Insider trading with temporary price impact

We model an informed agent with information about the future value of an asset trying to maximize profits when the agent's trades are subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model, equilibrium is characterized by the unique root of a particular polynomial. Analysis of this polynomial with small levels of risk-Aversion and transaction costs reveal a dimensionless parameter which captures several orders of asymptotic accuracy of the equilibrium behavior. In a continuous time analogue of the single auction model, incorporation of a transaction costs allows the informed agent's optimal trading strategy to be obtained in feedback form. Linear equilibrium is characterized by the unique solution to a system of two ordinary differential equations, of which one is forward in time and one is backward. When transaction costs are in effect, the price set by the market maker in equilibrium is not fully revealing of the informed agent's private signal, leaving an information gap at the end of the trading interval. When considering vanishing transaction costs, the equilibrium trading strategy and pricing rules converge to their frictionless counterparts. </p

Improved Test Planning and Analysis Through the Use of Advanced Statistical Methods

The goal of this work is, through computational simulations, to provide statistically-based evidence to convince the testing community that a distributed testing approach is superior to a clustered testing approach for most situations. For clustered testing, numerous, repeated test points are acquired at a limited number of test conditions. For distributed testing, only one or a few test points are requested at many different conditions. The statistical techniques of Analysis of Variance (ANOVA), Design of Experiments (DOE) and Response Surface Methods (RSM) are applied to enable distributed test planning, data analysis and test augmentation. The D-Optimal class of DOE is used to plan an optimally efficient single- and multi-factor test. The resulting simulated test data are analyzed via ANOVA and a parametric model is constructed using RSM. Finally, ANOVA can be used to plan a second round of testing to augment the existing data set with new data points. The use of these techniques is demonstrated through several illustrative examples. To date, many thousands of comparisons have been performed and the results strongly support the conclusion that the distributed testing approach outperforms the clustered testing approach

Design and construction of the MicroBooNE detector

This paper describes the design and construction of the MicroBooNE liquid argon time projection chamber and associated systems. MicroBooNE is the first phase of the Short Baseline Neutrino program, located at Fermilab, and will utilize the capabilities of liquid argon detectors to examine a rich assortment of physics topics. In this document details of design specifications, assembly procedures, and acceptance tests are reported

Search for W W/W Z resonance production in ℓνqq final states in pp collisions at √s=13 TeV with the ATLAS detector

A search is conducted for new resonances decaying into a W W or W Z boson pair, where one W boson decays leptonically and the other W or Z boson decays hadronically. It is based on proton-proton collision data with an integrated luminosity of 36.1 fb −1 collected with the ATLAS detector at the Large Hadron Collider at a centre-of-mass energy of s=13 TeV in 2015 and 2016. The search is sensitive to diboson resonance production via vector-boson fusion as well as quark-antiquark annihilation and gluon-gluon fusion mechanisms. No significant excess of events is observed with respect to the Standard Model backgrounds. Several benchmark models are used to interpret the results. Limits on the production cross section are set for a new narrow scalar resonance, a new heavy vector-boson and a spin-2 Kaluza-Klein graviton.[Figure not available: see fulltext.]

A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading

Thesis (Ph.D.)--University of Washington, 2019We examine three problems in mathematical finance. These problems broadly fall under the sub-disciplines of contract pricing and optimal execution of orders on an exchange under price impact. The first problem deals with the pricing of contingent claims, a classical problem in mathematical finance. After a brief introduction to pricing, we derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process. We provide rigorous accuracy results for European-style claims which depend explicitly on the correlation parameter. For barrier-style claims, we include several numerical examples to illustrate the accuracy and versatility of our approximations. We then turn our attention to the problem of optimal execution. We assume a continuous-time price impact model similar to that of Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. For a fixed trading horizon, we perform coefficient expansion on the Hamilton-Jacobi-Bellman equation associated with the trader's value function. The coefficient expansion yields a sequence of partial differential equations that we solve to give closed-form approximations to the value function and optimal liquidation strategy, which is given in feedback form. We examine some special cases of the optimal liquidation problem and give financial interpretations of the approximate liquidation strategies in these cases. We then provide numerical examples to demonstrate the efficacy of our approximations. The third problem we consider deals with insider trading under price impact. We consider an exponentially risk-averse (or risk-neutral) trader who wishes to capitalize on inside information about the true value of an asset that is traded on an exchange. The insider faces a market maker who desires to set a fair price for the asset and attempts to do so by leveraging information contained in the aggregate order flow. We also assume that the insider faces a trading cost that is a linear function of the insider's trading speed. We give equilibrium strategies for the insider and the market maker in both the single auction and continuous-time settings. While the discrete-time equilibrium was given previously, we expand upon it by performing an expansion in small trading cost to analyze the behavior as the cost tends towards zero. A continuous-time equilibrium is given in terms of the solution to a forward-backward ordinary differential equation, which we arrive at by applying nonlinear filtering and dynamic programming in continuous time. We then give some comparative statics about the insider and market maker's strategies and numerically explore the effects of varying model parameters

On Campus Video, featuring legislative lobbyists Weston Ware of the Christian Life Commission, and Carol Barger of the Consumer\u27s Union.

A videorecording of an interview with legislative lobbyists Weston Ware of the Christian Life Commission, and Carol Barger of the Consumer\u27s Union. The interview is conducted by Dr. Gary McCaleb of Abilene Christian University

ATP-dependent potassium channel blockade strengthens microglial neuroprotection after hypoxia-ischemia in rats.

Stroke causes CNS injury associated with strong fast microglial activation as part of the inflammatory response. In rat models of stroke, sulphonylurea receptor blockade with glibenclamide reduced cerebral edema and infarct volume. We postulated that glibenclamide administered during the early stages of stroke might foster neuroprotective microglial activity through ATP-sensitive potassium (KATP) channel blockade. We found in vitro that BV2 cell line showed upregulated expression of KATP channel subunits in response to pro-inflammatory signals and that glibenclamide increases the reactive morphology of microglia, phagocytic capacity and TNFα release. Moreover, glibenclamide administered to rats 6, 12 and 24 h after transient Middle Cerebral Artery occlusion improved neurological outcome and preserved neurons in the lesioned core three days after reperfusion. Immunohistochemistry with specific markers to neuron, astroglia, microglia and lymphocytes showed that resident amoeboid microglia are the main cell population in that necrotic zone. These reactive microglial cells express SUR1, SUR2B and Kir6.2 proteins that assemble in functional KATP channels. These findings provide that evidence for the key role of KATP channels in the control of microglial reactivity are consistent with a microglial effect of glibenclamide into the ischemic brain and suggest a neuroprotective role of microglia in the early stages of stroke