men from the Vietnam Era Twin Study of Aging at average ages 20, 40, 56, and 62 years, yielding 2 BMI trajectories. We then examined associations between BMI phenotypes (trajectories, continuous BMI, obese/nonobese), cortical thickness, and white matter measures from structural magnetic resonance imaging at mean age 62 (time 4, range 56-66 years). Those on the obesity trajectory (N = 171) had a thinner cortex compared with the normal/lean trajectory (N = 202) in multiple frontal and temporal lobe bilateral regions of interest: superior, inferior, middle temporal gyri, temporal pole, fusiform gyrus, banks of the superior temporal sulcus, frontal pole, pars triangularis, caudal and rostral middle frontal gyri (all p < 0.05, false discovery rate corrected). Frontal lobe thinness tended to occur mainly in the right hemisphere. Results were similar for obese versus nonobese adults at age 62. There were no significant differences for white matter volume or abnormalities. Taken in the context of other research, these associations between brain structures and excess BMI at midlife suggest potential for increased risk for cognitive decline in later life

A simple point-of-care assay accurately detects anti-spike antibodies after SARS-CoV-2 vaccination

ObjectiveLateral flow assays (LFA) are sensitive for detecting antibodies to SARS-CoV-2 proteins within weeks after infection. This study tested samples from immunocompetent adults, and those receiving treatments for chronic inflammatory diseases (CID), before and after mRNA SARS-CoV-2 vaccination.MethodsWe compared results obtained with the COVIBLOCK Covid-19 LFA to those obtained by anti-spike (S) ELISA.ResultsThe LFA detected anti-S antibodies in 29 of 29 (100%) of the immunocompetent and 110 of 126 (87.3%) of the CID participants after vaccination. Semiquantitative LFA scores were statistically significantly lower in samples from immunosuppressed participants, and were significantly correlated with anti-S antibody levels measured by ELISA.ConclusionsThis simple LFA test is a practical alternative to laboratory-based assays for detecting anti-S antibodies after infection or vaccination. This type of test may be most useful for testing people in outpatient or resource-limited settings

Women’s subsistence strategies predict fertility across cultures, but context matters

While it is commonly assumed that farmers have higher, and foragers lower, fertility compared to populations practicing other forms of subsistence, robust supportive evidence is lacking. We tested whether subsistence activities—incorporating market integration—are associated with fertility in 10,250 women from 27 small-scale societies and found considerable variation in fertility. This variation did not align with group-level subsistence typologies. Societies labeled as “farmers” did not have higher fertility than others, while “foragers” did not have lower fertility. However, at the individual level, we found strong evidence that fertility was positively associated with farming and moderate evidence of a negative relationship between foraging and fertility. Markers of market integration were strongly negatively correlated with fertility. Despite strong cross-cultural evidence, these relationships were not consistent in all populations, highlighting the importance of the socioecological context, which likely influences the diverse mechanisms driving the relationship between fertility and subsistence

Women's subsistence strategies predict fertility across cultures, but context matters

While it is commonly assumed that farmers have higher, and foragers lower, fertility compared to populations practicing other forms of subsistence, robust supportive evidence is lacking. We tested whether subsistence activities-incorporating market integration-are associated with fertility in 10,250 women from 27 small-scale societies and found considerable variation in fertility. This variation did not align with group-level subsistence typologies. Societies labeled as "farmers" did not have higher fertility than others, while "foragers" did not have lower fertility. However, at the individual level, we found strong evidence that fertility was positively associated with farming and moderate evidence of a negative relationship between foraging and fertility. Markers of market integration were strongly negatively correlated with fertility. Despite strong cross-cultural evidence, these relationships were not consistent in all populations, highlighting the importance of the socioecological context, which likely influences the diverse mechanisms driving the relationship between fertility and subsistence

Crystal Structures of Malonyl-Coenzyme A Decarboxylase Provide Insights into Its Catalytic Mechanism and Disease-Causing Mutations

