Behind the price: on the role of agent's reflexivity in financial market microstructure

In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we introduce the concepts of market impact and order flow, presenting their recently discovered empirical properties and discussing some possible interpretation in terms of agent's strategies. Our analysis confirms that quantitative analysis of data is crucial to validate qualitative hypothesis on investors' behavior in the regulated environment of order placement and to connect these micro-structural behaviors to the properties of the collective dynamics of the system as a whole, such for instance market efficiency. Finally we discuss the relation between some of the described properties and the theory of reflexivity proposing that in the process of price formation positive and negative feedback loops between the cognitive and manipulative function of agents are present.Comment: 12 pages, 1 figur

Governing Global Supply Chain Sustainability Through the Ethical Audit Regime

Over the past two decades multinational corporations have been expanding ‘ethical’ audit programs with the stated aim of reducing the risk of sourcing from suppliers with poor practices. A wave of government regulation—such as the California Transparency in Supply Chains Act (2012) and the UK Modern Slavery Act (2015)—has enhanced the legitimacy of auditing as a tool to govern labor and environmental standards in global supply chains, backed by a broad range of civil society actors championing audits as a way of promoting corporate accountability. The growing adoption of auditing as a governance tool is a puzzling trend, given two decades of evidence that audit programs generally fail to detect or correct labor and environmental problems in global supply chains. Drawing on original field research, this article shows that in spite of its growing legitimacy and traction among government and civil society actors, the audit regime continues to respond to and protect industry commercial interests. Conceptually, the article challenges prevailing characterizations of the audit regime as a technical, neutral, and benign tool of supply chain governance, and highlights its embeddedness in struggles over the legitimacy and effectiveness of the industry-led privatization of global governance

Scaling Analysis on Indian Foreign Exchange Market

In this paper we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Average daily exchange rate return of the Indian Rupee against US Dollar is found to exhibit a persistent scaling behavior and follow Levy stable distribution. On the contrary the average daily exchange rate returns of the other three foreign currencies do not show persistency or antipersistency and follow Gaussian distribution.Comment: Revised Final Version. In Press Physica

Confronting root causes: forced labour in global supply chains

Excerpt It is by now widely recognised that effectively tackling forced labour in the global economy means addressing its ‘root causes’. Policymakers, business leaders and civil society organisations all routinely call for interventions that do so. Yet what exactly are these root causes? And how do they operate? The two most commonly given answers are ‘poverty’ and ‘globalisation’. Although each may be foundational to forced labour, both terms are typically used in nebulous, catch-all ways that serve more as excuses than explanations. Both encompass and obscure a web of decisions and processes that maintain an unjust status quo, while being used as euphemisms for deeper socio-economic structures that lie at the core of the capitalist global economy. The question thus becomes: exactly which aspects of poverty and globalisation are responsible for the endemic labour exploitation frequently described with the terms forced labour, human trafficking or modern slavery? Which global economic processes ensure a constant and low-cost supply of highly exploitable and coerced workers? And which dynamics trigger a demand among businesses for their exploitation, making it possible for them to profit from it? This 12-part report is an attempt to answer these questions in a rigorous yet accessible way. With it, we hope to provide policymakers, journalists, scholars and activists with a road map for understanding the political economy of forced labour in today’s “global value chain world”

Proteome analysis of the UVB-resistant marine bacterium <i>Photobacterium angustum</i> S14

The proteome of the marine bacterium Photobacterium angustum S14 was exposed to UVB and analyzed by the implementation of both the post-digest ICPL labeling method and 2D-DIGE technique using exponentially growing cells. A total of 40 and 23 proteins were quantified in all replicates using either the ICPL or 2D-DIGE methods, respectively. By combining both datasets from 8 biological replicates (4 biological replicates for each proteomics technique), 55 proteins were found to respond significantly to UVB radiation in P. angustum. A total of 8 UVB biomarkers of P. angustum were quantified in all replicates using both methods. Among them, the protein found to present the highest increase in abundance (almost a 3-fold change) was RecA, which is known to play a crucial role in the so-called recombinational repair process. We also observed a high number of antioxidants, transport proteins, metabolism-related proteins, transcription/translation regulators, chaperonins and proteases. We also discuss and compare the UVB response and global protein expression profiles obtained for two different marine bacteria with trophic lifestyles: the copiotroph P. angustum and oligotroph Sphingopyxis alaskensis

