The structure of derivatives exchanges : lessons from developed and emerging markets

The authors examine the architecture, elements of market design, and the products traded in derivatives exchanges around the world. The core function of a derivatives exchange is to facilitate the transfer of risk among economic agents by providing mechanisms to enhance liquidity and facilitate price discovery. They test the proposition that organizational arrangements necessary to perform this function are not the same across markets. They also examine the sequencing of products introduced in derivatives exchanges. Using a survey instrument, they find that: a) Financial systems perform the same core functions across time and place but institutional arrangements differ. b) The ownership structure of derivatives exchanges assumes different forms across markets. c) The success of an exchange depends on the structure adopted and the products traded. d) Exchanges are regulated directly or indirectly through a government law. In addition, exchanges have their own regulatory structure. e) Typically (but not always) market-making systems are based on open outcry, with daily mark-to-market and gross margining -- but electronic systems are gaining popularity. f) Several (but not all) exchanges own clearing facilities and use netting settlement procedures. As for derivative products traded, they find that: i) Although most of the older exchanges started with (mainly agricultural) commodity derivatives, newer exchanges first introduce financial derivative products. ii) Derivatives based on a domestic stock index have greater potential for success followed by derivatives based on local interest rates and currencies. iii) The introduction of derivatives contracts appears to take more time in emerging markets compared with developed markets, with the exception of index products.Economic Theory&Research,Payment Systems&Infrastructure,International Terrorism&Counterterrorism,Non Bank Financial Institutions,Environmental Economics&Policies,International Terrorism&Counterterrorism,Payment Systems&Infrastructure,Economic Theory&Research,Non Bank Financial Institutions,Environmental Economics&Policies

OECD fiscal policies and the relative prices of primary commodities

Nonfuel primary commodity prices fell more than 30 percent in real terms between 1984 and 1990, even though global economic growth was reasonably strong. The collapse of international commodity agreements, rapid increases in supply for some crops, and agricultural policies in industrial countries have been responsible for some of the price decline. But all nonfuel primaries - agricultural and nonagricultural - experienced a sharp decline in real prices. That calls for a more general explanation. The authors investigatehow the relative price of (nonenergy) primary commodities and manufactures depend on fiscal policies in the OECD countries. It has been argued, for example, that expansionary policies in the OECD countries lead to increases in commodity prices. The authors show that it is not sufficient to establish whether policies are expansionary or contractionary; one must define the policy mix to know what impact it has. Previous studies have used partial equilibrium models to examine the link between maroeconomic policies and commodity prices. In those studies as in this one, the main channel of transmission of monetary and fiscal shocks is the interest rate. The authors use a general equilibrium model of the simultaneous determination of the relative price of commodities and the real world interest rate. The model's logic suggests that OECD fiscal expansion increases the real interest rate and reduces the relative price of commodities to equilibrate world labor product, and asset markets. Econometric estimates based on reduced form equations, using annual data since the 1950s, cannot reject the hypothesis that higher fiscal deficits are associated with a lower relative price of commodities. The estimates suggest that when the fiscal deficit of the G-5 rises one percentage point of GDP, the relative price of commodities drops about 2 percent. When the U.S. deficit rises by one percentage point of GNP, the relative price of primary commodities drops about 3 percent. This evidence provides good reason to believe that macroeconomic policies have been responsible for at least part of the little-understood decline in primary commodity prices over the past decade.Environmental Economics&Policies,Economic Theory&Research,Access to Markets,Markets and Market Access,Economic Stabilization

Modeling urban evolution by identifying spatiotemporal patterns and applying methods of artificial intelligence.Case study: Athens, Greece.

While during the past decades, urban areas experience constant slow population growth, the spatial patterns they form, by means of their limits and borders, are rapidly changing in a complex way. Furthermore, urban areas continue to expand to the expense of "rural” intensifying urban sprawl. The main aim of this paper is the definition of the evolution of urban areas and more specifically, the specification of an urban model, which deals simultaneously with the modification of population and building use patterns. Classical theories define city geographic border, with the Aristotelian division of 0 or 1 and are called fiat geographic boundaries. But the edge of a city and the urbanization "degree" is something not easily distinguishable. Actually, the line that city ends and rural starts is vague. In this respect a synthetic spatio - temporal methodology is described which, through the adaptation of different computational methods aims to assist planners and decision makers to gain an insight in urban - rural transition. Fuzzy Logic and Neural Networks are recruited to provide a precise image of spatial entities, further exploited in a twofold way. First for analysis and interpretation of up - to - date urban evolution and second, for the formulation of a robust spatial simulation model, the theoretical background of which is that the spatial contiguity between members of the same or different groups is one of the key factors in their evolution. The paper finally presents the results of the model application in the prefecture of Attica in Greece, unveiling the role of the Athens Metropolitan Area to its current and future evolution, by illustrating maps of urban growth dynamics.urban growth; urban dynamics; neural networks; fuzzy logic; Greece; Athens

