Relative Volume as a Doubly Stochastic Binomial Point Process

If intra-day volume is modelled as a Cox point process, then relative intra-day cumulative volume (intra-day cumulative volume divided by final total volume) is shown to be a novel generalization of a binomial point process; the doubly stochastic binomial point process. Re-scaling the intra-day traded volume to a relative volume between 0 (no volume traded) and 1 (daily trading completed) allows empirical intra-day volume distribution information for all stocks to be used collectively to estimate and identify the random intensity component of the binomial point process and closely related Cox point process. This is useful for Volume Weighted Average Price (VWAP) traders who require a stochastic model of relative intra-day cumulative volume to implement risk-optimal VWAP trading strategies.binomial; point process; doubly stochastic; relative volume; Cox process, random probability measure; VWAP; volume weighted average pricing; NYSE; New York Stock Exchange

Optimal VWAP Trading Strategy and Relative Volume

Volume Weighted Average Price (VWAP) for a stock is total traded value divided by total traded volume. It is a simple quality of execution measurement popular with institutional traders to measure the price impact of trading stock. This paper uses classic mean-variance optimization to develop VWAP strategies that attempt to trade at better than the market VWAP. These strategies exploit expected price drift by optimally `front-loading' or `back-loading' traded volume away from the minimum VWAP risk strategy.

The Program on Science, Technology and Environmental Policy: A Research Agenda for the Next Generation of Environmental Regulation

In the view of many industry representatives there already exist technologies with improved environmental attributes for which it has not been possible to get regulatory approval or even concerted regulatory review. Is technology now getting well ahead of regulation? Can the regulatory approval process for new technologies keep up with the opportunities for innovation? There is a clear need for an objective, credible institutional base for evaluating technologies that are needed to address contemporary and long-term environmental problems. The Program in Science Technology and Environmental Policy (PSTEP) being launched at MIT seeks to be an important part of that institutional base. If the manufacturers claims can be verified, and if the potential benefits of more rapid technological innovation are significant, then industry should aggressively support programs like PSTEP that present the ability to gain timely, credible and reliable technology assessments. In order to shape the regulatory process and hasten regulatory reviews, the research products created through PSTEP must be aggressively communicated to stakeholders, and we would like to solicit input and support from industry and government to move this initiative forward. PSTEP is being designed as an academic initiative to allow graduate engineering students to do thesis work on specific environmental policy issues that are science and technology intensive. PSTEP students and faculty will work with the U.S. Environmental Protection Agency and Industry representatives to develop specific research topics and to collaborate on the decision making process. Students in the program will be jointly supervised by engineering and social science faculty, which represents a significant shift from traditional thesis work. PSTEP may assist EPA in improving its capacity for technology assessment. So much of the criticism of EPAs analytic capabilities focus on risk assessment, but at least as important is its limited capacity to evaluate technologies for their risk mitigation potential. And risk mitigation assessments must go well beyond the typical focus on a particular technologys ability to mitigate a particular risk or only on the risk directly posed by that technology. At least five sets of issues, and the tradeoffs among them, must be addressed: · Risk versus risk tradeoffs of new technologies · Potential for production efficiency gains from new products and processes · The environmental impacts of changes in supply chains due to product substitutions · Monitoring and enforcement efficiencies arising from new product and process technologies · Environmental performance incentives associated with technological innovation This whitepaper, based on findings of a workshop held at MIT on November 1st, 2001, provides background for the issues that the program will explore and proposes ways in which the PSTEP initiative working with partners in government and industry can address these issues.Laboratory for Energy and Environment, Center for International Stuide

Catalysing organisational change within complex networks in the English National Health Service (NHS): an ethnographic account of disciplinary power

The English National Health Service (NHS) is a complex system, subject to constant change and organisational turmoil. In order for the NHS to deliver care that meets the needs of patients, it needs to be able to effectively manage organisational change. However, the existing literature emphasises planned approaches to change, which are not always suitable for such a complex environment and often fail to take into account underlying power dynamics. Adopting an explicitly Foucauldian research paradigm, the purpose of this research was therefore to explore how individual change leaders engage with power to facilitate the delivery of organisational change within network environments. Utilising an insider ethnographic research design, data was gathered from the Researcher’s substantive workplace within the English NHS. Taking place over 14 months between 2019 and 2020, the Researcher gathered over 200 hours’ worth of data and produced over 3000 pages of transcripts, utilising a combination of participant observation, interviews and document analysis. To support this triangulated approach to data collection, the Researcher established a forum to enable participants to have input into the emerging research in real-time, which provided multiple opportunities for debate and discussion. The Researcher also capitalised upon their status as a member of the community, to engage in deep and sustained reflexive practice, which added to the richness of the data. When viewed through a Foucauldian lens, the findings suggested that change leaders were able to engage with disciplinary power via the use of technologies, specific power/knowledge constructs that could be deployed to achieve specific effects. These power effects shaped how individuals worked upon their identities to become productive within a change management context. This complex dynamic, which also included the Researcher shaping themselves as a productive subject, had varying manifestations at the individual, team and network level which shaped how organisational change took place within the network environment. Conceptualising change management as a process of mobilising productive subjectivities therefore has significant implications for how change is approached within healthcare and other public administration settings