Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

This paper will propose a new statistical model for the analysis of data that does not arrive in equal time intervals such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the time between observation arrivals as a stochastic time varying process and therefore is in the spirit of the models of time deformation initially proposed by Tauchen and Pitts (1983), Clark (1973) and more recently discussed by Stock (1988), Lamoureux and Lastrapes (1992), Muller et al. (1990) and Ghysels and Jasiak (1994) but does not require auxiliary data or assumptions on the causes of time flow. Strong evidence is provided for duration clustering beyond a deterministic component for the financial transactions data analyzed. We will show that a very simple version of the model can successfully account for the significant autocorrelations in the observed durations between trades of IBM stock on the consolidated market. A simple transformation of the duration data allows us to include volume in the model.

Measuring and Modeling Execution Cost and Risk

We introduce a new analysis of transaction costs that explicitly recognizes the importance of the timing of execution in assessing transaction costs. Time induces a risk/cost tradeoff. The price of immediacy results in higher costs for quickly executed orders while more gradual trading results in higher risk since the value of the asset can vary more over longer periods of time. We use a novel data set that allows a sequence of transactions to be associated with individual orders and measure and model the expected cost and risk associated with different order execution approaches. The model yields a risk/cost tradeoff that depends upon the state of the market and characteristics of the order. We show how to assess liquidation risk using the notion of liquidation value at risk (LVAR)

Measuring and Modeling Execution Cost and Risk

We introduce a new analysis of transaction costs that explicitly recognizes the importance of the timing of execution in assessing transaction costs. Time induces a risk/cost tradeoff. The price of immediacy results in higher costs for quickly executed orders while more gradual trading results in higher risk since the value of the asset can vary more over longer periods of time. We use a novel data set that allows a sequence of transactions to be associated with individual orders and measure and model the expected cost and risk associated with different order execution approaches. The model yields a risk/cost tradeoff that depends upon the state of the market and characteristics of the order. We show how to assess liquidation risk using the notion of liquidation value at risk (LVAR)

Measuring and Modeling Execution Cost and Risk

We introduce a new analysis of transaction costs that explicitly recognizes the importance of the timing of execution in assessing transaction costs. Time induces a risk/cost tradeoff. The price of immediacy results in higher costs for quickly executed orders while more gradual trading results in higher risk since the value of the asset can vary more over longer periods of time. We use a novel data set that allows a sequence of transactions to be associated with individual orders and measure and model the expected cost and risk associated with different order execution approaches. The model yields a risk/cost tradeoff that depends upon the state of the market and characteristics of the order. We show how to assess liquidation risk using the notion of liquidation value at risk (LVAR)

Measuring and Modeling Execution Cost and Risk

We introduce a new analysis of transaction costs that explicitly recognizes the importance of the timing of execution in assessing transaction costs. Time induces a risk/cost tradeoff. The price of immediacy results in higher costs for quickly executed orders while more gradual trading results in higher risk since the value of the asset can vary more over longer periods of time. We use a novel data set that allows a sequence of transactions to be associated with individual orders and measure and model the expected cost and risk associated with different order execution approaches. The model yields a risk/cost tradeoff that depends upon the state of the market and characteristics of the order. We show how to assess liquidation risk using the notion of liquidation value at risk (LVAR)

Z-Selective Cross-Metathesis and Homodimerization of 3E-1,3-Dienes: Reaction Optimization, Computational Analysis, and Synthetic Applications

Olefin metathesis reactions with 3E-1,3-dienes using Z-selective cyclometalated ruthenium benzylidene catalysts are described. In particular, a procedure for employing 3E-1,3-dienes in Z-selective homodimerization and cross-metathesis with terminal alkenes is detailed. The reaction takes advantage of the pronounced chemoselectivity of a recently reported ruthenium-based catalyst containing a cyclometalated NHC ligand for terminal alkenes in the presence of internal E-alkenes. A wide array of commonly encountered functional groups can be tolerated, and only a small excess (1.5 equiv) of the diene coupling partner is required to achieve high yields of the desired internal E,Z-diene cross-metathesis product. Computational studies have been performed to elucidate the reaction mechanism. The computations are consistent with a diene-first pathway. The reaction can be used to quickly assemble structurally complex targets. The power of this cross-metathesis reaction is demonstrated by the concise syntheses of two insect pheromones

