The flash crash: high-frequency trading in an electronic market

© 2017 the American Finance Association We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday event—the Flash Crash—where a large automated selling program was rapidly executed in the E-mini S&P 500 stock index futures market. Using audit trail transaction-level data for the E-mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intraday intermediaries (classified as High-Frequency Traders) did not change when prices fell during the Flash Crash

Robustness of equilibrium in the Kyle model of informed speculation

We analyze a static Kyle (1983) model in which a risk-neutral informed trader can use arbitrary (linear or non-linear) deterministic strategies, and a nite number of market makers can use arbitrary pricing rules. We establish a strong sense in which the linear Kyle equilibrium is robust: the rst variation in any agent's expected payo with respect to a small variation in his conjecture about the strategies of others vanishes at equilibrium. Thus, small errors in a market maker's beliefs about the informed speculator's trading strategy do not reduce his expected payo s. Therefore, the original equilibrium strategies remain optimal and still constitute an equilibrium (neglecting the higher-order terms.) We also establish that if a non-linear equilibrium exists, then it is not robust

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $\Delta t$.Comment: 13 pages, 10 figure

Are Ethnic and Gender Specific Equations Needed to Derive Fat Free Mass from Bioelectrical Impedance in Children of South Asian, Black African-Caribbean and White European Origin? Results of the Assessment of Body Composition in Children Study

Background Bioelectrical impedance analysis (BIA) is a potentially valuable method for assessing lean mass and body fat levels in children from different ethnic groups. We examined the need for ethnic- and gender-specific equations for estimating fat free mass (FFM) from BIA in children from different ethnic groups and examined their effects on the assessment of ethnic differences in body fat. Methods Cross-sectional study of children aged 8–10 years in London Primary schools including 325 South Asians, 250 black African-Caribbeans and 289 white Europeans with measurements of height, weight and arm-leg impedance (Z; Bodystat 1500). Total body water was estimated from deuterium dilution and converted to FFM. Multilevel models were used to derive three types of equation {A: FFM = linear combination(height+weight+Z); B: FFM = linear combination(height2/Z); C: FFM = linear combination(height2/Z+weight)}. Results Ethnicity and gender were important predictors of FFM and improved model fit in all equations. The models of best fit were ethnicity and gender specific versions of equation A, followed by equation C; these provided accurate assessments of ethnic differences in FFM and FM. In contrast, the use of generic equations led to underestimation of both the negative South Asian-white European FFM difference and the positive black African-Caribbean-white European FFM difference (by 0.53 kg and by 0.73 kg respectively for equation A). The use of generic equations underestimated the positive South Asian-white European difference in fat mass (FM) and overestimated the positive black African-Caribbean-white European difference in FM (by 4.7% and 10.1% respectively for equation A). Consistent results were observed when the equations were applied to a large external data set. Conclusions Ethnic- and gender-specific equations for predicting FFM from BIA provide better estimates of ethnic differences in FFM and FM in children, while generic equations can misrepresent these ethnic differences

Explaining co-movements between equity and CDS bid-ask spreads

In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads

Repair of an inguinoscrotal hernia containing the urinary bladder: a case report

<p>Abstract</p> <p>Introduction</p> <p>Cases of patients with inguinoscrotal hernia containing the urinary bladder are very rare. These patients usually present with frequent episodes of urinary tract infection, difficulty in walking, pollakisuria and difficulty in initiating micturition because of incarceration of the urinary bladder into the scrotum.</p> <p>Case presentation</p> <p>We describe the case of an 80-year-old Caucasian man with an incarcerated urinary bladder into the scrotum who underwent surgical repair with mesh.</p> <p>Conclusions</p> <p>Diagnosis of such cases often requires not only clinical examination but also specialized radiological examinations to show the ectopic position of the urinary bladder. Surgical repair in these patients is a real challenge for surgeons.</p

Stabilized tilted-octahedra halide perovskites inhibit local formation of performance-limiting phases.

