Waiting times between orders and trades in double-auction markets

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.Comment: 19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester, U

Why is order flow so persistent?

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally.Comment: 42 pages, 15 figure

Economic analysis of alternative nutritional management of dual-purpose cow herds in central coastal Veracruz, Mexico

Market information was combined with predicted input–output relationships in an economic analysis of alternative nutritional management for dual-purpose member herds of the Genesis farmer organization of central coastal Veracruz, Mexico. Cow productivity outcomes for typical management and alternative feeding scenarios were obtained from structured sets of simulations in a companion study of productivity limitations and potentials using the Cornell Net Carbohydrate and Protein System model (Version 6.0). Partial budgeting methods and sensitivity analysis were used to identify economically viable alternatives based on expected change in milk income over feed cost (change in revenues from milk sales less change in feed costs). Herd owners in coastal Veracruz have large economic incentives, from $584 to$1,131 in predicted net margin, to increase milk sales by up to 74% across a three-lactation cow lifetime by improving diets based on good quality grass and legume forages. This increment is equal to, or exceeds, in value the total yield from at least one additional lactation per cow lifetime. Furthermore, marginal rates of return (change in milk income over feed costs divided by change in variable costs when alternative practices are used) of 3.3 ± 0.8 indicate clear economic incentives to remove fundamental productivity vulnerabilities due to chronic energy deficits and impeded growth of immature cows under typical management. Sensitivity analyses indicate that the economic outcomes are robust for a variety of market conditions

Death anxiety in patients with metastatic non-small cell lung cancer with and without brain metastases

Context: Death anxiety is common in patients with metastatic cancer, but its relationship to brain metastases and cognitive decline is unknown. Early identification of death anxiety and its determinants allows proactive interventions to be offered to those in need. Objectives: To identify psychological, physical, and disease-related (including brain metastases and cognitive impairment) factors associated with death anxiety in metastatic non-small cell lung cancer (mNSCLC) patients. Methods: A cross-sectional pilot study with mNSCLC outpatients completing standardized neuropsychological tests and validated questionnaires measuring death anxiety, cognitive concerns, illness intrusiveness, depression, demoralization, self-esteem, and common cancer symptoms. We constructed a composite for objective cognitive function (mean neuropsychological tests z-scores). Results: Study measures were completed by 78 patients (50% females; median age 62 years [range 37–82]). Median time since mNSCLC diagnosis was 11 months (range 0–89); 53% had brain metastases. At least moderate death anxiety was reported by 43% (n = 33). Objective cognitive impairment was present in 41% (n = 32) and perceived cognitive impairment in 27% (n = 21). Death anxiety, objective, and perceived cognitive impairment did not significantly differ between patients with and without brain metastases. In univariate analysis, death anxiety was associated with demoralization, depression, self-esteem, illness intrusiveness, common physical cancer symptoms, and perceived cognitive impairment. In multivariate analysis, demoralization (P < 0.001) and illness intrusiveness (P = 0.001) were associated with death anxiety. Conclusion: Death anxiety and brain metastases are common in patients with mNSCLC but not necessarily linked. The association of death anxiety with both demoralization and illness intrusiveness highlights the importance of integrated psychological and symptom management. Further research is needed on the psychological impact of brain metastases

Cost of the Diet: a method and software to calculate the lowest cost of meeting recommended intakes of energy and nutrients from local foods

Background When food is available, the main obstacle to access is usually economic: people may not be able to afford a nutritious diet, even if they know what foods to eat. The Cost of the Diet method and software was developed to apply linear programming to better understand the extent to which poverty may affect people’s ability to meet their nutritional specifications. This paper describes the principles of the method; the mathematics underlying the linear programming; the parameters and assumptions on which the calculations are based; and then illustrates the output of the software using examples taken from assessments. Results The software contains five databases: the energy and nutrient content of foods; the energy and nutrient specifications of individuals; predefined groups of individuals in typical households; the portion sizes of foods; and currency conversion factors. Data are collected during a market survey to calculate the average cost of foods per 100 g while focus group discussions are used to assess local dietary habits and preferences. These data are presented to a linear programming solver within the software which selects the least expensive combination of local foods for four standard diets that meet specifications for: energy only; energy and macronutrients; energy, macronutrients and micronutrients; and energy, macronutrients and micronutrients but with constraints on the amounts per meal that are consistent with typical dietary habits. Most parameters in the software can be modified by users to examine the potential impact of a wide range of theoretical interventions. The output summarises for each diet the costs, quantity and proportion of energy and nutrient specifications provided by all the foods selected for a given individual or household by day, week, season and year. When the cost is expressed as a percentage of income, the affordability of the diet can be estimated. Conclusions The Cost of the Diet method and software could be used to inform programme design and behaviour change communication in the fields of nutrition, food security, livelihoods and social protection as well as to influence policies and advocacy debates on the financial cost of meeting energy and nutrient specifications

Limitations and potentials of dual-purpose cow herds in Central Coastal Veracruz, Mexico

Feed chemical and kinetic composition and animal performance information was used to evaluate productivity limitations and potentials of dual-purpose member herds of the Genesis farmer organization of central coastal Veracruz, Mexico. The Cornell Net Carbohydrate and Protein System model (Version 6.0) was systematically applied to specific groups of cows in structured simulations to establish probable input–output relationships for typical management, and to estimate probable outcomes from alternative management based on forage-based dietary improvements. Key herd vulnerabilities were pinpointed: chronic energy deficits among dry cows of all ages in late gestation and impeded growth for immature cows. Regardless of the forage season of calving, most cows, if not all, incur energy deficits in the final trimester of gestation; thus reducing the pool of tissue energy and constraining milking performance. Under typical management, cows are smaller and underweight for their age, which limits feed intake capacity, milk production and the probability of early postpartum return to ovarian cyclicity. The substitution of good-quality harvested forage for grazing increased predicted yields by about one-third over typical scenarios for underweight cows. When diets from first parturition properly supported growth and tissue repletion, milk production in second and third lactations was predicted to improve about 60%. Judiciously supplemented diets based on good quality grass and legume forages from first calving were predicted to further increase productivity by about 80% across a three-lactation cow lifetime. These dual-purpose herd owners have large incentives to increase sales income by implementing nutritional strategies like those considered in this study

Atherosclerotic pattern of coronary myocardial bridging assessed with CT coronary angiography

The aim of our study was to evaluate the atherosclerotic pattern of patients with coronary myocardial bridging (MB) by means of CT Coronary Angiography (CT-CA). 254 consecutive patients (166 male, mean age 58.6 ± 10.3) who underwent 64-slice CT-CA according to current clinical indications were reviewed for the presence of MB and concomitant segmental atherosclerotic pattern. Coronary plaques were assessed in all patients enrolled. 73 patients (29%) presented single (90%) or multiple (10%) MB, frequently (93%) localized in the mid-distal left anterior descending artery. The MB segment was always free of atherosclerosis. Segments proximal to the MB presented: no atherosclerotic disease (n = 37), positive remodeling (n = 23), 50% stenoses (n = 7). Distal segments presented a different atherosclerosis pattern (P < 0.0001): absence of disease (n = 73), no significant lesions (n = 8). No significant differences were found between segments proximal to MB and proximal coronary segments apart from left main trunk. Pattern of atherosclerotic lesions located in segments 6 and 7 significantly differs between patients with MB and patients without MB (P < 0.05). CT-CA is a reliable method to non-invasively demonstrate MB and related atherosclerotic pattern. CT-CA provides new insight regarding atherosclerosis distribution in segments close to MB