Limit order book as a market for liquidity

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium types are obtained - the type is determined by three parameters: the degree of impatience of the patient traders, which we interpret as the cost of execution delay in providing liquidity; their proportion in the population, which is the cost of the minimal price improvement. Despite its simplicity, the model generates a rich set empirical predictions on the relation between market parameters, time to execution, and spreads. We argue that the economic intuition of this model is robust, thus its main results will remain in more general models.limit and market orders; time-to-execution; market quality

Liquidity cycles and make/take fees in electronic markets

In this paper, the authors develop a dynamic model of trading with two specialized sides: traders posting quotes (“market makers”) and traders hitting quotes (“market takers”). Traders monitor the market to seize profit opportunities, generating high frequency make/take liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are charged different fees or even paid rebates, as observed in reality. The model yields several empirical implications regarding the determinants of make/take fees, the trading rate, the bid-ask spread, and the effect of algorithmic trading on these variables. Finally, algorithmic trading can improve welfare because it increases the rate at which gains from trade are realized.liquidity; monitoring; make/take fees; duration clustering; algorithmic trading; two-sided markets

Stock-Based Compensation and CEO (Dis)Incentives

Stock-based compensation is the standard solution to agency problems between shareholders and managers. In a dynamic rational expectations equilibrium model with asymmetric information we show that although stock-based compensation causes managers to work harder, it also induces them to hide any worsening of the firm's investment opportunities by following largely sub-optimal investment policies. This problem is especially severe for growth firms, whose stock prices then become over-valued while managers hide the bad news to shareholders. We find that a firm-specific compensation package based on both stock and earnings performance instead induces a combination of high effort, truth revelation and optimal investments. The model produces numerous predictions that are consistent with the empirical evidence.

High throughput platform for multiscale quantitative phase imaging

Quantitative phase imaging (QPI) yields the spatial phase map of the object’s scattering potential. QPI has enabled unprecedented label-free studies in biomedicine, ranging from cell dynamics and growth to cancer diagnosis and prognosis. The field is currently transitioning from technology-driven to application-driven research and from engineering-background users to biomedical-background users. Aligned with these efforts, we present our recent advances in high-throughput, user-friendly QPI technology for multiscale spatiotemporal imaging

Gradient light interference microscopy for imaging strongly scattering samples

A growing interest in three-dimensional cellular systems has raised new challenges for light microscopy. The fundamental difficulty is the tendency for the optical field to scramble when interacting with turbid media, leading to contrast images. In this work, we outline the development of an instrument that uses broadband optical fields in conjunction with phase-shifting interferometry to extract high-resolution and high-contrast structures from otherwise cloudy images. We construct our system from a differential interference contrast microscope, demonstrating our new modality in transmission and reflection geometries. We call this modality Gradient Light Interference Microscopy (GLIM) as the image measures the gradient of the object’s scattering potential. To facilitate complex experiments, we develop a high-throughput acquisition software and propose several ways to analyze this new kind of data using deep convolutional neural networks. This new proposal, termed phase imaging with computational specificity (PICS), allows for non-destructive yet chemically motivated annotation of microscopy images. The results presented in this dissertation provide templates that are readily extendible to other quantitative phase imaging modalities

Long-Distance Effects of Insertional Mutagenesis

Most common systems of genetic engineering of mammalian cells are associated with insertional mutagenesis of the modified cells. Insertional mutagenesis is also a popular approach to generate random alterations for gene discovery projects. A better understanding of the interaction of the structural elements within an insertional mutagen and the ability of such elements to influence host genes at various distances away from the insertion site is a matter of considerable practical importance.We observed that, in the context of a lentiviral construct, a transcript, which is initiated at an internal CMV promoter/enhancer region and incorporates a splice donor site, is able to extend past a collinear viral LTR and trap exons of host genes, while the polyadenylation signal, which is naturally present in the LTR, is spliced out. Unexpectedly, when a vector, which utilizes this phenomenon, was used to produce mutants with elevated activity of NF-κB, we found mutants, which owed their phenotype to the effect of the insert on a gene located tens or even hundreds of kilobases away from the insertion site. This effect did not result from a CMV-driven transcript, but was sensitive to functional suppression of the insert. Interestingly, despite the long-distance effect, expression of loci most closely positioned to the insert appeared unaffected.We concluded that a polyadenylation signal in a retroviral LTR, when occurring within an intron, is an inefficient barrier against the formation of a hybrid transcript, and that a vector containing a strong enhancer may selectively affect the function of genes far away from its insertion site. These phenomena have to be considered when experimental or therapeutic transduction is performed. In particular, the long-distance effects of insertional mutagenesis bring into question the relevance of the lists of disease-associated retroviral integration targets, which did not undergo functional validation

A Natural Human Retrovirus Efficiently Complements Vectors Based on Murine Leukemia Virus

Background: Murine Leukemia Virus (MLV) is a rodent gammaretrovirus that serves as the backbone for common gene delivery tools designed for experimental and therapeutic applications. Recently, an infectious gammaretrovirus designated XMRV has been identified in prostate cancer patients. The similarity between the MLV and XMRV genomes suggests a possibility that the two viruses may interact when present in the same cell. Methodology/Principal Findings: We tested the ability of XMRV to complement replication-deficient MLV vectors upon coinfection of cultured human cells. We observed that XMRV can facilitate the spread of these vectors from infected to uninfected cells. This functional complementation occurred without any gross rearrangements in the vector structure, and the co-infected cells produced as many as 10 4 infectious vector particles per milliliter of culture medium. Conclusions/Significance: The possibility of encountering a helper virus when delivering MLV-based vectors to human cells in vitro and in vivo needs to be considered to ensure the safety of such procedures