Efforts to stabilize photoactive formamidinium (FA)–based halide perovskites for perovskite photovoltaics have focused on the growth of cubic formamidinium lead iodide (α-FAPbI3) phases by empirically alloying with cesium, methylammonium (MA) cations, or both. We show that such stabilized FA-rich perovskites are noncubic and exhibit ~2° octahedral tilting at room temperature. This tilting, resolvable only with the use of local nanostructure characterization techniques, imparts phase stability by frustrating transitions from photoactive to hexagonal phases. Although the bulk phase appears stable when examined macroscopically, heterogeneous cation distributions allow microscopically unstable regions to form; we found that these transitioned to hexagonal polytypes, leading to local trap-assisted performance losses and photoinstabilities. Using surface-bound ethylenediaminetetraacetic acid, we engineered an octahedral tilt into pure α-FAPbI3 thin films without any cation alloying. The templated photoactive FAPbI3 film was extremely stable against thermal, environmental, and light stressors

Searching for serial refreshing in working memory:Using response times to track the content of the focus of attention over time

One popular idea is that, to support maintenance of a set of elements over brief periods of time, the focus of attention rotates among the different elements thereby serially refreshing the content of Working Memory (WM). In the research reported here, probe letters were presented between to-be-remembered letters. Response times to these probes were used to infer the status of the different items in WM. If the focus of attention cycles from one item to the next, its content should be different at different points in time and this should be reflected in a change in the response time patterns over time. Across a set of four experiments, we demonstrate a striking pattern of invariance in the response time patterns over time, suggesting that either the content of the focus of attention did not change over time or that response times cannot be used to infer the content of the focus of attention. We discuss how this pattern constrains models of WM, attention, and human information processing

Lithic technological responses to Late Pleistocene glacial cycling at Pinnacle Point Site 5-6, South Africa

There are multiple hypotheses for human responses to glacial cycling in the Late Pleistocene, including changes in population size, interconnectedness, and mobility. Lithic technological analysis informs us of human responses to environmental change because lithic assemblage characteristics are a reflection of raw material transport, reduction, and discard behaviors that depend on hunter-gatherer social and economic decisions. Pinnacle Point Site 5-6 (PP5-6), Western Cape, South Africa is an ideal locality for examining the influence of glacial cycling on early modern human behaviors because it preserves a long sequence spanning marine isotope stages (MIS) 5, 4, and 3 and is associated with robust records of paleoenvironmental change. The analysis presented here addresses the question, what, if any, lithic assemblage traits at PP5-6 represent changing behavioral responses to the MIS 5-4-3 interglacial-glacial cycle? It statistically evaluates changes in 93 traits with no a priori assumptions about which traits may significantly associate with MIS. In contrast to other studies that claim that there is little relationship between broad-scale patterns of climate change and lithic technology, we identified the following characteristics that are associated with MIS 4: increased use of quartz, increased evidence for outcrop sources of quartzite and silcrete, increased evidence for earlier stages of reduction in silcrete, evidence for increased flaking efficiency in all raw material types, and changes in tool types and function for silcrete. Based on these results, we suggest that foragers responded to MIS 4 glacial environmental conditions at PP5-6 with increased population or group sizes, 'place provisioning', longer and/or more intense site occupations, and decreased residential mobility. Several other traits, including silcrete frequency, do not exhibit an association with MIS. Backed pieces, once they appear in the PP5-6 record during MIS 4, persist through MIS 3. Changing paleoenvironments explain some, but not all temporal technological variability at PP5-6.Social Science and Humanities Research Council of Canada; NORAM; American-Scandinavian Foundation; Fundacao para a Ciencia e Tecnologia [SFRH/BPD/73598/2010]; IGERT [DGE 0801634]; Hyde Family Foundations; Institute of Human Origins; National Science Foundation [BCS-9912465, BCS-0130713, BCS-0524087, BCS-1138073]; John Templeton Foundation to the Institute of Human Origins at Arizona State Universit