Biochemical characteristics and bacterial community structure of the sea surface microlayer in the South Pacific Ocean

The chemical and biological characteristics of the surface microlayer were determined during a transect across the South Pacific Ocean in October-December 2004. Concentrations of particulate organic carbon (1.3 to 7.6-fold) and nitrogen (1.4 to 7-fold), and POC:PON ratios were consistently higher in the surface microlayer as compared to surface waters (5 m). The large variability in particulate organic matter enrichment was negatively correlated to wind speed. No enhanced concentrations of dissolved organic carbon were detectable in the surface microlayer as compared to 5 m, but chromophoric dissolved organic matter was markedly enriched (by 2 to 4-fold) at all sites. Based on pigment analysis and cell counts, no consistent enrichment of any of the major components of the autotrophic and heterotrophic microbial community was detectable. CE-SSCP fingerprints and CARD FISH revealed that the bacterial communities present in the surface microlayer had close similarity (&gt;76%) to those in surface waters. By contrast, bacterial heterotrophic production (&lt;sup&gt;3&lt;/sup&gt;H-leucine incorporation) was consistently lower in the surface microlayer than in surface waters. By applying CARD-FISH and microautoradiography, we observed that &lt;i&gt;Bacteroidetes&lt;/i&gt; and &lt;i&gt;Gammaproteobacteria&lt;/i&gt; dominated leucine uptake in the surface microlayer, while in surface waters &lt;i&gt;Bacteroidetes&lt;/i&gt; and &lt;i&gt;Alphaproteobacteria&lt;/i&gt; were the major groups accounting for leucine incorporation. Our results demonstrate that the microbial community in the surface microlayer closely resembles that of the surface waters of the open ocean. Even a short residence in the surface microlayer influences leucine incorporation by different bacterial groups, probably as a response to the differences in the physical and chemical nature of the two layers

The Budget and the Bedroom: Associations between Financial Management Behaviors, Perceptions of Economic Pressure, and Sexual Satisfaction

Although money and sex are both salient to romantic relationships, previous literature has rarely examined the association between the two. In the current study, we evaluate associations between financial management behaviors, perceptions of economic pressure, and sexual satisfaction. We used nationally representative opposite-sex newlywed dyadic data (N = 1,447 couples) and an actor-partner interdependent structural equation model to test these associations. Results indicate that as financial therapists aid opposite-sex newlywed clients in their financial management, they may also be lessening perceptions of economic pressure. For wives, this lessening of perceptions of economic pressure may benefit husbands’ and wives’ sexual satisfaction. Financial therapists may consider using these findings to encourage opposite-sex newlywed clients to practice healthy financial management behaviors and communicate about finances and sex. In short, our findings suggest that for opposite-sex newlywed couples, the budget may have something to do with the bedroom

Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the dynamics of asset price fluctuations. We propose and study a model of an artificial stock market consisting of heterogeneous agents with DRA, and we find that DRA is the main driving force for excess price fluctuations and the associated volatility clustering. We employ a popular power utility function, $U(c,\gamma)=\frac{c^{1-\gamma}-1}{1-\gamma}$ with agent specific and time-dependent risk aversion index, $\gamma_i(t)$, and we derive an approximate formula for the demand function and aggregate price setting equation. The dynamics of each agent's risk aversion index, $\gamma_i(t)$ (i=1,2,...,N), is modeled by a bounded random walk with a constant variance $\delta^2$. We show numerically that our model reproduces most of the ``stylized'' facts observed in the real data, suggesting that dynamic risk aversion is a key mechanism for the emergence of these stylized facts.Comment: 17 pages, 7 figure

Emerging properties of financial time series in the “Game of Life”

We explore the spatial complexity of Conway’s “Game of Life,” a prototypical cellular automaton by means of a geometrical procedure generating a two-dimensional random walk from a bidimensional lattice with periodical boundaries. The one-dimensional projection of this process is analyzed and it turns out that some of its statistical properties resemble the so-called stylized facts observed in financial time series. The scope and meaning of this result are discussed from the viewpoint of complex systems. In particular, we stress how the supposed peculiarities of financial time series are, often, overrated in their importance