Adverse selection, volume and transactions around dividend announcements in a continuous auction system

We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. the implicit bid-ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behaviour of investors is primarily contained in the number of daily transactions.Publicad

Belief heterogeneity and survival in incomplete markets

In complete markets economies (Sandroni [16]), or in economies with Pareto optimal outcomes (Blume and Easley [10]), the market selection hypothesis holds, as long as traders have identical discount factors. Traders who survive must have beliefs that merge with the truth. We show that in incomplete markets, regardless of traders’ discount factors, the market selects for a range of beliefs, at least some of which do not merge with the truth. We also show that impatient traders with incorrect beliefs can survive and that these incorrect beliefs impact prices. These beliefs may be chosen so that they are far from the truth

Scientific, Technical and Economic Committee for Fisheries (STECF) - Report of the STECF Study Group on the Evaluation of Fishery Multi-annual Plans (SGMOS 09-02)

SG-MOS 09-02 was held in IPIMAR, Lisbon, (Portugal), on 23-27 November 2009. The aim of the workshop was to provide Evaluations of three multiannual fisheries management plans:- R(EC) No 388/2006 ¿ multi-annual plan for sole in the Bay of Biscay; R(EC) No 209/2007 ¿ multi-annual plan for sole in the Western Channel R(EC) No676/2007 ¿ multi-annual plan for sole and plaice in the North Sea. STECF reviewed the report during its Plenary meeting on 26-30 April 2010.JRC.DG.G.4-Maritime affair

A model for a large investor trading at market indifference prices. I: single-period case

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.Comment: Shorten from 69 to 30 pages due to referees' requests; a part of the previous version has been moved to "The stochastic field of aggregate utilities and its saddle conjugate", arXiv:1310.728

Beyond Post-release Mortality: Inferences on Recovery Periods and Natural Mortality From Electronic Tagging Data for Discarded Lamnid Sharks

Accurately characterizing the biology of a pelagic shark species is critical when assessing its status and resilience to fishing pressure. Natural mortality (M) is well known to be a key parameter determining productivity and resilience, but also one for which estimates are most uncertain. While M can be inferred from life history, validated direct estimates are extremely rare for sharks. Porbeagle (Lamna nasus) and shortfin mako (Isurus oxyrinchus) are presently overfished in the North Atlantic, but there are no directed fisheries and successful live release of bycatch is believed to have increased. Understanding M, post-release mortality (PRM), and variables that affect mortality are necessary for management and effective bycatch mitigation. From 177 deployments of archival satellite tags, we inferred mortality events, characterized physiological recovery periods following release, and applied survival mixture models to assess M and PRM. We also evaluated covariate effects on the duration of any recovery period and PRM to inform mitigation. Although large sample sizes involving extended monitoring periods (>90 days) would be optimal to directly estimate M from survival data, it was possible to constrain estimates and infer probable values for both species. Furthermore, the consistency of M estimates with values derived from longevity information suggests that age determination is relatively accurate for these species. Regarding bycatch mitigation, our analyses suggest that juvenile porbeagle are more susceptible to harm during capture and handling, that keeping lamnid sharks in the water during release is optimal, and that circle hooks are associated with longer recovery periods for shortfin mako.En prens

Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Evolutionary algorithms converge towards evolved biological photonic structures

Nature features a plethora of extraordinary photonic architectures that have been optimized through natural evolution in order to more efciently refect, absorb or scatter light. While numerical optimization is increasingly and successfully used in photonics, it has yet to replicate any of these complex naturally occurring structures. Using evolutionary algorithms inspired by natural evolution and performing particular optimizations (maximize refection for a given wavelength, for a broad range of wavelength or maximize the scattering of light), we have retrieved the most stereotypical natural photonic structures. Whether those structures are Bragg mirrors, chirped dielectric mirrors or the gratings on top of Morpho butterfy wings, our results indicate how such regular structures might have spontaneously emerged in nature and to which precise optical or fabrication constraints they respond. Comparing algorithms show that recombination between individuals, inspired by sexual reproduction, confers a clear advantage that can be linked to the fact that photonic structures are fundamentally modular: each part of the structure has a role which can be understood almost independently from the rest. Such an in silico evolution also suggests original and elegant solutions to practical problems, as illustrated by the design of counter-intuitive anti-refective coatings for solar cells

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