Market efficiency reloaded: why insider trades do not reveal exploitable information

Insider trading studies related to the German market have emphasized that outside investors may earn excess returns by mimicking the transactions of corporate directors. Such a result, provided that it holds, would constitute a serious violation of the efficient market hypothesis. The results presented in this paper, though, show that this anomaly is mainly caused by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid/ask-spread, we show that the information conveyed by insider trades cannot be exploited in terms of generating abnormal returns once these transaction costs are taken into account. We conclude that the market's under-reaction to reported insider trades can mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market is efficient with respect to insider trades in the sense that prices reflect publicly available information to the point where the marginal benefit of acting on information exceeds marginal costs. --Insider Trading,Directors' Dealings,Arbitrage Risk,Market Efficiency

The impact of order size on stock liquidity: a representative study

Liquidity, the ease of trading an asset, strongly varies between different sizes of stock positions. We analyze this aspect using the Xetra Liquidity Measure (XLM), which calculates daily, weighted spread for impatient traders transacting against the limit order book. For this measure, we have data for 160 German stocks over 5.5 years, which allows us a representative analysis of the order-size impact on liquidity cost and its main statistical characteristics. We find that in the sample period average liquidity costs rose to over 100bp in large DAX and to 460bp in large SDAX positions. Over the last 5.5 years, liquidity has equally improved across all order sizes. Liquid position sizes, however, suffered less badly during the recent sub-prime crises, which represents another type of the flight-to-liquidity. As the basis for further theoretical analysis, we find that trends in liquidity levels and inefficiencies in liquidity prices of large positions generate non-normality in the liquidity distribution. We also show that - as a rule of thumb - liquidity of an order size relative to market value and transaction volume is constant across stocks and time. While order size is not the most important liquidity determinant, doubling order size increases liquidity cost by 5-10% on average when accounting for other differences in stocks. --asset liquidity,liquidity cost,price impact,weighted spread,Xetra liquidity measure (XLM)

Why and how to integrate liquidity risk into a VaR-framework

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using a unique, representative data set provided by Deutsche Boerse AG, we find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for liquid DAX stocks. We also show that the common approach of simply adding liquidity risk to price risk substantially overestimates total risk because correlation between liquidity and price is neglected. Our results are robust with respect to changes in risk measure, to sample periods and to effects of portfolio diversification. --asset liquidity,price impact,weighted spread,Xetra Liquidity Measure (XLM),Value-at-Risk,market liquidity risk

Market liquidity risk: an overview

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment of liquidity risk is still under development. This paper provides an overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market liquidity risk into risk frameworks. We place special emphasis on practical usability and discuss relevant strengths, weaknesses and their implications. --asset liquidity,liquidity cost,price impact,Xetra liquidity measure (XLM),risk measurement,Value-at-Risk, market liquidity risk,overview

Untersuchung von Adsorptions- und Vergiftungsprozessen in HT-PEM-Brennstoffzellen unter realistischen Betriebsbedingungen

In der PEM-Brennstoffzellenforschung ist die Untersuchung der Aktivität und Stabilität der verwendeten Katalysatorsysteme von großer Bedeutung. Während aber die grundlegenden Reaktionen unter definierten Bedingungen (Einkristalloberflächen, bestimmter pH-Wert und Elektrolytkonzentration) und bei Raumtemperatur weitestgehend verstanden sind, ist die Vergleichbarkeit von diesen Laborergebnissen mit den realen Betriebsbedingungen einer Brennstoffzelle nicht gegeben. Eine Möglichkeit um diese Diskrepanz zwischen Laborexperiment und Brennstoffzellenversuch zu überbrücken, wird in dieser Arbeit am Beispiel der Hochtemperatur-PEM-Brennstoffzelle aufgezeigt. Die Durchführung von Röntgenabsorptionsspektroskopie(XAS)-Messungen erlaubte die Charakterisierung des verwendeten rußgeträgerten Platinkatalysators während des Brennstoffzellenbetriebs. Der Vorteil dieser Methode liegt darin begründet, dass weder eine Fernordnung der untersuchten Probe, noch Ultrahochvakuum(UHV)-Bedingungen im Messaufbau vorhanden sein müssen. Der Katalysator konnte somit direkt im Betrieb analysiert werden. Mit Hilfe der Δμ-XANES-Auswertemethode war es möglich, unterschiedliche Adsorbate auf der Platinoberfläche zu identifizieren und ihr Adsorptionsverhalten in Abhängigkeit der Umgebungsparameter zu studieren. Des Weiteren erlaubten Wasserstoff-Pump- und Referenzelektrodenmessungen die Bestimmung der unabhängigen Anoden- und Kathodenpotentiale, wodurch die Vergleichbarkeit der Ergebnisse mit Literaturdaten ermöglicht wurde. Die Arbeit gliedert sich in drei Kapitel: Bestimmung der Elektrodenpotentiale, XAS-Untersuchungen bezüglich der Brennstoffzellenanode und XAS-Untersuchungen auf der Kathode. Eine detailliertere Differenzierung der Kapitel erfolgt durch die jeweils verwendeten Anodengase. Deren Zusammensetzung variierte von reinem Wasserstoff, über den Zusatz von CO bis zu einer Mischung aus Wasserstoff, CO und H2O. Das Hauptaugenmerk im normalen Wasserstoff/Luft-Betrieb lag auf der Bestimmung der Überpotentiale in unterschiedlichen Betriebspunkten. Des Weiteren konnte die Phosphorsäureadsorption auf der Kathode bezüglich des vorherrschenden Potentials, der Temperatur, des Trägermaterials des Katalysators sowie der Phosphorsäurebeladung der Elektrode bestimmt werden. Untersuchungen des Einflusses von unterschiedlichen CO-Konzentrationen im Anodengas auf den CO-Bedeckungsgrad des Katalysators konnten Aufschluss darüber geben, inwieweit dieser mit den Überpotentialen und dem Leistungsverlust der Zelle zusammenhängt. Die gewonnenen Erkenntnisse deuten darauf hin, dass nicht nur die Anode von CO vergiftet wird, sondern dass CO auch das Kathodenüberpotential negativ beeinflusst. Um herauszufinden, ob es Betriebsbedingungen gibt, die eine vorhandene CO-Vergiftung wieder beseitigen können, wurden Versuche mit befeuchtetem Anodengas durchgeführt. Auftretende Oszillationen des Anodenpotentials sowie die Ergebnisse der Röntgenabsorptionsspektroskopie deuten darauf hin, dass zusätzliches Wasser im Anodengas eine CO-Elektrooxidation bei hohen Anodenpotentialen begünstigen kann. Verbunden ist diese Oxidation mit einer Reduktion des CO-Bedeckungsgrades auf dem Katalysator. Die im Rahmen dieser Arbeit erzielten Ergebnisse zeigen deutlich, dass es möglich ist HT-PEM-Brennstoffzellenkatalysatoren während des Betriebs und unter realen Bedingungen zu untersuchen. Neben der Identifizierung der Adsorbate war es ebenfalls möglich, ihr Adsorptionsverhalten bei wechselnden Randbedingungen zu verfolgen. Die Bestimmung der Elektrodenpotentiale erlaubte einen direkten Vergleich zwischen Literaturdaten und den gewonnenen Resultaten. Insgesamt konnte gezeigt werden, dass die Adsorbatbelegung über die Betriebsbedingungen der Brennstoffzelle signifikant beeinflusst werden kann und dadurch eine Reduzierung der auftretenden Katalysatorvergiftung möglich ist

Importance of Fuel Cell Tests for Stability Assessment - Suitability of Titanium Diboride as an Alternative Support Material

Carbon corrosion is a severe issue limiting the long-term stability of carbon- supported catalysts, in particular in the highly dynamic conditions of automotive applications. (Doped) oxides have been discussed as suitable alternatives to replace carbon, but often suffer from poor electron conductivity. That is why non-oxide ceramics, such as tungsten carbide and titanium nitride, have been discussed recently. Titanium diboride has also been proposed, due to its promising activity and stability in an aqueous electrochemical cell. In this work, Pt nanoparticles were deposited onto μm- sized TiB2 particles with improved grain size, manufactured into porous gas diffusion electrodes and tested in a realistic polymer electrolyte membrane (PEM) fuel cell environment. In contrast to the model studies in an aqueous electrochemical cell, in the presence of oxygen and high potentials at the cathode side of a real fuel cell, TiB2 becomes rapidly oxidized as indicated by intensely colored regions in the membrane-electrode assembly (MEA). Moreover, already the electrode manufacturing process led to the formation of titanium oxides, as shown by X-ray diffraction measurements. This demonstrates that Cyclic Voltammetry (CV) measurements in an aqueous electrochemical cell are not sufficient to prove stability of novel materials for fuel cell applications

