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

Multicentre phase II study of gemcitabine and cisplatin in malignant pleural mesothelioma

Malignant pleural mesothelioma is a notoriously chemoresistant tumour. However, a recent single institution study showed an impressive activity of gemcitabine and cisplatin. Our aim is to investigate the efficacy and toxicity of a gemcitabine and cisplatin combination in selected and chemo-naive patients with histologically proven malignant pleural mesothelioma. Method: Gemcitabine 1250 mg m−2 was administered on day 1 and day 8 and cisplatin 80 mg m−2 was administered on day 1 in a 3-week cycle with a maximum of six cycles. Response and toxicity evaluations were performed according to WHO and NCIC-CTC criteria. Pathology and radiology were centrally reviewed. Results show that in 25 evaluable patients, four PR were observed (ORR 16%, 95% CI 1–31%). Responses of seven patients were unevaluable. No unexpected toxicity occurred. Time to progression was 6 months (5–7 months) with a median survival from registration of 9.6 months (95% CI 8–12 months). In conclusion this trial excludes with 90% power a response rate of greater than 30% in patients with malignant pleural mesothelioma using a combination of gemcitabine and cisplatin at the proposed dose and schedule

T-2 toksin - pojavnost i toksičnost u peradi

T-2 toxin is the most toxic type A trichothecene mycotoxin. It is the secondary metabolite of the Fusarium fungi, and is common in grain and animal feed. Toxic effects have been shown both in experimental animals and in livestock. It has been implicated in several outbreaks of human mycotoxicoses. Toxic effects in poultry include inhibition of protein, DNA, and RNA synthesis, cytotoxicity, immunomodulation, cell lesions in the digestive tract, organs and skin, neural disturbances and low performance in poultry production (decreased weight gain, egg production, and hatchability). Concentrations of T-2 toxin in feed are usually low, and its immunosuppressive effects and secondary infections often make diagnosis difficult. If at the onset of the disease, a change in diet leads to health and performance improvements in animals, this may point to mycotoxin poisoning. Regular control of grain and feed samples is a valuable preventive measure, and it is accurate only if representative samples are tested. This article reviews the incidence and toxic effects of T-2 toxin in poultry.T-2 toksin je najtoksičniji predstavnik trikotecenskih mikotoksina tipa A. On je sekundarni produkt metabolizma plijesni roda Fusarium i često je prisutan u žitaricama i hrani za životinje. Štetni učinci uočeni su u eksperimentalnih životinja i životinja u uzgoju. On se povezuje s pojavom bolesti ljudi od mikotoksikoza. Učinci toksina u peradi su višestruki: inhibicija sinteze proteina, DNA i RNA, citotoksični učinak, imunomodulatorni učinak, oštećenje stanica probavnog sustava, organa i kože, živčani poremećaji te pad proizvodnih karakteristika u uzgoju peradi (slabiji prirast, pad nesivosti i valivosti). Koncentracije T-2 toksina u hrani redovito su vrlo malene, a zbog imunosupresivnog djelovanja toksina te istodobne sekundarne infekcije bolest se često teško dijagnosticira. Pri pojavi bolesti promjenom hrane može doći do poboljšanja zdravstvenog stanja, što tako|er upućuje na moguće trovanje mikotoksinima. Redovita kontrola uzoraka žitarica i hrane za životinje jedna je od preventivnih mjera, a detekcija mikotoksina u žitaricama i hrani pouzdana je samo ako se ispituje reprezentativan uzorak. U radu su opisani učestalost i toksični učinci T-2 toksina u peradi

How Active is Your Fund Manager? A New Measure That Predicts Performance

Abstract We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that di¤er from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share signi…cantly outperform their benchmarks, both before and after expenses, and they exhibit strong performance persistence. Non-index funds with the lowest Active Share underperform their benchmarks. JEL classi…cation: G10, G14, G20, G2