Using Information From Trading In Trading And Portfolio Management: Ten Years Later

The centerpiece of this paper is a comprehensive analysis of all of the trading by a large US pension fund in 1991. The first version was published in the Summer 1995 issue of the Journal of Investing and later incorporated in the AIMR’s CFA reading. This updated version, requested by the AIMR, reflects the technological and market structure changes of the last ten years, and adds a new empirical analysis of all the 2001 trading by a $7 billion US equity manager. Trading technology has changed in many ways, yet many of the same characteristics of institutional trading are seen just as strongly as they were before. The attention given to large difficult orders still shows in lower than expected trading costs. Small “no-brainer” orders still represent the largest component of overall trading costs. These are precisely the type of costs that modern electronic trading systems are designed to reduce. The idea that trading costs were a substantial drag on performance was a relatively novel in 1991. Today, it is a central concern for many managers, including those profiled here

Markets, Technology and Trust

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Sterols in soil organic matter of sandy arable soils: Quantification using mass spectrometry and their relation to mineralizability of soil organic N

Lately, a significant negative correlation between proportions of the compound class of sterols from pyrolysis-field ionization mass spectrometry (Py-FIMS) and net N mineralizability of soil organic N was found. However, main plant sterols (?-Sitosterol, Stigmasterol, and Campesterol) cannot be clearly verified and quantified with Py-FIMS, and there are only very few studies on measuring concentrations in soils. Thus, the objective was the extraction, identification and quantification of typical plant sterols and their relation to net N mineralization rates. The three sterols were identified and quantified in lipid extracts (Soxhlet procedure) using gas chromatography - mass spectrometry (GC-MS). Concentrations were similar to few other available studies, but concentrations of the three sterols were not significantly correlated with net N mineralizability. As quantification was difficult due to co-elution, further optimization of the methodology is necessary. In addition, the underlying mechanisms also need to be clarified

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

This paper describes collaborative work between active traders, regulators, economists, and supercomputing researchers to replicate and extend investigations of the Flash Crash and other market anomalies in a National Laboratory HPC environment. Our work suggests that supercomputing tools and methods will be valuable to market regulators in achieving the goal of market safety, stability, and security. Research results using high frequency data and analytics are described, and directions for future development are discussed. Currently the key mechanism for preventing catastrophic market action are “circuit breakers.” We believe a more graduated approach, similar to the “yellow light” approach in motorsports to slow down traffic, might be a better way to achieve the same goal. To enable this objective, we study a number of indicators that could foresee hazards in market conditions and explore options to confirm such predictions. Our tests confirm that Volume Synchronized Probability of Informed Trading (VPIN) and a version of volume Herfindahl-Hirschman Index (HHI) for measuring market fragmentation can indeed give strong signals ahead of the Flash Crash event on May 6 2010. This is a preliminary step toward a full-fledged early-warning system for unusual market conditions

Software Citation Implementation Challenges

The main output of the FORCE11 Software Citation working group (https://www.force11.org/group/software-citation-working-group) was a paper on software citation principles (https://doi.org/10.7717/peerj-cs.86) published in September 2016. This paper laid out a set of six high-level principles for software citation (importance, credit and attribution, unique identification, persistence, accessibility, and specificity) and discussed how they could be used to implement software citation in the scholarly community. In a series of talks and other activities, we have promoted software citation using these increasingly accepted principles. At the time the initial paper was published, we also provided guidance and examples on how to make software citable, though we now realize there are unresolved problems with that guidance. The purpose of this document is to provide an explanation of current issues impacting scholarly attribution of research software, organize updated implementation guidance, and identify where best practices and solutions are still needed

QCD sum rules and chiral logarithms

Standard QCD sum-rule analyses of the nucleon mass give results that are inconsistent with chiral perturbation theory due to an overly simple continuum ansatz on the phenomenological side of the sum rule. We show that a careful treatment of the continuum, including $\pi$-$N$ states and other states with virtual pions, resolves the inconsistency associated with chiral logs.Comment: 10 pages, no figure

QCD Sum Rules and Applications to Nuclear Physics

Applications of QCD sum-rule methods to the physics of nuclei are reviewed, with an emphasis on calculations of baryon self-energies in infinite nuclear matter. The sum-rule approach relates spectral properties of hadrons propagating in the finite-density medium, such as optical potentials for quasinucleons, to matrix elements of QCD composite operators (condensates). The vacuum formalism for QCD sum rules is generalized to finite density, and the strategy and implementation of the approach is discussed. Predictions for baryon self-energies are compared to those suggested by relativistic nuclear physics phenomenology. Sum rules for vector mesons in dense nuclear matter are also considered.Comment: 92 pages, ReVTeX, 9 figures can be obtained upon request (to Xuemin Jin

pi-pi scattering in a QCD based model field theory

A model field theory, in which the interaction between quarks is mediated by dressed vector boson exchange, is used to analyse the pionic sector of QCD. It is shown that this model, which incorporates dynamical chiral symmetry breaking, asymptotic freedom and quark confinement, allows one to calculate $f_\pi$, $m_\pi$, $r_\pi$ and the partial wave amplitudes in $\pi$-$\pi$ scattering and obtain good agreement with the experimental data, with the latter being well described up to energies \mbox{$E\simeq 700$ MeV}.Comment: 23 Pages, 4 figures in PostScript format, PHY-7512-TH-93, REVTEX Available via anonymous ftp in /pub: login anonymou get pipi93.tex Fig1.ps Fig2.ps Fig3.ps Fig4.p

Electromagnetic Meson Production in the Nucleon Resonance Region

Recent experimental and theoretical advances in investigating electromagnetic meson production reactions in the nucleon resonance region are reviewed.Comment: 75 pages, 42 figure

Transforming European Water Governance? Participation and River Basin Management under the EU Water Framework Directive in 13 Member States

The European Union (EU) Water Framework Directive (WFD) requires EU member states to produce and implement river basin management plans, which are to be designed and updated via participatory processes that inform, consult with, and actively involve all interested stakeholders. The assumption of the European Commission is that stakeholder participation, and institutional adaptation and procedural innovation to facilitate it, are essential to the effectiveness of river basin planning and, ultimately, the environmental impact of the Directive. We analyzed official documents and the WFD literature to compare implementation of the Directive in EU member states in the initial WFD planning phase (2000–2009). Examining the development of participatory approaches to river basin management planning, we consider the extent of transformation in EU water governance over the period. Employing a mixed quantitative and qualitative approach, we map the implementation “trajectories” of 13 member states, and then provide a detailed examination of shifts in river basin planning and participation in four member states (Germany, Sweden, Poland and France) to illustrate the diversity of institutional approaches observed. We identify a general tendency towards increased, yet circumscribed, stakeholder participation in river basin management in the member states examined, alongside clear continuities in terms of their respective pre-WFD institutional and procedural arrangements. Overall, the WFD has driven a highly uneven shift to river basin-level planning among the member states, and instigated a range of efforts to institutionalize stakeholder involvement—often through the establishment of advisory groups to bring organized stakeholders into the planning process