Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework.

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility.European money market ; Eonia ; Operational framework ; Liquidity effect.

Liquidity problems in the FX liquid market: Ask for the "BIL".

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we consider the spread, the traded volume, the number of transactions and the Amihud (2002) statistic for illiquidity. We also propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit of such measure is to be easily calculated on almost any financial market as well as to have a clear interpretation in terms of liquidity costs. Using all these advanced liquidity analyses, we finally test the accuracy of these measures to detect liquidity problems in the FX market. Our analysis, based on a signaling approach, shows that liquidity problems have arisen during specific episodes in the early 2000's and more generally during the recent financial turmoil.FX market, Liquidity, financial crisis.

Liquidity Problems in the FX Liquid Market

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we consider the spread, the traded volume, the number of transactions and the Amihud (2002) statistic for illiquidity. We also propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit of such measure is to be easily calculated on almost any financial market as well as to have a clear interpretation in terms of liquidity costs. Using all these advanced liquidity analyses, we finally test the accuracy of these measures to detect liquidity problems in the FX market. Our analysis, based on a signaling approach, shows that liquidity problems have arisen during specific episodes in the early 2000's and more generally during the recent financial turmoil.FX market; Liquidity; financial crisis

Trading volume and Arbitrage

Decomposing returns into market and stockspecific components is common practice and forms the basis ofpopular asset pricing models. What about volume? Can volumebe decomposed in the same way as returns? Lo and Wang(2000) suggest such a decomposition. Our paper contributes tothis literature in two different ways. First, we provide a modelto explain why volumes deviate from the benchmark. Ourinterpretation is in terms of arbitrage strategies and liquidity.Second, we propose a new efficient screening tool that allowspractitioners to extract specific information from volume timeseries. We provide an empirical illustration of the relevance andthe possible uses of our approach on daily data from the FTSEindex from 2000 to 2002

Taking into account extreme events in European option pricing.

According to traditional option pricing models,1 financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we compare the option prices obtained from the standard Black and Scholes model with those resulting from our model. We show that the traditional model leads to an overvaluation of at-the-money options, which are the most traded options, while the less liquid in-the-money and out-of-the-money options are undervalued.

Approche in vivo/in vitro du métabolisme de perturbateurs endocriniens chez le poisson zèbre (Danio rerio)

Les perturbateurs endocriniens (PE) posent des risques pour la santé Humaine et pour la faune. L’utilisation de tests biologiques basés sur des mécanismes d’action spécifiques permet de caractériser le potentiel PE des substances chimiques dans le cadre de l'évaluation toxicologique, mais les capacités de biotransformation de ces modèles sont rarement prises en compte. Or, le métabolisme conditionne le devenir des xénobiotiques (détoxication vs. bioactivation) et donc in fine l'activité biologique mesurée. Dans ce travail, le devenir de deux contaminants œstrogéniques émergents (benzophénone-2, bisphénol S) a été comparé dans de nouveaux modèles in vitro et in vivo de poisson zèbre (cellules ZELH-zfERs, larve transgénique cyp19a1b-GFP) et des lignées humaines. Nos résultats démontrent que les modèles de poissons zèbres sont métaboliquement compétents et soulignent leur pertinence dans une approche intégrée in vivo/in vitro pour le criblage de l'activité PE des substances chimiques

When Market Illiquidity Generates Volumes

We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their respective impacts on returns and volume should be modeled differently. Second, we integrate the microstructure setting of Grossman-Miller (1988) with the information flow perspective of Tauchen-Pitts (1983) and derive a modified MDH model with two latent factors related to information and liquidity. Our model explains how the liquidity frictions can increase the daily traded volume, in the presence of liquidity arbitragers. Finally, we propose a stock-specific liquidity measure using daily return and volume observations of FTSE100 stocks.Volatility-volume relationship; mixture of distribution hypothesis; liquidity shocks; informed trading; liquidity arbitrage

Potential and future of concentrating solar power in Namibia

The Namibian electricity sector has mainly relied on electricity imports from the Southern African Power Pool (SAPP) over the last decade. However, a growth in electricity demand and scarce import options could cause energy shortages. Therefore, new power plants ought to be commissioned in the near future to avoid the forecasted energy crisis. In this context, Concentrating Solar Power (CSP) generation is regarded as an appropriate alternative to conventional energy technologies, particularly for the excellent solar regime available in Namibia. The study presents a GIS analysis that identifies suitable areas for CSP establishment. A broad range of geographical parameters such as solar radiation, topography, hydrology or land use are examined. The calculations show that the CSP ceiling generation in Namibia is equivalent to 70% of the worldwide electricity production. Moreover, the study offers a scenario analysis where concrete CSP alternatives are compared to coal-fired plant projects developed by the national power utility. Meteonorm and System Advisor Model (SAM) are used to design CSP alternatives located in the area offering the best combination between high solar irradiation and short distances to the infrastructures. Despite the affordability concern which has to be addressed with sound financial instruments, CSP represents a seminal opportunity for the energy sector i

Reducing the risk of VWAP orders execution: A new approach to modelling intra-day volume

In an era of increasing competition in financial services, financial institutions are spending more resources on broadening the array and reducing the price of products offered to clients. This also applies to broking houses, which have a vital interest in reducing costs associated with the execution of their clients’ orders. This paper presents a technique that aims to reduce the execution risk of VWAP (Volume Weighted Average Price) orders, which are orders to buy or sell a certain amount of a stock during the specified period at the VWAP. VWAP is calculated by dividing the value of trades by the volume over a specified period

Design approach of the MOVIE programmable video processor

This article describes the design approach of the MOVIE circuit, building block for the development of software-only solutions for real time video processing applications . The MOVIE circuit can be seen as a small linear systolic-like array of computation processors, connected at each end to an I/0 processor . Externally, the chip is provided with four bidirectional data ports and three bidirectional data video port, allowing specialized parallel and programmable architectures of various configurations to be realized . Software tools, designed simultaneously with the definition of the architecture, especially as regards the code optimization aspects, allows high level programming and efficient code generation . The MOVIE architecture has been entirely specified using the VHDL hardware description language . Its synthesis is performed under the Compass tools .Cet article décrit l'approche de conception du circuit MOVIE, brique de base pour la réalisation de simulateurs temps réel d'algorithmes de compression vidéo. Le circuit MOVIE est une petite machine systolique composée d'un processeur d'entrée/sortie et d'un réseau linéaire de processeurs de calcul, il inclut les mécanismes adaptés à l'acquisition et à la restitution de la vidéo ainsi que des facilités pour la réalisation de réseaux de calcul de configurations différentes. Les outils logiciels, conçus conjointement avec l'architecture, permettent une programmation en langage évolué et une génération de code efficace. L'architecture du circuit MOVIE est entièrement spécifiée à l'aide du langage de description de matériel VHDL, sa synthèse est réalisée avec l'outil COMPASS