Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment

The behaviour of limit order quotes and trading activity are studied using a unique and rich database that includes the identity of market participants from a fully automated derivatives market. The analysis is performed using transactions records for three aggregated trader types and three trade identifiers, with trades stamped in milliseconds for the SXF, the equity futures contract of the Montreal Exchange. The identifiers distinguish trades between principals; agency based trades, as well as transactions that are conducted for risk management as opposed to speculative purposes. Agency related trades are shown to represent the largest amount of trading activity relative to other account types. Over 90% of trades in this electronic market are limit orders. The limit order book, especially the depth 1 order, has a dominant role in providing liquidity and in explaining market participants’ trading behaviour. Participants in the SXF reference their trades to the best limit order depth. Hence, investors with large positions or investors who want to build a large position have to strategically split large orders to close/build their position, according to the depth of the best limit order, to ameliorate price impact and information leakage effects. In addition, the results show that traditionally measured spreads have no relationship with trading costs.Limit Orders, Trading Activity, Transactions Costs, Electronic Trading

Hazard models with varying coefficients for multivariate failure time data

Statistical estimation and inference for marginal hazard models with varying coefficients for multivariate failure time data are important subjects in survival analysis. A local pseudo-partial likelihood procedure is proposed for estimating the unknown coefficient functions. A weighted average estimator is also proposed in an attempt to improve the efficiency of the estimator. The consistency and asymptotic normality of the proposed estimators are established and standard error formulas for the estimated coefficients are derived and empirically tested. To reduce the computational burden of the maximum local pseudo-partial likelihood estimator, a simple and useful one-step estimator is proposed. Statistical properties of the one-step estimator are established and simulation studies are conducted to compare the performance of the one-step estimator to that of the maximum local pseudo-partial likelihood estimator. The results show that the one-step estimator can save computational cost without compromising performance both asymptotically and empirically and that an optimal weighted average estimator is more efficient than the maximum local pseudo-partial likelihood estimator. A data set from the Busselton Population Health Surveys is analyzed to illustrate our proposed methodology.Comment: Published at http://dx.doi.org/10.1214/009053606000001145 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment

The behaviour of limit order quotes and trading activity are studied using a unique and rich database that includes the identity of market participants from a fully automated derivatives market. The analysis is performed using transactions records for three aggregated trader types and three trade identifiers, with trades stamped in milliseconds for the SXF, the equity futures contract of the Montreal Exchange. The identifiers distinguish trades between principals; agency based trades, as well as transactions that are conducted for risk management as opposed to speculative purposes. Agency related trades are shown to represent the largest amount of trading activity relative to other account types. Over 90% of trades in this electronic market are limit orders. The limit order book, especially the depth 1 order, has a dominant role in providing liquidity and in explaining market participants’ trading behaviour. Participants in the SXF reference their trades to the best limit order depth. Hence, investors with large positions or investors who want to build a large position have to strategically split large orders to close/build their position, according to the depth of the best limit order, to ameliorate price impact and information leakage effects. In addition, the results show that traditionally measured spreads have no relationship with trading costs

Spanning tests for small cap indexes as separate asset classes international evidence

Traditional spanning and step-down spanning tests are used to study whether or not small cap indexes in Asian and G7 countries could be separate asset classes of efficient portfolios for U.S. investors. Empirical tests on different index combinations show that the composition of a benchmark portfolio determines whether or not a small cap index could enlarge the original efficient frontier. The interaction among all assets in a portfolio is the key to the effectiveness and efficiency of a small cap index in efficient portfolios and constraints do not always reduce diversification benefits of a new asset. In addition, the time period the sample covered and length of holding time also influence the test results. Most small cap indexes of G7 countries are separate asset classes to the portfolio consisting of the popular indexes in G7 markets in our sample period. Moreover, pair-wise correlation is not an effective approach to search and study the diversification benefits. The step-down test results are consistent with empirical measures on risk and return of portfolios; this fact implies that the step-down approach, as an alternative method to correlation analysis, could be a powerful procedure to identify potential separate asset classes

Validation of Konsung Compass 2000 Dry Biochemical Analyzer

Dry biochemical analyzers have been increasingly popular in many tests by primary hospitals, field hospitals and other areas subject to economic and medical underdevelopment as well as poor transportation. With the increasing demand for POCT in primary medical care around the world, upgrading of dry biochemical analyzers has been a hot topic in technical research. Against such context, Konsung Compass2000 dry biochemical analyzer, a POCT system with high precision and accuracy, is developed. Furthermore, the upgraded dry biochemical analyzers can, in a more convenient and accurate way, monitor glucose, lipid and other indices affecting the course of chronic diseases

Effects of Disorder On Thouless Pumping In Higher-Order Topological Insulators

We investigate the effects of random onsite disorder on higher-order Thouless pumping of noninteracting fermionic Benalcazar-Bernevig-Hughes (BBH) model. The interplay of disorderinduced topological phase transition and delocalization-localization transition is extensively explored. The higher-order Thouless pumping is characterized by the quantized corner-to-corner charge transport and nonzero Chern number, and the delocalization-localization transition is analyzed by utilizing both inverse participation ratio and energy-level statistics. The results show that the quantized corner-to-corner charge transport is broken in the strong disorder, where the instantaneous bulk energy gap is closed due to effects of disorder. While, although the instantaneous eigenstates are localized, the charge transport remains quantized. This is attributed to delocalized Floquet states caused by the periodic driving. Furthermore, the phase transition from the quantized charge transport to topologically trivial pumping is accompanied by the disorder-induced delocalization-localization transition of Floquet states.Comment: 8 pages, 7figure

Performance analysis of high-speed railway communication systems subjected to co-channel interference and channel estimation errors

The performance of high-speed railway wireless communication systems is studied in the presence of co-channel interference and imperfect channel estimation in the uplink. The authors derive exact closed-form expressions for the outage probability and investigate the impact of fading severity. New explicit expressions are derived for both the level crossing rate and average outage duration for illustrating the impact of mobile speed and channel estimation errors on the achievable system performance. Our results are generalised and hence they subsume a range of previously reported results