Price formation in call auctions with insider information

Purpose: This study investigates -theoretically and empirically- if call auctions incorporate asymmetric information into prices. Design/methodology/approach: First, this study introduces a new model of price formation in a call auction with insider information. In this call auction model, insider trading gives rise to an asymmetric information component of transaction costs. Next, this study estimates the model using twenty stocks from Euronext Paris and investigates if the asymmetric information component is present. Findings: The theoretical analysis reveals that call auctions incorporate asymmetric information into prices. The empirical analysis finds strong evidence for the asymmetric information component. Testable implications provide further support for the model. Practical implications: Call auctions have recently been proposed as an alternative to continuous limit order book markets to overcome problems associated with high frequency trading. However, it is still an open question whether call auctions efficiently aggregate asymmetric information. The findings of this study imply that call auctions facilitate price discovery and, therefore, are a viable alternative to continuous limit order book markets. Originality/value: There is no generally accepted measure of trading costs for call auctions. Therefore, the measure introduced in this study is of great value to anyone who wants to (i) quantify trading costs in call auctions; (ii) understand the determinants of trading costs in call auctions; or (iii) compare trading costs and their components between continuous markets and call auctions. This study also contributes to the literature devoted to estimating the probability of information-based tradin

Monte Carlo Simulation Variance Reduction Techniques for Photon Transport in Liquid Xenon Detectors

Monte Carlo simulations are a crucial tool for the analysis and prediction of various background components in liquid xenon (LXe) detectors. With improving shielding in new experiments, the simulation of external backgrounds, such as induced by gamma rays from detector materials, gets more computationally expensive. We introduce and validate an accelerated Monte Carlo simulation technique for photon transport in liquid xenon detectors. The method simulates photon-induced interactions within a defined geometry and energy range with high statistics while interactions outside of the region of interest are not simulated directly but are taken into account by means of probability weights. For a simulation of gamma induced backgrounds in an exemplary detector geometry we achieve a three orders of magnitude acceleration compared to a standard simulation of a current ton-scale LXe dark matter experiment

Implications of ABCG2 Expression on Irinotecan Treatment of Colorectal Cancer Patients:A Review

Background: One of the main chemotherapeutic drugs used on a routine basis in patients with metastatic colorectal cancer ((m)CRC) is the topoisomerase-1 inhibitor, irinotecan. However, its usefulness is limited by the pre-existing or inevitable development of resistance. The ATP-binding cassette (ABC) transporter ABCG2/breast cancer resistance protein (BRCP) through its function in xenobiotic clearance might play an important role in irinotecan resistance. With a goal to evaluate the clinical significance of ABCG2 measurements, we here review the current literature on ABCG2 in relation to irinotecan treatment in CRC patients. Results: Few studies have evaluated the association between ABCG2 gene or protein expression and prognosis in CRC patients. Discordant results were reported. The discrepancies might be explained by the use of different criteria for interpretation of results in the immunohistochemistry studies. Only one large study evaluated the ABCG2 protein expression and efficacy of irinotecan in mCRC (CAIRO study, n = 566). This study failed to demonstrate any correlation between ABCG2 protein expression in the primary tumor and response to irinotecan-based treatment. We recently raised questions on how to evaluate ABCG2 immunoreactivity patterns, and the results in the CAIRO study might be influenced by using a different scoring protocol than the one proposed by us. In contrast, our recent exploratory study of ABCG2 mRNA expression in 580 patients with stage III primary CRC (subgroup from the randomized PETACC-3 study) indicated that high ABCG2 tumor tissue mRNA expression might be predictive for lack of efficacy of irinotecan. Conclusion: The biological role of ABCG2 in predicting clinical irinotecan sensitivity/resistance in CRC is uncertain. In particular, the significance of ABCG2 cellular localization needs to be established. Data concerning ABCG2 mRNA expression and prediction of adjuvant irinotecan efficacy are still sparse and need to be confirmed