Market microstructure of the Australian Stock Exchange Options Market and its relationship with the underlying equity market

Dissertação de mestrado em Biotecnologia Farmacêutica, apresentada à Universidade de Coimbra.As doenças cardiovasculares são uma fonte de preocupação dado que são responsáveis por cerca de 30% da mortalidade a nível global. Uma das causas para esta tão elevada percentagem é a disfunção das válvulas cardíacas (aórtica, pulmonar, mitral e tricúspide). O funcionamento fisiológico normal das válvulas cardíacas é responsável pela unidirecionalidade do fluxo de sangue através das suas cavidades (aurículas e ventrículos) e dos principais vasos para uma abertura e fechamento regulares ao longo de cada ciclo cardíaco. A solução mais comum para este tipo de doenças cardíacas baseia-se na reparação ou substituição das válvulas danificadas. A substituição é fundamentalmente feita através do uso de válvulas de origem mecânica (constituídas por metal) e origem biológica (dadores animais), ou ainda provenientes de dadores humanos (aloenxertos). Estas nem sempre apresentam vantagens, pois levam os doentes a necessitar de tratamento anticoagulante para o resto da vida (as mecânicas) e elevada possibilidade de reoperação (as biológicas). Devido às imperfeições do uso de próteses e limitações na obtenção das mesmas, a utilização da engenharia de tecidos e em particular de células estaminais tem vindo a ganhar terreno como estratégia para desenvolvimento de válvulas cardíacas. A engenharia de tecidos pretende mimetizar a válvula nativa, permitindo em teoria a construção de novas válvulas com capacidade para ultrapassar as limitações existentes atualmente, através da possível criação de uma válvula autóloga que previna a resposta imunológica e promova o crescimento, remodelação e reparação in vivo. Para esse efeito recorre-se à utilização de scaffolds, pois fornecem o suporte necessário para que as células se fixem, proliferem e mantenham a sua função diferencial. Uma variada gama de polímeros naturais (ex: colagénio, alginato, fibrina) e sintéticos (ex: PEG, PLA, PGA) está hoje à disponibilidade desta engenharia, para poder obter scaffolds adequadas aos doentes. As células têm assim a capacidade de expandir graças à estrutura tridimensional e porosa do suporte sintético ou natural. A scaffold precisa de mimetizar o mais possível a matriz extracelular, de forma a não ocorrer resposta imunológica. Em scaffolds vão-se colocar células, destacando-se a promessa das células estaminais (embrionárias e adultas), assim como mais recentemente de células estaminais pluripotentes induzidas, obtidas por reprogramação de células somáticas diferenciadas. Este tipo de células é vantajoso, porque evitam o sacrifício das estruturas vasculares dos doentes sujeitos a cirurgia. Estas células após diferenciação devem permitir a obtenção de células com características cardiológicas. Com o uso destas células na engenharia de tecidos, principalmente nas válvulas cardíacas, espera-se poder combater as desvantagens inerentes às próteses valvulares, evitando de alguma forma respostas imunológicas, tratamentos para o resto da vida e necessidade de reoperação.Cardiovascular diseases are a source of concern because they are responsible for about 30% of all deaths worldwide. One of the reasons for this high percentage is dysfunction of the cardiac valves (aortic, pulmonary, mitral and tricuspid). The normal physiological function of the cardiac valves is to ensure unidirectional blood flow through the cardiac cavities (atria and ventricles) and the main vessels achieved through specifically timed opening and closing during each cardiac cycle. The most common solution for valvular diseases is based on the repair or replacement of damaged valves. Valve replacement is achieved through the use of mechanical valves (made from metallic material) and biological valves (derived from animal donors) or from human donors (allografts). However, current mechanical valves all require lifelong treatment with anticoagulants and biological valves present high possibility of reoperation. Due to imperfections and limitations of prosthetic valves, the tissue engineering and the use of stem cells have been gaining importance to the development of cardiac valves. Tissue engineering aims to mimic the native valve with the target of building new valves with the capacity to overcome the current limitations, through the possible creation of an autologous valve that prevents the immune response and promotes growth, remodeling and repair in vivo. For this purpose scaffolds are an option for this problem as they provide the needed support structures so that the cells can attach, proliferate and maintain their differential function. There is nowadays a wide range of natural polymers (eg. collagen, alginate, fibrin) and synthetic polymers (eg. PEG, PLA, PGA) in order to obtain scaffolds suitable for patients. Thus, the cells have the capacity to expand due to their threedimensional structure and porous natural or synthetic support. Scaffolds have to mimic the extracellular matrix as much as possible so that immune response does not occur. Cells will be placed in scaffolds, highlighting the promise of stem cells (embryonic and adult), as well as more recently induced pluripotent stem cells obtained by reprogramming of differentiated somatic cells. Stem cells have advantages because they avoid the sacrifice of the vascular structures of patients undergoing surgery and they are capable of differentiating into several cells with cardiac features. Using these kind of cells, mainly in cardiac valves, tissue engineering may be able to combat the disadvantages of prosthetic valves, avoiding immune responses, treatments for the rest of life and need for reoperation

Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange

This paper investigates the relationship between the minimum price variation and market quality variables for 3 interest rate futures contracts on the Sydney Futures Exchange. Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002, which includes the change in transparency on 19 January 2001. Analysis of the frequency distributions of bid and ask quote variations show a high frequency of these variations posted at 1 tick in the sample periods. Analysis of the quoted bid-ask spreads also show a high frequency of spreads posted at 1 tick. These evidence suggest that the tick sizes for these futures contracts are too large. Examination of the relationships between dollar spreads and dollar ticks provide further evidence that dollar spreads are constrained by the tick size. Dollar spreads are found to be positively related to dollar ticks, average quoted depth and trade price volatility, and negatively related to traded volume

Introduction to futures and options markets in Australia

112 page(s

An empirical analysis of the supply of liquidity by locals in futures markets : evidence from the Sydney Futures Exchange

Contrary to the received view of market makers in theoretical literature, this study provides direct evidence that locals on the Sydney Futures Exchange (SFE) do not trade exclusively as passive market participants. In fact, rather than act purely as market makers, locals as a group are almost as likely to demand as supply liquidity. Further, locals trading on the floor of the SFE are less likely to supply liquidity when bid-ask spreads, trading frequency and price volatility are high, as well as around information announcements. These findings are consistent with aggressive trading by locals on the basis of a short-lived information advantage. This study also documents considerable diversity in the propensity of locals to supply liquidity, finding that it is related to the quantity, frequency and average size of their trading activity.14 page(s

Local trader profitability in futures markets : liquidity and position taking profits

This study examines the profitability of local traders on floor-traded futures markets. Using unique data from the period of floor trading on the Sydney Futures Exchange, local income is decomposed into liquidity and position-taking profit components. Locals on the trading floor are found to make significant position-taking profits. Moreover, the ability of locals on the floor to derive position-taking profits is positively related to order-flow related information, and negatively related to the presence of exogenous information, local liquidity profits and the length of a locals inventory cycle. Accordingly, this paper characterizes locals as active informed traders.24 page(s

The determinants of the price impact of block trades : further evidence

This article extends previous literature which examines the determinants of the price impact of block trades on the Australian Stock Exchange. As previous literature suggests that liquidity exhibits intraday patterns, we introduce time of day dummy variables to explore time dependencies in price impact. Following theoretical developments in previous literature, the explanatory power of the bid - ask spread, a lagged cumulative stock return variable and a refined measure of market returns are also examined. The model estimated explains approximately 29 per cent of the variation in price impact. Block trades executed in the first hour of trading experience the greatest price impact, while market conditions, lagged stock returns and bid-ask spreads are positively related to price impact. The bid - ask spread provides most of the explanatory power. This suggests that liquidity is the main driver of price impact.13 page(s

Sources of price discovery in the Australian dollar currency market

This paper examines the source of price discovery in the Australian Dollar currency market. The time-varying relationship between changes in quotes posted by cash market dealers and changes in currency futures quotes is estimated. The cash market quotations identifY the eleven dealers posting the quotes, as well as geographical location of the dealers (Australia or overseas). Reported results show that price discovery originates in the cash market in any trading period. Amongst CUlTency dealers, the results imply that local desks are price leaders during Australian trading hours. Though some foreign desks do contribute to price discovery during the European and US trading hours, price leadership of local desks is also found to extend to this period. These findings are consistent with the proposition that local desks can provide significant price discovery in the Australian DoJIar cUlTency market during Australian daytime

The performance of active Australian bond funds

This paper examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. Security selection and market timing performance are evaluated using both unconditional models and conditional-performance evaluation techniques that account for public information and the time variation in risk. Overall, the results of this paper are consistent with the US and international evidence, documenting that performance is consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for retail Australian bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients