Measuring the information content of customer foreign exchange orders

This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation or a statistically significant correlation between customer order flow and FX returns. However, consistent with the liquidity provision role of non-financial customers in Evans and Lyons ((2002) Order flow and exchange rate dynamics. Journal of Political Economy 110: 170–180), we find a statistically significant negative correlation between order flow from the diversified economic sector and FX returns. A dynamic analysis suggests that order flow has little or no price impact on FX returns. These results suggest that the non-financial customer order flow of a commercial bank does not carry information about FX prices

A model of emulation funds

© 2014 AFAANZ. Emulation funds are a potentially cost-effective way for multimanager funds to improve their investment performance by delaying and netting trade signals from underlying managers. We develop a model to represent the expected sources of differential performance in an emulation fund relative to its underlying multimanager portfolio. The model formalises the expected interaction between potential savings and opportunity costs and allows us to observe complexities in the emulation process that are hidden without a benchmark. Finally, the functional representation of the model allows sensitivity analysis of the emulation fund to key parameters and enables us to determine theoretically optimal lag periods

How has the Relevance of Institutional Brokerage Changed?

© 2016 International Review of Finance Ltd. 2016 Institutional brokerage rates have been in decline. We investigate whether this reduction has coincided with a fall in benefits provided by brokers to institutional asset managers. We use trade packages from both active and passive equity funds from 1995 to 2001 and active equity funds from 2002 to 2010. We find that later period active funds recoup a combined 1.75 basis point benefit (from price impact cost recovery and short-term alpha) per basis point of brokerage cost. Later period active investors saw improved trade price impact and shorter-term alpha net benefits, relative to earlier period active investors. These results are robust after controlling for trade characteristics and cross-sectional variation over time. Our findings suggest that brokers innovate to provide valuable services in the subsequent, lower brokerage environment

How does community context influence coalitions in the formation stage? a multiple case study based on the Community Coalition Action Theory

<p>Abstract</p> <p>Background</p> <p>Community coalitions are rooted in complex and dynamic community systems. Despite recognition that environmental factors affect coalition behavior, few studies have examined how community context impacts coalition formation. Using the Community Coalition Action theory as an organizing framework, the current study employs multiple case study methodology to examine how five domains of community context affect coalitions in the formation stage of coalition development. Domains are history of collaboration, geography, community demographics and economic conditions, community politics and history, and community norms and values.</p> <p>Methods</p> <p>Data were from 8 sites that participated in an evaluation of a healthy cities and communities initiative in California. Twenty-three focus groups were conducted with coalition members, and 76 semi-structured interviews were conducted with local coordinators and coalition leaders. Cross-site analyses were conducted to identify the ways contextual domains influenced selection of the lead agency, coalition membership, staffing and leadership, and coalition processes and structures.</p> <p>Results</p> <p>History of collaboration influenced all four coalition factors examined, from lead agency selection to coalition structure. Geography influenced coalition formation largely through membership and staffing, whereas the demographic and economic makeup of the community had an impact on coalition membership, staffing, and infrastructure for coalition processes. The influence of community politics, history, norms and values was most noticeable on coalition membership.</p> <p>Conclusions</p> <p>Findings contribute to an ecologic and theory-based understanding of the range of ways community context influences coalitions in their formative stage.</p

Using functional genomics to decipher the complexity of microbial pathogenicity

From the first identification of bacteria as a causative agent of disease, researchers have been developing methods and techniques to understand their pathogenic processes. For decades, this work has been limited to looking at a small number of genetically manipulatable isolates in in vitro assays or animal models of infection. Despite these limitations such work has facilitated the development of successful therapeutic strategies, most notably vaccines that target specific virulence-related features. There are however many antimicrobial resistant pathogens for which vaccination strategies have not worked, as we simply do not know enough about how they cause disease. We are however at the dawn of a new era in the study of microbial pathogenicity, where large collections of bacteria isolated directly from human infections can be sequenced and assayed to identify the bacterial features that affect disease severity in humans. Here, we describe our attempt to perform such a study focussed on the major human pathogen Staphylococcus aureus, which demonstrates the step changes such approaches can make to understanding microbial pathogenicity

Characterization of transcription within sdr region of Staphylococcus aureus

Staphylococcus aureus is an opportunistic pathogen responsible for various infections in humans and animals. It causes localized and systemic infections, such as abscesses, impetigo, cellulitis, sepsis, endocarditis, bone infections, and meningitis. S. aureus virulence factors responsible for the initial contact with host cells (MSCRAMMs—microbial surface components recognizing adhesive matrix molecules) include three Sdr proteins. The presence of particular sdr genes is correlated with putative tissue specificity. The transcriptional organization of the sdr region remains unclear. We tested expression of the sdrC, sdrD, or sdrE genes in various in vitro conditions, as well as after contact with human blood. In this work, we present data suggesting a separation of the sdr region into three transcriptional units, based on their differential reactions to the environment. Differential reaction of the sdrD transcript to environmental conditions and blood suggests dissimilar functions of the sdr genes. SdrE has been previously proposed to play role in bone infections, whilst our results can indicate that sdrD plays a role in the interactions between the pathogen and human immune system, serum or specifically reacts to nutrients/other factors present in human blood

Staphylococcus aureus infection dynamics

Staphylococcus aureus is a human commensal that can also cause systemic infections. This transition requires evasion of the immune response and the ability to exploit different niches within the host. However, the disease mechanisms and the dominant immune mediators against infection are poorly understood. Previously it has been shown that the infecting S. aureus population goes through a population bottleneck, from which very few bacteria escape to establish the abscesses that are characteristic of many infections. Here we examine the host factors underlying the population bottleneck and subsequent clonal expansion in S. aureus infection models, to identify underpinning principles of infection. The bottleneck is a common feature between models and is independent of S. aureus strain. Interestingly, the high doses of S. aureus required for the widely used "survival" model results in a reduced population bottleneck, suggesting that host defences have been simply overloaded. This brings into question the applicability of the survival model. Depletion of immune mediators revealed key breakpoints and the dynamics of systemic infection. Loss of macrophages, including the liver Kupffer cells, led to increased sensitivity to infection as expected but also loss of the population bottleneck and the spread to other organs still occurred. Conversely, neutrophil depletion led to greater susceptibility to disease but with a concomitant maintenance of the bottleneck and lack of systemic spread. We also used a novel microscopy approach to examine abscess architecture and distribution within organs. From these observations we developed a conceptual model for S. aureus disease from initial infection to mature abscess. This work highlights the need to understand the complexities of the infectious process to be able to assign functions for host and bacterial components, and why S. aureus disease requires a seemingly high infectious dose and how interventions such as a vaccine may be more rationally developed

Generalization Strategies in Finding the <i>n</i>th Term Rule for Simple Quadratic Sequences

In this study, we identify ways in which a sample of 18 graduates with mathematics-related first degrees found the nth term for quadratic sequences from the first values of a sequence of data, presented on a computer screen in various formats: tabular, scattered data pairs and sequential. Participants’ approaches to identifying the nth term were recorded with eye-tracking technology. Our aims are to identify their strategies and to explore whether and how format influences these strategies. Qualitative analysis of eye-tracking data offers several strategies: Sequence of Differences, Building a Relationship, Known Formula, Linear Recursive and Initial Conjecture. Sequence of Differences was the most common strategy, but Building a Relationship was more likely to lead to the right formula. Building from Square and Factor Search were the most successful methods of Building a Relationship. Findings about the influence of format on the range of strategies were inconclusive but analysis indicated sporadic evidence of possible influences