Aspects of Seismic Analysis and Design of Rockfill Dams

Theoretical methods for estimating the dynamic response and predicting the performance of modern rockfill dams subjected to strong earthquake shaking are reviewed. The focus is on methods accounting for nonlinear material behavior, for 3-Dimensional canyon geometry, and asynchronous base excitation. It is shown that both strong nonlinearities and lack of coherence in the seismic excitation tend to reduce the magnitude of the deleterious whip-lash effect computed for tall dams built in rigid-wall narrow canyons. Particular emphasis is accorded to Concrete-Faced Rockfill dams and a case study involving an actually designed dam in a narrow canyon points to some potential problems and suggests some desirable modifications. In the light of theoretical results the paper concludes with a discussion on design rules and defensive measures that would lead to robust design schemes of Earth-Core and Concrete Faced Rockfill dams

A Robust Model Predictive Control Approach for Autonomous Underwater Vehicles Operating in a Constrained workspace

This paper presents a novel Nonlinear Model Predictive Control (NMPC) scheme for underwater robotic vehicles operating in a constrained workspace including static obstacles. The purpose of the controller is to guide the vehicle towards specific way points. Various limitations such as: obstacles, workspace boundary, thruster saturation and predefined desired upper bound of the vehicle velocity are captured as state and input constraints and are guaranteed during the control design. The proposed scheme incorporates the full dynamics of the vehicle in which the ocean currents are also involved. Hence, the control inputs calculated by the proposed scheme are formulated in a way that the vehicle will exploit the ocean currents, when these are in favor of the way-point tracking mission which results in reduced energy consumption by the thrusters. The performance of the proposed control strategy is experimentally verified using a $4$ Degrees of Freedom (DoF) underwater robotic vehicle inside a constrained test tank with obstacles.Comment: IEEE International Conference on Robotics and Automation (ICRA-2018), Accepte

Seismic Design Chart for Anchored Bulkheads

Evaluation of numerous case histories reveals that the seismic performance of anchored sheet pile quaywalls depends primarily on the anchoring system. Current pseudo-static procedures often lead to deficient anchoring, whose excessive displacements or failure trigger excessive permanent seaward displacement at the top of the bulkhead, accompanied by cracking and settlement behind the anchor. The results of the case histories lead to a Seismic Design Chart to be used in conjunction with the pseudo static procedure. The Chart delineates between acceptable and unacceptable degrees of damage, depending on the values of two dimensionless parameters that are functions of the material and geometric characteristics of the bulkhead, and the intensity of seismic shaking. Soil softening/degradation due to development of pore water-pressures is indirectly accounted for in the proposed method; however, the engineer must ensure that no liquefaction-flow failure of cohesion less soils will occur in the backfill or the foundation

Modeling the surface and interior structure of comet nuclei using a multidisciplinary approach

The goal was to investigate the structural properties of the surface of comet nucleus and how the surface should change with time under effect of solar radiation. The basic model that was adopted was that the nucleus is an aggregate of frosty particles loosely bound together, so that it is essentially a soil. The nucleus must mostly be composed of dust particles. The observed mass ratios of dust to gas in the coma is never much greater than unity, but this ratio is probably a much lower limit than that of the nucleus because it is vastly easier to remove the gaseous component by sublimation than by carrying off the dust. Therefore the described models assumed that the particles in the soil were frost covered grains of submicron basic size, closely resembling the interstellar grains. The surface properties of such a nucleus under the effects of heating and cooling as the nucleus approaches and recedes from the Sun generally characterized

A systematic review and meta-analysis of systemic intraoperative anticoagulation during arteriovenous access formation for dialysis

Purpose: Surgical arteriovenous fistula (AVF) or graft (AVG) is preferred to a central venous catheter for dialysis access. Surgical access may suffer thrombosis early after placement and systemic anticoagulation during surgical access formation may increase patency rates but would be expected to increase bleeding-related complications. A systematic review and meta-analysis of randomised controlled trials was conducted to examine the impact of systemic anticoagulation on access surgery perioperative bleeding and patency rates. Methods: We included randomised controlled trials testing systemic anticoagulation during access formation versus a control group without systemic anticoagulation reporting bleeding complications and access patency. Medline, Embase, CENTRAL and CINAHL were searched up to March 2015. Risk of bias was assessed using the Cochrane risk of bias tool and the Jadad score. Meta-analysis was performed using Cochrane Revman ® software. Results: Searches identified 445 reports of which four randomised studies involving 411 participants were included. Three studies pertained to AVF only and one included both AVF and AVG. Systemic anticoagulation led to increased bleeding events in all access [four trials; risk ratio (RR) 7.18; confidence interval (CI), 2.41 to 21.38; p < 0.001]. Patency was not improved for all access (four trials; RR, 0.64; CI, 0.37 to 1.09; p = 0.10) but was improved when AVF analysed alone (three trials; RR, 0.57; CI, 0.33 to 0.97; p = 0.04). Conclusions: The use of intraoperative systemic anticoagulation during access formation is associated with a highly significant increased risk of bleeding-related complications. A significant improvement in AVF patency was seen, though not when AVF and AVG were analysed together