15 research outputs found
The quality of commodity markets
Diese Dissertation untersucht die QualitĂ€t, d.h. sowohl die LiquiditĂ€t als auch die Preiseffizienz, von Warentermin- und OptionsmĂ€rkten. Kapitel 1 fĂŒhrt in das Thema ein und gibt einen Ăberblick. In Kapitel 2 werden die am besten geeigneten Niederfrequenz-Proxies fĂŒr die Analyse der QualitĂ€t von RohstoffmĂ€rkten identifiziert. Wir verwenden eine 11-jĂ€hrige Stichprobe von Orderbuchdaten im Millisekundenbereich und untersuchen die Korrelation von hochfrequenten LiquiditĂ€ts- und PreiseffizienzmaĂen mit niederfrequenten SchĂ€tzwerten, die mit tĂ€glichen oder 5-minĂŒtigen Time-and-Sales-Daten (TAS) gemessen werden. Wir stellen fest, dass fĂŒr die LiquiditĂ€t VolatilitĂ€t-ĂŒber-Volumen-MaĂe die besten NĂ€herungswerte fĂŒr die Geld-Brief-Spanne und den Preiseinfluss sind. Die Korrelation der PreiseffizienzmaĂe mit ihren Pendants in der Tagesfrequenz ist gering. MĂ€Ăig korrelierte NĂ€herungswerte können durch die Verwendung von 5-Minuten-Daten erreicht werden. Kapitel 3 untersucht die QualitĂ€t der WarenterminmĂ€rkte unter Verwendung der zuvor ermittelten besten SchĂ€tzern. Wir untersuchen die Auswirkungen von zwei wichtigen VerĂ€nderungen: (1) Der Zustrom von Indexinvestoren nach 2004 (Finanzialisierung) und (2) die EinfĂŒhrung des Parallelhandels von Parkett- und elektronischen Limit-OrderbĂŒchern um Mitte 2006 (Elektronifizierung). Unsere Stichprobe besteht aus tĂ€glichen Messungen der LiquiditĂ€t und der Intraday-Informationseffizienz, die die Jahre 1996 bis 2018 umfassen. Wir stellen fest, dass sich die MarktqualitĂ€t im Untersuchungszeitraum verbessert hat, auch und gerade in den Jahren der Finanzialisierung und Elektronifizierung. Diese Verbesserungen scheinen bei Rohstoffen, die Teil eines groĂen Index sind, stĂ€rker ausgeprĂ€gt zu sein. DarĂŒber hinaus verwenden wir verschiedene DatensĂ€tze mit aggregierten Positionen, die von der Commodity Futures Trading Commission (CFTC) kuratiert werden, finden aber keine Hinweise auf eine schĂ€dliche Auswirkung von IndexhandelsaktivitĂ€ten auf die QualitĂ€t der RohstoffmĂ€rkte. Trotz eines starken Anstiegs des offenen Interesses von RohstoffindexhĂ€ndlern (CITs) an Sojaschrot im Januar 2013, als dieses in den Bloomberg Commodity Index (BCOM) aufgenommen wurde, hat sich die QualitĂ€t des Sojaschrot-Futures-Marktes nicht verschlechtert. SchlieĂlich ermöglicht es uns unser umfassender Datensatz, die MarktqualitĂ€t an den Indexrolltagen vor und nach der Finanzialisierung zu vergleichen. In Ăbereinstimmung mit unseren frĂŒheren Ergebnissen hat sich die MarktqualitĂ€t an den Indexrolltagen nicht verschlechtert, sondern leicht verbessert. Insgesamt zeigen die Ergebnisse, dass die Finanzialisierung der RohstoffmĂ€rkte der MarktqualitĂ€t nicht geschadet hat, sondern vielmehr mit Verbesserungen einherging. Die Umstellung auf elektronische Limit-OrderbĂŒcher hatte positive Auswirkungen. Motiviert durch den Nachweis aus Kapitel 2, dass die Markteffizienz verrauscht ist, und den ausbeleibender Hinweise auf schĂ€dlichen Indexhandel unter Verwendung wöchentlicher aggregierter Positionsdaten in Kapitel 3, kombinieren wir in Kapitel 4 5-Minuten-WTI-ETF-, Options- und Futures-Daten, um in der Lage zu sein, sehr kurzlebige Ineffizienzen auf eine weniger verrauschte, fast modellfreie Weise zu messen. Auf diese Weise können wir die Rolle des ETF-Handels auf den Rohöl-Futures- und OptionsmĂ€rkten der New York Mercantile Exchange (NYMEX) fĂŒr West Texas Intermediate (WTI) untersuchen. Wir ermitteln und modellieren Put-Call-ParitĂ€tsabweichungen bei kurzfristigen at-the-money (ATM) und ihren zugrunde liegenden Futures im 5-Minuten-Takt zwischen Januar 2010 und Oktober 2021. AnschlieĂend setzen wir diese mit dem ETF- und Futures-Handel in Beziehung. Unsere Ergebnisse deuten darauf hin, dass diese Trades wahrscheinlich informiert sind, aber nicht zur Ausnutzung von Arbitragemöglichkeiten getĂ€tigt werden. Dies bedeutet, dass durchschnittliche Finanzinvestoren einen vorĂŒbergehenden Einfluss auf den Preis haben, der jedoch eher auf das Risiko der negativen Auswahl der Market Maker zurĂŒckzufĂŒhren ist als auf das Bestandsrisiko, das durch groĂe direktionale Trades entsteht. Unsere Ergebnisse unterstreichen die Verwendung von ETFs als Alternative fĂŒr den informierten Handel selbst auf hochliquiden MĂ€rkten. Kapitel 5 schlieĂt mit einem Ausblick auf offene Fragen und mögliche Wege fĂŒr zukĂŒnftige Forschung
Non-Standard Errors
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants
Direct evidence of conformational changes associated with voltage gating in a voltage sensor protein by time-resolved X-ray/neutron interferometry.