Central versus Peripheral Postcardiotomy Veno-Arterial Extracorporeal Membrane Oxygenation: Systematic Review and Individual Patient Data Meta-Analysis

Background: It is unclear whether peripheral arterial cannulation is superior to central arterial cannulation for postcardiotomy veno-arterial extracorporeal membrane oxygenation (VA-ECMO). Methods: A systematic review was conducted using PubMed, Scopus, and Google Scholar to identify studies on postcardiotomy VA-ECMO for the present individual patient data (IPD) meta-analysis. Analysis was performed according to the intention-to-treat principle. Results: The investigators of 10 studies agreed to participate in the present IPD meta-analysis. Overall, 1269 patients were included in the analysis. Crude rates of in-hospital mortality after central versus peripheral arterial cannulation for VA-ECMO were 70.7% vs. 63.7%, respectively (adjusted OR 1.38, 95% CI 1.08–1.75). Propensity score matching yielded 538 pairs of patients with balanced baseline characteristics and operative variables. Among these matched cohorts, central arterial cannulation VA-ECMO was associated with significantly higher in-hospital mortality compared to peripheral arterial cannulation VA-ECMO (64.5% vs. 70.8%, p = 0.027). These findings were confirmed by aggregate data meta-analysis, which showed that central arterial cannulation was associated with an increased risk of in-hospital mortality compared to peripheral arterial cannulation (OR 1.35, 95% CI 1.04–1.76, I2 21%). Conclusions: Among patients requiring postcardiotomy VA-ECMO, central arterial cannulation was associated with an increased risk of in-hospital mortality compared to peripheral arterial cannulation. This increased risk is of limited magnitude, and further studies are needed to confirm the present findings and to identify the mechanisms underlying the potential beneficial effects of peripheral VA-ECMO

The impact of direct oral anticoagulants on viscoelastic testing – A systematic review

Background: In case of bleeding patients and in acute care, the assessment of residual direct oral anticoagulant (DOAC) activity is essential for evaluating the potential impact on hemostasis, especially when a timely decision on urgent surgery or intervention is required. Viscoelastic tests are crucial in a modern goal-directed coagulation management to assess patients' coagulation status. However, the role of viscoelastic test to detect and quantify residual DOAC plasma levels is controversially discussed. The aim of this review was to systematically summarize the evidence of viscoelastic tests for the assessment of residual DOAC activity. Method: PubMed, Embase, Scopus, and the Cochrane Library were searched for original articles investigating the effect of rivaroxaban, apixaban, edoxaban, or dabigatran plasma levels on different viscoelastic tests of the adult population from database inception to December 31, 2021. Results: We included 53 studies from which 31 assessed rivaroxaban, 22 apixaban, six edoxaban, and 29 dabigatran. The performance of viscoelastic tests varied across DOACs and assays. DOAC specific assays are more sensitive than unspecific assays. The plasma concentration of rivaroxaban and dabigatran correlates strongly with the ROTEM EXTEM, ClotPro RVV-test or ECA-test clotting time (CT) and TEG 6s anti-factor Xa (AFXa) or direct thrombin inhibitor (DTI) channel reaction time (R). Results of clotting time (CT) and reaction time (R) within the normal range do not reliable exclude relevant residual DOAC plasma levels limiting the clinical utility of viscoelastic assays in this context. Conclusion: Viscoelastic test assays can provide fast and essential point-of-care information regarding DOAC activity, especially DOAC specific assays. The identification and quantification of residual DOAC plasma concentration with DOAC unspecific viscoelastic assays are not sensitive enough, compared to recommended anti-Xa activity laboratory measurements. Systematic review registration: [https://www.crd.york.ac.uk/prospero/display_record.php?RecordID=320629], identifier [CRD42022320629]. Keywords: ClotPro; DOAC; FII inhibitor; FXa inhibitor; ROTEM; TEG; point-of-car