Malonyl-coenzyme A decarboxylase (MCD) is found from bacteria to humans, has important roles in regulating fatty acid metabolism and food intake, and is an attractive target for drug discovery. We report here four crystal structures of MCD from human, Rhodopseudomonas palustris, Agrobacterium vitis, and Cupriavidus metallidurans at up to 2.3 Å resolution. The MCD monomer contains an N-terminal helical domain involved in oligomerization and a C-terminal catalytic domain. The four structures exhibit substantial differences in the organization of the helical domains and, consequently, the oligomeric states and intersubunit interfaces. Unexpectedly, the MCD catalytic domain is structurally homologous to those of the GCN5-related N-acetyltransferase superfamily, especially the curacin A polyketide synthase catalytic module, with a conserved His-Ser/Thr dyad important for catalysis. Our structures, along with mutagenesis and kinetic studies, provide a molecular basis for understanding pathogenic mutations and catalysis, as well as a template for structure-based drug design

The Simons Observatory: Design, integration, and testing of the small aperture telescopes

The Simons Observatory (SO) is a cosmic microwave background (CMB) survey experiment that includes small-aperture telescopes (SATs) observing from an altitude of 5,200 m in the Atacama Desert in Chile. The SO SATs will cover six spectral bands between 27 and 280 GHz to search for primordial B-modes to a sensitivity of $\sigma(r)=0.002$, with quantified systematic errors well below this value. Each SAT is a self-contained cryogenic telescope with a 35$^\circ$ field of view, 42 cm diameter optical aperture, 40 K half-wave plate, 1 K refractive optics, and $12,000$ TES detectors. We describe the nominal design of the SATs and present details about the integration and testing for one operating at 93 and 145 GHz

Characteristics of HIV-1 Discordant Couples Enrolled in a Trial of HSV-2 Suppression to Reduce HIV-1 Transmission: The Partners Study

Background: The Partners HSV-2/HIV-1 Transmission Study (Partners Study) is a phase III, placebo-controlled trial of daily acyclovir for genital herpes (HSV-2) suppression among HIV-1/HSV-2 co-infected persons to reduce HIV-1 transmission to their HIV-1 susceptible partners, which requires recruitment of HIV-1 serodiscordant heterosexual couples. We describe the baseline characteristics of this cohort. Methods: HIV-1 serodiscordant heterosexual couples, in which the HIV-1 infected partner was HSV-2 seropositive, had a CD4 count ≥250 cells/mcL and was not on antiretroviral therapy, were enrolled at 14 sites in East and Southern Africa. Demographic, behavioral, clinical and laboratory characteristics were assessed. Results: Of the 3408 HIV-1 serodiscordant couples enrolled, 67% of the HIV-1 infected partners were women. Couples had cohabitated for a median of 5 years (range 2–9) with 28% reporting unprotected sex in the month prior to enrollment. Among HIV-1 susceptible participants, 86% of women and 59% of men were HSV-2 seropositive. Other laboratory-diagnosed sexually transmitted infections were uncommon (500 relative to <350, respectively, p<0.001). Conclusions: The Partners Study successfully enrolled a cohort of 3408 heterosexual HIV-1 serodiscordant couples in Africa at high risk for HIV-1 transmission. Follow-up of this cohort will evaluate the efficacy of acyclovir for HSV-2 suppression in preventing HIV-1 transmission and provide insights into biological and behavioral factors determining heterosexual HIV-1 transmission. Trial Registration ClinicalTrials.gov NCT0019451

Nanostructures Technology, Research, and Applications

Contains reports on twenty research projects and a list of publications.Joint Services Electronics Program Contract DAAL03-92-C-0001Semiconductor Research Corporation Contract 94-MJ-550U.S. Army Research Office Grant DAAL03-92-G-0291Advanced Research Projects Agency/Naval Air Systems Command Contract N00019-92-K-0021National Science Foundation Grant ECS 90-16437National Science Foundation Grant ECS 90-16737IBM Corporation Contract 1622U.S. Air Force - Office of Scientific Research Grant F-49-62-92-J-0064National Science Foundation Grant DMR 87-19217National Science Foundation Grant DMR 90-22933National Aeronautics and Space Administration Contract NAS8-3674