Evidence of in-play insider trading on a UK betting exchange

International audienceAn open question in market microstructure is whether 'informed' traders have an advantage due to access to private, inside, information; or due to a superior ability to process public information. In this paper we attempt to answer this question with data from a sports betting exchange taken during play. Uniquely, this allows us to time-stamp information events to the nearest second, and to ensure we are observing all relevant information regarding the value of an asset. We find evidence of inside information but not of a superior ability to process public information. The first finding suggests that a subset of the betting population are observing the action before the wider public (possibly due to delays in the television signal), and betting using this informational advantage

Demographic responses of raccoons to varying exploitation rates

The Cox\u27s proportional hazards model indicated higher harvest levels significantly increased mortality of birth-year (BY) raccoons but not of animals ≥1 year old (ABY). Mortality of ABY males was significantly greater than that of ABY females. Hunters had a marginally significant (P = 0.10) effect on harvest mortality of BY raccoons but neither hunters nor trappers contributed significantly to harvest mortality rate of ABY raccoons. Activity and behavior patterns may contribute to greater harvest mortality of BY raccoons and ABY male raccoons;Monte Carlo simulations were done to investigate bias, efficiency and confidence interval coverage of the Kaplan-Meier (KM) and Heisey-Fuller (HF) survival estimators under a variety of conditions. Simulations explored robustness of HF to violation of a constant hazard rate in a time interval by allowing the hazard to decrease during an interval and by incorrectly identifying interval length. HF was not robust to a decreasing hazard unless survival was high during that interval. With low interval survival, HF had large negative bias and poor coverage. HF was partially robust to incorrect identification of interval length. Incorrectly identifying interval length or a decreasing hazard had little effect on KM. This indicates use of KM unless data clearly follow a piecewise exponential distribution with distinct intervals;Increasing harvest rate from a mean of 29% during 1983-85 to a mean of 48% in 1986-88 did not reduce population size. I found no density-dependent effects of increased harvest on pregnancy rates or litter size. Increased harvest seemed additive to natural mortality in BY raccoons but acted in a compensatory fashion among ABY animals

Common Factors in Prices, Order Flows and Liquidity

How important are cross-stock common factors in the price discovery/liquidity provision process in equity markets? We investigate two aspects of this question for the thirty Dow stocks. First, using principal components and canonical correlation analyses we find that both returns and order flows are characterized by common factors. Commonality in the order flows explains roughly half of the commonality in returns. Second, we examine variation and common covariation in various liquidity proxies and market depth (trade impact) coefficients. Liquidity proxies such as the bid-ask spread and bid-ask quote sizes exhibit time variation which helps explain time variation in trade impacts. The common factors in these liquidity proxies are relatively small, however

In whose best interest? An agent-based model of high frequency trading

We study a stylized model of High Frequency Trading in which traders equipped with private values and costs operate in a Continuous Double Auction. They can revise their orders with different frequencies and, hence, (only) some agents can repeatedly revise and resubmit orders in the same session, mimicking the behavior of high frequency traders. All agents attempt to maximize profits, learning which bid and ask is to be posted in a given configuration of the book. We analyze the efficiency of the resulting market and the way the surplus from trading is apportioned among agents as a function of the number and type of high frequency traders. We find that the presence of a small proportion of high frequency traders increases the overall efficiency of the market; secondly, the ones who have the chance to frequently revise the offers learn to extract a disproportionate fraction of the profits that ordinarily would belong to slow traders

Quantifying Stock Price Response to Demand Fluctuations

We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $\Delta t$ and two different measures of demand fluctuations: (a) $\Phi$, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) $\Omega$, defined as the difference in number of shares traded in buyer and seller initiated trades. We find that the conditional expectations $<G >_{\Omega}$ and $_{\Phi}$ of price change for a given $\Omega$ or $\Phi$ are both concave. We find that large price fluctuations occur when demand is very small --- a fact which is reminiscent of large fluctuations that occur at critical points in spin systems, where the divergent nature of the response function leads to large fluctuations.Comment: 4 pages (multicol fomat, revtex

The Relationship of Nutritional Factors to Apple Tree Root Damage by Pine Voles

Damage to apple tree roots by pine voles is believed to occur primarily during the winter months. Cengel et a1. (1978) found that the stomachs of pine voles contained significant amounts of root material only during January and March sampling periods. In addition, the diet of pine voles at that time consisted primarily of less preferred grass species because preferred forb species were unavailable. Therefore, apple tree roots may serve as a food source in the winter when preferred forages are unavailable. If, in fact, pine voles are consuming roots in response to reduced food supplies, then one would expect the nutritional quality of the diets of pine voles to be its lowest during the winter. The objective of this study was to determine if there was a winter decline in the digestibility of the diet of the pine vole

Influence of Apples on Population Density, Body Weights, and Reproductive Organ Weights in Pine Voles

Previous field studies at Virginia Tech have found differences in reproductive output of pine voles in abandoned and maintained orchards. Cengel et a1. (1978), trapping in northern Virginia, found higher levels of reproduction in a maintained orchard than in an abandoned orchard. The breeding season of voles extended into winter in the maintained orchard but ceased in late fall and winter in the abandoned orchard. Noffsinger (1976), working in orchards near Roanoke, Virginia, found a higher fatality rate in the maintained orchard and a year-round breeding season; however, the percentage of pregnant females declined in winter. Reproduction was lower in the abandoned orchard in late fall and winter with no pregnant females caught in March

Market impact and trading profile of large trading orders in stock markets

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power-law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.Comment: 9 pages, 7 figure

The Northwest Tropical Atlantic Station (NTAS): NTAS-19 Mooring Turnaround Cruise Report Cruise On Board RV Ronald H. Brown October 14 - November 1, 2020

The Northwest Tropical Atlantic Station (NTAS) was established to address the need for accurate air-sea flux estimates and upper ocean measurements in a region with strong sea surface temperature anomalies and the likelihood of significant local air–sea interaction on interannual to decadal timescales. The approach is to maintain a surface mooring outfitted for meteorological and oceanographic measurements at a site near 15°N, 51°W by successive mooring turnarounds. These observations will be used to investigate air–sea interaction processes related to climate variability. This report documents recovery of the NTAS-18 mooring and deployment of the NTAS-19 mooring at the same site. Both moorings used Surlyn foam buoys as the surface element. These buoys were outfitted with two Air–Sea Interaction Meteorology (ASIMET) systems. Each system measures, records, and transmits via Argos satellite the surface meteorological variables necessary to compute air–sea fluxes of heat, moisture and momentum. The upper 160 m of the mooring line were outfitted with oceanographic sensors for the measurement of temperature, salinity and velocity. Deep ocean temperature and salinity are measured at approximately 38 m above the bottom. The mooring turnaround was done on the National Oceanic and Atmospheric Administration (NOAA) Ship Ronald H. Brown, Cruise RB-20-06, by the Upper Ocean Processes Group of the Woods Hole Oceanographic Institution. The cruise took place between 14 October and 1 November 2020. The NTAS-19 mooring was deployed on 22 October, with an anchor position of about 14° 49.48° N, 51° 00.96° W in 4985 m of water. A 31-hour intercomparison period followed, during which satellite telemetry data from the NTAS-19 buoy and the ship’s meteorological sensors were monitored. The NTAS-18 buoy, which had gone adrift on 28 April 2020, was recovered on 20 October near 13° 41.96° N, 58° 38.67° W. This report describes these operations, as well as other work done on the cruise and some of the pre-cruise buoy preparations.Funding was provided by the National Oceanic and Atmospheric Administration under Grant No. NA19OAR4320074