Predicting Survival for Veno-Arterial ECMO Using Conditional Inference Trees-A Multicenter Study

BACKGROUND Despite increasing use and understanding of the process, veno-arterial extracorporeal membrane oxygenation (VA-ECMO) therapy is still associated with considerable mortality. Personalized and quick survival predictions using machine learning methods can assist in clinical decision making before ECMO insertion. METHODS This is a multicenter study to develop and validate an easy-to-use prognostic model to predict in-hospital mortality of VA-ECMO therapy, using unbiased recursive partitioning with conditional inference trees. We compared two sets with different numbers of variables (small and comprehensive), all of which were available just before ECMO initiation. The area under the curve (AUC), the cross-validated Brier score, and the error rate were applied to assess model performance. Data were collected retrospectively between 2007 and 2019. RESULTS 837 patients were eligible for this study; 679 patients in the derivation cohort (median (IQR) age 60 (49 to 69) years; 187 (28%) female patients) and a total of 158 patients in two external validation cohorts (median (IQR) age 57 (49 to 65) and 70 (63 to 76) years). For the small data set, the model showed a cross-validated error rate of 35.79% and an AUC of 0.70 (95% confidence interval from 0.66 to 0.74). In the comprehensive data set, the error rate was the same with a value of 35.35%, with an AUC of 0.71 (95% confidence interval from 0.67 to 0.75). The mean Brier scores of the two models were 0.210 (small data set) and 0.211 (comprehensive data set). External validation showed an error rate of 43% and AUC of 0.60 (95% confidence interval from 0.52 to 0.69) using the small tree and an error rate of 35% with an AUC of 0.63 (95% confidence interval from 0.54 to 0.72) using the comprehensive tree. There were large differences between the two validation sets. CONCLUSIONS Conditional inference trees are able to augment prognostic clinical decision making for patients undergoing ECMO treatment. They may provide a degree of accuracy in mortality prediction and prognostic stratification using readily available variables

Predictors associated with mortality of extracorporeal life support therapy for acute heart failure: single-center experience with 679 patients

Background: Extracorporeal life support (ECLS) therapy is increasingly used for cardiac and respiratory support postcardiotomy, refractory cardiogenic shock and cardiopulmonary resuscitation. This study aims to describe in-hospital mortality of patients requiring ECLS, identify independent predictors associated with mortality and analyze changes of mortality over time. Methods: This retrospective study includes all adult ECLS cases at the University Hospital Zurich, a designated ECLS center in Switzerland, in the period 2007 to 2019. Results: ECLS therapy was required in 679 patients (median age 60 years, 27.5% female). In-hospital mortality was 55.5%. Cubic spline interpolation did not detect evidence for a change in mortality over the whole period of 13 years. In-hospital mortality significantly varied between ECLS indications: 70.7% (152/215) for postcardiotomy, 67.9% (108/159) for cardiopulmonary resuscitation, 47.0% (110/234) for refractory cardiogenic shock, and 9.9% (7/71) for lung transplantation and expansive thoracic surgery (P<0.001). Logistic regression modelling showed excellent discrimination in the receiver operating characteristic (ROC) area under the curve (AUC) of 0.89 [95% confidence interval (CI): 0.87-0.92] and identified significant mortality predictors: age, simplified acute physiology score (SAPS) II, as well as new liver failure and each allogenic blood transfusion unit given per day. ECLS after cardiopulmonary resuscitation was associated with significantly higher mortality compared to ECLS for refractory cardiogenic shock. Conclusions: In-hospital mortality of patients treated with ECLS therapy is high. Outcomes have not changed significantly in the observed period. We identified age, SAPS II, new liver failure and each allogenic blood transfusion unit given per day as independent mortality predictors. Knowledge of predictors strongly associated with in-hospital mortality may affect future decisions about ECLS indications and the respective management to use this elaborate therapy more effectively. Keywords: Extracorporeal circulation; extracorporeal life support (ECLS)/extracorporeal membrane oxygenation (ECMO); mortality; outcome; predictor