The voltage sensor domain (VSD) of voltage-gated cation (e.g., Na(+), K(+)) channels central to neurological signal transmission can function as a distinct module. When linked to an otherwise voltage-insensitive, ion-selective membrane pore, the VSD imparts voltage sensitivity to the channel. Proteins homologous with the VSD have recently been found to function themselves as voltage-gated proton channels or to impart voltage sensitivity to enzymes. Determining the conformational changes associated with voltage gating in the VSD itself in the absence of a pore domain thereby gains importance. We report the direct measurement of changes in the scattering-length density (SLD) profile of the VSD protein, vectorially oriented within a reconstituted phospholipid bilayer membrane, as a function of the transmembrane electric potential by time-resolved X-ray and neutron interferometry. The changes in the experimental SLD profiles for both polarizing and depolarizing potentials with respect to zero potential were found to extend over the entire length of the isolated VSD's profile structure. The characteristics of the changes observed were in qualitative agreement with molecular dynamics simulations of a related membrane system, suggesting an initial interpretation of these changes in terms of the VSD's atomic-level 3-D structure
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Direct evidence of conformational changes associated with voltage gating in a voltage sensor protein by time-resolved X-ray/neutron interferometry.
The voltage sensor domain (VSD) of voltage-gated cation (e.g., Na(+), K(+)) channels central to neurological signal transmission can function as a distinct module. When linked to an otherwise voltage-insensitive, ion-selective membrane pore, the VSD imparts voltage sensitivity to the channel. Proteins homologous with the VSD have recently been found to function themselves as voltage-gated proton channels or to impart voltage sensitivity to enzymes. Determining the conformational changes associated with voltage gating in the VSD itself in the absence of a pore domain thereby gains importance. We report the direct measurement of changes in the scattering-length density (SLD) profile of the VSD protein, vectorially oriented within a reconstituted phospholipid bilayer membrane, as a function of the transmembrane electric potential by time-resolved X-ray and neutron interferometry. The changes in the experimental SLD profiles for both polarizing and depolarizing potentials with respect to zero potential were found to extend over the entire length of the isolated VSD's profile structure. The characteristics of the changes observed were in qualitative agreement with molecular dynamics simulations of a related membrane system, suggesting an initial interpretation of these changes in terms of the VSD's atomic-level 3-D structure
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Voltage-Dependent Profile Structures of a Kv-Channel via Time-Resolved Neutron Interferometry
Available experimental techniques cannot determine high-resolution three-dimensional structures of membrane proteins under a transmembrane voltage. Hence, the mechanism by which voltage-gated cation channels couple conformational changes within the four voltage sensor domains, in response to either depolarizing or polarizing transmembrane voltages, to opening or closing of the pore domain's ion channel remains unresolved. Single-membrane specimens, composed of a phospholipid bilayer containing a vectorially oriented voltage-gated K+ channel protein at high in-plane density tethered to the surface of an inorganic multilayer substrate, were developed to allow the application of transmembrane voltages in an electrochemical cell. Time-resolved neutron reflectivity experiments, enhanced by interferometry enabled by the multilayer substrate, were employed to provide directly the low-resolution profile structures of the membrane containing the vectorially oriented voltage-gated K+ channel for the activated, open and deactivated, closed states of the channel under depolarizing and hyperpolarizing transmembrane voltages applied cyclically. The profile structures of these single membranes were dominated by the voltage-gated K+ channel protein because of the high in-plane density. Importantly, the use of neutrons allowed the determination of the voltage-dependent changes in both the profile structure of the membrane and the distribution of water within the profile structure. These two key experimental results were then compared to those predicted by three computational modeling approaches for the activated, open and deactivated, closed states of three different voltage-gated K+ channels in hydrated phospholipid bilayer membrane environments. Of the three modeling approaches investigated, only one state-of-the-art molecular dynamics simulation that directly predicted the response of a voltage-gated K+ channel within a phospholipid bilayer membrane to applied transmembrane voltages by utilizing very long trajectories was found to be in agreement with the two key experimental results provided by the time-resolved neutron interferometry experiments
Direct Evidence of Conformational Changes Associated with Voltage Gating in a Voltage Sensor Protein by Time-Resolved Xâray/Neutron Interferometry
The
voltage sensor domain (VSD) of voltage-gated cation (e.g.,
Na<sup>+</sup>, K<sup>+</sup>) channels central to neurological signal
transmission can function as a distinct module. When linked to an
otherwise voltage-insensitive, ion-selective membrane pore, the VSD
imparts voltage sensitivity to the channel. Proteins homologous with
the VSD have recently been found to function themselves as voltage-gated
proton channels or to impart voltage sensitivity to enzymes. Determining
the conformational changes associated with voltage gating in the VSD
itself in the absence of a pore domain thereby gains importance. We
report the direct measurement of changes in the scattering-length
density (SLD) profile of the VSD protein, vectorially oriented within
a reconstituted phospholipid bilayer membrane, as a function of the
transmembrane electric potential by time-resolved X-ray and neutron
interferometry. The changes in the experimental SLD profiles for both
polarizing and depolarizing potentials with respect to zero potential
were found to extend over the entire length of the isolated VSDâs
profile structure. The characteristics of the changes observed were
in qualitative agreement with molecular dynamics simulations of a
related membrane system, suggesting an initial interpretation of these
changes in terms of the VSDâs atomic-level 3-D structure