Clearing price distributions in call auctions

We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers random buy and sell orders, placed following demand- and supply-side valuation distributions; an equilibrium equation then leads to a distribution for clearing price and transacted volume. Bid and ask volumes are left as free parameters, permitting possibly heavy-tailed or very skewed order flow conditions. In highly liquid auctions, the clearing price distribution converges to an asymptotically normal central limit, with mean and variance in terms of supply/demand-valuation distributions and order flow imbalance. By means of simulations, we illustrate the influence of variations in order flow and valuation distributions on price/volume, noting a distinction between high- and low-volume auction price variance. To verify the validity of the model statistically, we predict a year's worth of daily closing price distributions for 5 constituents of the Eurostoxx 50 index; Kolmogorov-Smirnov statistics and QQ-plots demonstrate with ample statistical significance that the model predicts closing price distributions accurately, and compares favourably with alternative methods of prediction

Learning from the Environment: Exploring the Relationship Between Organizational Learning, Knowledge Management and Information/Communication Technology

The aim of the paper is to contribute to the ongoing discussion on Organizational Learning (OL) and Knowledge Management (KM). We will do this by focusing on a specific domain of OL: ‘external learning’ or the exchange of knowledge between organizations. In general, KM is seen as a method organizations and managers can use to improve the knowledge within the organization. Surprisingly less attention is given to the way KM might improve the knowledge that is being exchanged and created between the organization and the environment

Experimenter as automaton; experimenter as human:Exploring the position of the researcher in scientific research

The crisis of confidence in the social sciences has many corollaries which impact our research practices. One of these is a push towards maximal and mechanical objectivity in quantitative research. This stance is reinforced by major journals and academic institutions that subtly yet certainly link objectivity with integrity and rigor. The converse implication of this may be an association between subjectivity and low quality. Subjectivity is one of qualitative methodology's best assets, however. In qualitative methodology, that subjectivity is often given voice through reflexivity. It is used to better understand our own role within the research process, and is a means through which the researcher may oversee how they influence their research. Given that the actions of researchers have led to the poor reproducibility characterising the crisis of confidence, it is worthwhile to consider whether reflexivity can help improve the validity of research findings in quantitative psychology. In this report, we describe a combination approach of research: the data of a series of interviews helps us elucidate the link between reflexive practice and quality of research, through the eyes of practicing academics. Through our exploration of the position of the researcher in their research, we shed light on how the reflections of the researcher can impact the quality of their research findings, in the context of the current crisis of confidence. The validity of these findings is tempered, however, by limitations to the sample, and we advise caution on the part of our audience in their reading of our conclusions.</p

On the generalized Davenport constant and the Noether number

Known results on the generalized Davenport constant related to zero-sum sequences over a finite abelian group are extended to the generalized Noether number related to the rings of polynomial invariants of an arbitrary finite group. An improved general upper bound is given on the degrees of polynomial invariants of a non-cyclic finite group which cut out the zero vector.Comment: 14 page

Semi-invariants of symmetric quivers of finite type

Let $(Q,\sigma)$ be a symmetric quiver, where $Q=(Q_0,Q_1)$ is a finite quiver without oriented cycles and $\sigma$ is a contravariant involution on $Q_0\sqcup Q_1$. The involution allows us to define a nondegenerate bilinear form on a representation $V$ of $Q$. We shall call the representation orthogonal if is symmetric and symplectic if $$ is skew-symmetric. Moreover we can define an action of products of classical groups on the space of orthogonal representations and on the space of symplectic representations. For symmetric quivers of finite type, we prove that the rings of semi-invariants for this action are spanned by the semi-invariants of determinantal type $c^V$ and, in the case when matrix defining $c^V$ is skew-symmetric, by the Pfaffians $pf^V$

Effective Invariant Theory of Permutation Groups using Representation Theory

Using the theory of representations of the symmetric group, we propose an algorithm to compute the invariant ring of a permutation group. Our approach have the goal to reduce the amount of linear algebra computations and exploit a thinner combinatorial description of the invariant ring.Comment: Draft version, the corrected full version is available at http://www.springer.com