Kinetics of the porcine reproductive and respiratory syndrome virus (PRRSV) humoral immune response in swine serum and oral fluids collected from individual boars

Background The object of this study was to describe and contrast the kinetics of the humoral response in serum and oral fluid specimens during acute porcine reproductive and respiratory syndrome virus (PRRSV) infection. The study involved three trials of 24 boars each. Boars were intramuscularly inoculated with a commercial modified live virus (MLV) vaccine (Trial 1), a Type 1 PRRSV field isolated (Trial 2), or a Type 2 PRRSV field isolate (Trial 3). Oral fluid samples were collected from individual boars on day post inoculation (DPI) -7 and 0 to 21. Serum samples were collected from all boars on DPI −7, 0, 7, 14, 21 and from 4 randomly selected boars on DPI 3, 5, 10, and 17. Thereafter, serum and oral fluid were assayed for PRRSV antibody using antibody isotype-specific ELISAs (IgM, IgA, IgG) adapted to serum or oral fluid. Results Statistically significant differences in viral replication and antibody responses were observed among the three trials in both serum and oral fluid specimens. PRRSV serum IgM, IgA, and IgG were first detected in samples collected on DPI 7, 10, and 10, respectively. Oral fluid IgM, IgA, and IgG were detected in samples collected between DPI 3 to 10, 7 to 10, and 8 to 14, respectively. Conclusions This study enhanced our knowledge of the PRRSV humoral immune response and provided a broader foundation for the development and application of oral fluid antibody-based diagnostics

Interventional Spine and Pain Procedure Credentialing: Guidelines from the American Society of Pain & Neuroscience

Background: The discipline of interventional pain management has changed significantly over the past decade with an expected greater evolution in the next decade. Not only have the number of procedures increased, some of the procedures that were created for spine surgeons are becoming more facile in the hands of the interventional pain physician. Such change has outpaced academic institutions, societies, and boards. When a pain physician is in the credentialing process for novel procedure privileges, it can leave the healthcare system in a challenging situation with little to base their decision upon. Methods: This paper was developed by a consensus working group from the American Society of Pain and Neuroscience from various disciplines. The goal was to develop processes and resources to aid in the credentialing process. Results: These guidelines from the American Society of Pain and Neuroscience provide background information to help facilities create a process to appropriately credential physicians on novel procedures. They are not intended to serve as a standard or legal precedent. Conclusion: This paper serves as a guide for facilities to credential physicians on novel procedures

Exile Vol. XIII No. 2

FICTION The Garden by Joyce Horvath 5-8 Early Morning Man by Harvey Spurlock 12-24 28 Nisan 1960 by Cem Kozlu 29-35 Letters to the Editor by Rick Brown 39-55 POETRY World II by Jeffrey R. Smith 1-4 It is not for no reason by Bonnie Bishop 9 I have often wondered by Mike Engle 10 Without opera glasses by Trudi Spaeth 10 Differentiations in August by Alan Pavlik 11 Gold by Nancy Scott 25 With images by Trudi Spaeth 25 Grandpa by Karen Cozart 26-27 Meditation on a Line by Sylvia Plath by Lauren Shakely 28 Bantling by Francie King 36 Haiku by Suzanne Husting 36 I saw you yesterday by Rick Tucker 37 My Eyes Would Escape 38 ART untitled by Nancy Eastlake 8 The Diary of a Madman by Clare Conrad 24 Trumpeter by Bill Henderson 38 Untitled by Nancy Eastlake Cover design: Kee McFarland With special thanks to Mrs. Louis Brakeman for her services

Author Correction: A consensus-based transparency checklist.

An amendment to this paper has been published and can be accessed via a link at the top of the paper