Assessing the impact of algorithmic trading on markets: a simulation approach

Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is presented that provides stylized implementations of algorithmic trading behavior and allows for modeling latency. As simulations allow for reproducing exactly the same basic situation, an assessment of the impact of algorithmic trading models can be conducted by comparing different simulation runs including and excluding a trader constituting an algorithmic trading model in its trading behavior. By this means the impact of Algorithmic Trading on different characteristics of market outcome can be assessed. The results indicate that large volumes to execute by the algorithmic trader have an increasing impact on market prices. On the other hand, lower latency appears to lower market volatility

Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor, or SIP, we focus here on its accuracy. Relying on Trade and Quote data, we provide various measures of SIP latency relative to high-speed data feeds between exchanges, known as direct feeds. We use first differences to highlight not only the divergence between the direct feeds and the SIP, but also the fundamental inaccuracy of the SIP. We find that as many as 60 percent or more of trades are reported out of sequence for stocks with high trade volume, therefore skewing simple measures such as returns. While not yet definitive, this analysis supports our preliminary conclusion that the underlying infrastructure of the SIP is currently unable to keep pace with the trading activity in today's stock market.Comment: 18 pages, 20 figures, 2 table

Analysis of binary trading patterns in Xetra

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity trading system, Xetra. The results reveal pronounced differences between algorithmic and non-algorithmic traders. In particular, trading patterns of algorithmic traders exhibit a medium degree of regularity while non-algorithmic trading tends towards either very regular or very irregular trading patterns. JEL Classification: C40, D0, G14, G15, G2

Commercials, careers and culture: travelling salesmen in Britain 1890s-1930s

Within the lower middle-class, British commercial travellers established a strong fraternal culture before 1914. This article examines their interwar experiences in terms of income, careers, and associational culture. It demonstrates how internal labour markets operated, identifies the ways in which commercial travellers interpreted their role, and explores their social and political attitudes

Development Trends and Economic Assessment of the Integration Processes on the Metals Market

In the present paper, reasons for the increased interest in industrial policy in both developed and developing countries are explained. The systematisation of the results of the development of Russian industry from 1989 to 2014 showed a lack of systematic selection of its priorities, preventing the formation of a strategic vector of industrial policy. The target diversity of the industrial policy is established at the different economic development stages of the country. In the context of economic sanctions against Russia, it is shown that the emergence of a new industrial policy vector is connected to the need for import substitution and concomitant changes in the development model of the domestic economy. The dynamics and characteristics of the industrial development area are shown by the example of a highly developed region like the Central Urals. The total level of organisational innovation activity continues to be low and composes only 12%, although in the manufacturing sector this index is higher than the regional economy index by four absolute percentage points. The industrial policy of the Central Urals is analysed and innovation drivers of the industrial sector of the regional economy are established. The possibilities of the defence, civil engineering, mining, chemical/pharmaceutical and forestry complexes of the Sverdlovsk Region to implement its import substitution policy are explained. The most significant investment projects that will reduce the import dependence of the regional economy are presented. The possibilities of the research sector and created innovation infrastructure of the region in solving this problem are shown. It is necessary to develop the regional laws on the elaboration of industrial policy according to the basic regulations of the Federal Law “On Industrial Policy in the Russian Federation.”This article was prepared with support of the Grant of the Russian Foundation for Humanities No. 14-32-01030

Innovation across the food chain – the Hungarian case

The small and medium sized enterprises (SMEs) in the Hungarian agri-food sector play determining role. The innovation capacity (efforts, activities and results) however of the individual SMEs is very limited. Food production (including SMEs) has to fulfil food safety requirements in a rapidly increasing extent, which implies a continuous innovation and development process from all market players. In Hungary the agri-food chain had to face a suddenly increased competition especially after the EU enlargement. Based on survey data this paper examines the efforts, activities and results in knowledge acquisition, utilisation, coordination and transfer in the Central Hungarian food SMEs. We have found (using ordered logistic regression) that R&D expenditures, achieved innovations, export/import orientation as well as the networking activity of the SMEs play significant role in market development

Value chain analysis for sea cucumber in the Philippines

This study examined the sea cucumber industry in the Philippines through the value chain lens. The intent was to identify effective pathways for the successful introduction of sandfish culture as livelihood support for coastal communities. Value chain analysis is a high-resolution analytical tool that enables industry examination at a detailed level. Previous industry assessments have provided a general picture of the sea cucumber industry in the country. The present study builds on the earlier work and supplies additional details for a better understanding of the industry's status and problems, especially their implications for the Australian Center for International Agricultural Research (ACIAR) funded sandfish project "Culture of sandfish (Holothuria scabra) in Asia- Pacific" (FIS/2003/059). (PDF contains 54 pages

Food SMEs’ innovation profile – the Hungarian case

The small and medium sized enterprises (SMEs) in the Hungarian agri-food sector play determining role. The innovation capacity (efforts, activities and results) however of the individual SMEs is very limited. Food production (including SMEs) has to fulfil food safety requirements in a rapidly increasing extent, which implies a continuous innovation and development process from all market players. In Hungary the agri-food sector had to face a suddenly increased competition especially after the EU enlargement. Based on survey data this paper examines the efforts, activities and results in knowledge acquisition, utilisation, coordination and transfer in the Central Hungarian food SMEs. We have found (using ordered logistic regression) that R&D expenditures, achieved innovations, export/import orientation as well as the networking activity of the SMEs play significant role in market development

Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate

Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow informativeness is strongest at times when analyst forecasts of macro variables are highly dispersed. We study 30 year treasury futures to identify the customer flow. We further show that intermediaries appear to benefit from privately recognizing informed customer flow, as, in the cross-section, their own-account trade profitability correlates with access to customer orders, controlling for volatility, competition, and the announcement surprise. These results suggest that intermediaries learn about equilibrium riskfree rates through customer orders

User costs and informal payments for care in the largest maternity hospital in Kathmandu, Nepal

Background: Maternity care costs in Nepal include formal and informal payment. Formal include for example the cost for blood or drugs; Informal payments can be voluntary such as gratitude payments, or bribes which patients are ‘expected’ to pay to get decent care or any care at all. One problem is that these payments are missing from formal accounts and they are not taken into account in health-policy decision-making. The aim of the present study was to estimate out-of-pocket expenses (formal/informal) for delivery care in the largest government maternity hospital in Kathmandu, Nepal and establish factors that affect informal costs. Methods: We used mixed-methods approach. We used questionnaire-based interviews with 234 women who had delivered in this hospital followed by semi-structured in-depth interviews with sub-sample of ten couples. SPSS software was used for analysis and cross tabulations and chi square tests, binary logistic regression were performed. Results: Women occurred various costs during a hospital confinement. The qualitative data suggested that some, but not all had started to save prior to the delivery. There is a significant association between making informal payments and whether or not the birth was planned to be in hospital or whether it was an emergency, p=0.025, ANC visits, p=0.008, woman’s occupation,p=0.025 and husband’s employment, p=0.022. Logistic regression suggested four factors associated with making informal payments, indicating a possible socio-economic link with ability to make informal payments. Conclusions: Although informal payments around birth itself were not substantial, such payments are very common. Better understanding of informal payments is important as the illegal status of unofficial health care payments means that it is difficult to establish the prevalence of this phenomenon. Moreover it forms a part of the private health expenditure rarely included in the national health statistics, they create perverse incentives, potentially reduce motivation for reform and will provide information about economic barriers to care