Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and implement a methodology to calculate VaR measures with an incomplete panel of prices. The methodology is composed of three phases: Phase I, generates a complete panel of prices, using a term-structure dynamic model of interest rates. Phase II, calculates portfolio VaR measures with several alternative methods using the complete panel data generated in phase I. Phase III, shows how to back-test the VaR measures obtained in phase II using the original incomplete panel of prices. We provide an empirical implementation of the methodology for the Chilean fixed income market. The proposed methodology seems to provide reliable VaR measures for thinly traded markets addressing an important issue for financial risk management in emerging markets.Risk, Value-at-Risk, Fixed Income, Incomplete Panels, Term- Structure Dynamic Models, Extreme Value, GARCH, Kalman Filter.

The Dynamics of the Short-Term Interest Rate in the UK

We estimate and test different continuous-time short-rate models for the UK. The preferred model encompasses both the “level effect” of Chan, Karolyi, Longstaff and Sanders (1992a) and the conditional heteroskedasticity effect of GARCH type models. Our findings suggest that including a GARCH effect in the specification of the conditional variance, almost halves the dependence of volatility on rate levels. We also find weak evidence of mean-reversion and volatility asymmetries in the stochastic behavior of rates. Extensive diagnostic tests suggest that the Constant Elasticity of Variance model of Cox (1975), with an added GARCH effect, provides a reliable description of short-rate dynamics. We demonstrate that the most important feature in short-rate modeling is the correct specification of the conditional variance of changes in rates; suggesting that the conditional mean characterization is of second order.Short-rate, level effect, GARCH effect.

Dark trading and alternative execution priority rules

Traders' choice between lit and dark trading venues depends on market conditions, which are affected by execution priority rules in the dark pool, adverse selection, and traders' competition. We show that dark trading activity has a non-linear relationship with asset volatility and liquidity, which explains previous mixed empirical results regarding the impact of dark pools on market quality. The introduction of dark pools increases welfare only for speculators, while other traders (even large traders) are worse off. Importantly, we show that a size execution priority rule improves global welfare and liquidity relative to a time execution priority for dark orders

Bid–ask spread and liquidity searching behaviour of informed investors in option markets

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid–ask spread may be still a good proxy for informed trading, despite of the liquidity searching behaviour of informed agents. We show an upward trend in the option bid–ask spread after option introductions (as informed traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for options with high chances of information asymmetries

EXPERIENCIAS ALFABETIZADORAS EN LA ACTUAL REGIÓN DEL MAULE (CHILE): LA VISITA DE PAULO FREIRE, RECUERDOS Y LEGADO

El educador brasileño Paulo Freire estuvo trabajando y contribuyendo en Chile a la alfabetización campesina. Al respecto, se han desarrollado algunas investigaciones que analizan esa experiencia, empero, dichos trabajos no recogen las experiencias regionales y locales de Freire a lo largo del país. Al respecto, la presente investigación exploratoria, pretende enfrentar dicho vacío desde una mirada regional, buscando conocer cómo fue el trabajo de Freire en la actual región del Maule, explicando cómo arribó, con qué instituciones se vinculó y qué estrategias de alfabetización desarrolló. Para objetos de esta investigación, utilizamos fuentes orales, rescatando relatos y memorias de personas que compartieron y se capacitaron con Freire en la actual región del Maule, junto a prensa y bibliografía que nos permitirán comprender las características de la zona en estudio

Randomized elimination and prolongation of ACE inhibitors and ARBs in coronavirus 2019 (REPLACE COVID) Trial Protocol

Severe acute respiratory syndrome coronavirus 2 (SARS- CoV- 2), the virus responsible for coronavirus disease 2019 (COVID- 19), is associated with high incidence of multiorgan dysfunction and death. Angiotensin- converting enzyme 2 (ACE2), which facilitates SARS- CoV- 2 host cell entry, may be impacted by angiotensin- converting enzyme inhibitors (ACEIs) and angiotensin receptor blockers (ARBs), two commonly used antihypertensive classes. In a multicenter, international randomized controlled trial that began enrollment on March 31, 2020, participants are randomized to continuation vs withdrawal of their long- term outpatient ACEI or ARB upon hospitalization with COVID- 19. The primary outcome is a hierarchical global rank score incorporating time to death, duration of mechanical ventilation, duration of renal replacement or vasopressor therapy, and multiorgan dysfunction severity. Approval for the study has been obtained from the Institutional Review Board of each participating institution, and all participants will provide informed consent. A data safety monitoring board has been assembled to provide independent oversight of the project.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/163400/2/jch14011_am.pdfhttp://deepblue.lib.umich.edu/bitstream/2027.42/163400/1/jch14011.pd

Make-take decisions under high-frequency trading competition

© 2019 Elsevier B.V.The make-take preferences of investors depend on high-frequency trading (HFT) competition, under which HFT firms endogenously acquire speed and informational advantages. In the case where there are many HFT firms in the market, they compete more through limit orders; meanwhile, in the case with few HFT firms, they compete more through market orders that “pick-off" limit orders coming from the big crowd of slow traders. In the former (latter) case, additional HFT competition improves (damage) liquidity. In both cases, HFT competition improves informational efficiency and reduces microstructure noise. Finally, I use the model to analyze potential regulations under HFT competition

Risk Management with Thinly Traded Securities: Methodology and Implementation

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement our approach in a fixed- income portfolio within a thin trading environment. However, a similar approach may be also applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios with infrequent trading.

Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests

We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior of agents in option markets. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual stocks may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong predictable features in the cross-section of equity options and of dynamic linkages between the volatility surfaces of equity and S&P 500 index options. Moreover, time-variation in stock option volatility surfaces is best predicted by incorporating information from the dynamics in the surface of S&P 500 options. We analyze the economic value of such dynamic patterns using strategies that trade straddle and delta-hedged portfolios, and find that before transaction costs such strategies produce abnormal risk-adjusted returns