Sale of price information by exchanges: Does it promote price discovery?

Exchanges sell both trading services and price information. We study how the joint pricing of these products affects price discovery and the distribution of gains from trade in an asset market. A wider dissemination of price information reduces pricing errors and the transfer from liquidity traders to speculators. This effect reduces the fee that speculators are willing to pay for trading. Therefore, to raise its revenue from trading, a for-profit exchange optimally charges a high fee for price information so that only a fraction of speculators buy this information. As a result, price discovery is not as efficient as it would be with free price information. This problem is less severe if the exchange must compensate liquidity traders for a fraction of their losses

Dynamic trading and asset prices: Keynes vs. Hayek

We investigate the dynamics of prices, information, and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of endogenous short-term speculation. For a given positive level of residual pay-off uncertainty, if liquidity trades display low persistence, rational investors act like market makers and accommodate the order flow and prices are farther away from fundamentals compared to consensus. This defines a "Keynesian" region; the complementary region is "Hayekian" in that rational investors chase the trend and prices are systematically closer to fundamentals than average expectations. The standard case of no residual uncertainty and liquidity trading following a random walk is on the frontier of the two regions and identifies the set of deep parameters for which rational investors abide by Keynes' dictum of concentrating on an asset "long-term prospects and those only". The analysis also explains momentum and reversal in stock returns and how accommodation and trend-chasing strategies differ from these phenomena

The VELISAR initiative for the measurement of ground velocity in italian seismogenic areas

VELISAR (Ground VELocity in Italian Seismogenic Areas) is a scientific research initiative aimed at producing a map of the ground deformation over most of the seismogenic areas of Italy, using the space-based technique of multitemporal Synthetic Aperture Radar Interferometry (InSAR). The ground velocities derived from InSAR data will be validated by means of ground based data obtained from GPS, optical leveling, seismological and neotectonic studies. The scope of the project is to produce a high-resolution ground deformation dataset useful to model the seismic cycle of strain accumulation and release at the scale of the single faults. The main objective of VELISAR is to produce maps of ground velocity with the following characteristics: - A ground resolution better than 100 m. - Average uncertainty of LoS velocity measurements smaller than 2 mm/yr . - Temporal coverage of at least 7 years. - Retrieval of East and Up components from ascending and descending LoS. VELISAR will exploit the potential of the long time series (1992-2000) of ERS InSAR data maintained in the ESA archives; over 4000 ERS images will have to be processed to accomplish its objectives. Presently, two InSAR techniques for the measurement of slow ground deformation are used in VELISAR: the Permanent Scatterers (PS) technique developed by the Politecnico of Milano (POLIMI), and the Small Baseline Subset (SBAS) technique, developed by the Institute for Remote Sensing of Environment (IREA-CNR), in Napoli. The PS technique is applied by TRE preferably over areas characterised by diffuse temporal decorrelation due to, for instance, erodible lithologies, agricultural land use and strong vegetation cover. In these areas we expect to obtain good temporal coherence mainly on sparse point scatterers. The SBAS technique is applied by IREA and INGV mostly over areas where limited temporal decorrelation is expected: urban areas, scarcely vegetated areas. The ground resolution at which these data are originally processed is 80 m. An important goal of the VELISAR initiative is to disseminate the information on the InSAR-derived ground velocity measurements, to the scientific community and to the public in general. Such goal is accomplished through a dedicated web site, where the velocity maps of the italian seismogenic areas will be progressively published. We will present the initiative, its scope and objectives, the technical details and the data processing strategies, and some examples of ground velocity maps.PublishedVienna, Austriaope

The role of sentinel node tumor burden in modeling the prognosis of melanoma patients with positive sentinel node biopsy: an Italian melanoma intergroup study (N = 2,086)

Background The management of melanoma patients with metastatic melanoma in the sentinel nodes (SN) is evolving based on the results of trials questioning the impact of completion lymph node dissection (CLND) and demonstrating the efficacy of new adjuvant treatments. In this landscape, new prognostic tools for fine risk stratification are eagerly sought to optimize the therapeutic path of these patients. Methods A retrospective cohort of 2,086 patients treated with CLND after a positive SN biopsy in thirteen Italian Melanoma Centers was reviewed. Overall survival (OS) was the outcome of interest; included independent variables were the following: age, gender, primary melanoma site, Breslow thickness, ulceration, sentinel node tumor burden (SNTB), number of positive SN, non-sentinel lymph nodes (NSN) status. Univariate and multivariate survival analyses were performed using the Cox proportional hazard regression model. Results The 3-year, 5-year and 10-year OS rates were 79%, 70% and 54%, respectively. At univariate analysis, all variables, except for primary melanoma body site, were found to be statistically significant prognostic factors. Multivariate Cox regression analysis indicated that older age (P < 0.0001), male gender (P = 0.04), increasing Breslow thickness (P < 0.0001), presence of ulceration (P = 0.004), SNTB size (P < 0.0001) and metastatic NSN (P < 0.0001) were independent negative predictors of OS. Conclusion The above results were utilized to build a nomogram in order to ease the practical implementation of our prognostic model, which might improve treatment personalization

Forecasting Bond Risk Premia Using Technical Analysis

This paper is selected as one of the Top Ten Paper in Forecasting in SSRN

Managerial Entrenchment and Corporate Social Responsibility

CEPR Discussion Papers 464