The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with a great deal of turbulence in the UK equity markets which had multiple causes that need to be controlled for. To achieve this, we use the common correlated effects estimator for large heterogeneous panels. We extend this estimator to quantile regression to analyze the whole conditional distribution of market quality. We find that both fragmentation in visible order books and dark trading that is offered outside the visible order book lower volatility. But dark trading increases the variability of volatility, while visible fragmentation has the opposite effect in particular at the upper quantiles of the conditional distribution. The transition from a monopolistic to a fragmented market is non-monotone

A semiparametric model for heterogeneous panel data with fixed effects

© 2015 Elsevier B.V. All rights reservedfor semiparametric panel data models in a setting where both the time series and the cross section are large. Such settings are common in finance and other areas of economics. Our model allows for heterogeneous nonparametric covariate effects as well as unobserved time and individual specific effects that may depend on the covariates in an arbitrary way. To model the covariate effects parsimoniously, we impose a dimensionality reducing common component structure on them. In the theoretical part of the paper, we derive the asymptotic theory for the proposed procedure. In particular, we provide the convergence rates and the asymptotic distribution of our estimators. In the empirical part, we apply our methodology to a specific application that has been the subject of recent policy interest, that is, the effect of trading venue fragmentation on market quality. We use a unique dataset that reports the location and volume of trading on the FTSE 100 and FTSE 250 companies from 2008 to 2011 at the weekly frequency. We find that the effect of fragmentation on market quality is nonlinear and non-monotonic. The implied quality of the market under perfect competition is superior to that under monopoly provision, but the transition between the two is complicated

Dynamic Autoregressive Liquidity (DArLiQ)

Motivated beliefs theory suggests the absorption of information may be biased, especially when it bears consequences for the ego. This paper finds empirical support for that hypothesis in the field, using longitudinal data on teenagers’ memories of mathematics report card grades and administrative data on actual grades. Students: i) make more errors in recalling lower grades; ii) update their academic self-confidence in association with recalled grades rather than actual grades; and iii) have more flattering memories of grades when the survey was administered with a longer delay. The first two results bolster recent research in demonstrating that patterns of motivated recall are robust to within-individual estimation. The last result extends the field literature in showing that a large part of the mechanism for motivated information absorption is memory loss over time. A structural model is used to represent memories as the outcome of a subconscious choice problem, disentangling competing motives to enhance self-confidence and respect reality. The estimated model indicates that the costs of memory distortions decrease as time passes after information transmission, and students with low self-confidence had a greatly diminished preference for inflating self-confidence via memory distortion

Modifying memory for a museum tour in older adults: reactivation-related updating that enhances and distorts memory is reduced in ageing

Memory reactivation, the activation of a latent memory trace when we are reminded of a past experience, strengthens memory but can also contribute to distortions if new information present during reactivation is integrated with existing memory. In a previous study in young adults (St. Jacques & Schacter, 2013; Psychological Science) we found that the quality of memory reactivation, manipulated using the principle of encoding specificity and indexed by recollection ratings, modulated subsequent true and false memories for events experienced during a museum tour. Here, we examined age-related changes in the quality of memory reactivation on subsequent memory. Young and older adults reactivated memories for museum stops immediately followed by the presentation of a novel lure photo from an alternate tour version (i.e., reactivation plus new information). There was an increase in subsequent true memories for reactivated targets and for subsequent false memories for lures that followed reactivated targets, when compared to baseline target and lure photos. However, the influence of reactivation on subsequent memories was reduced in older adults. These data reveal that aging alters reactivation-related updating processes that allow memories to be strengthened and updated with new information- consequently reducing memory distortions in older compared to young adults

Wheat potential yield trials 1980

80C34, 80TS9, 80BA4, 80WH8, 80KA7, 80N20, 80E41

Superconductivity in a Mesoscopic Double Square Loop: Effect of Imperfections

We have generalized the network approach to include the effects of short-range imperfections in order to analyze recent experiments on mesoscopic superconducting double loops. The presence of weakly scattering imperfections causes gaps in the phase boundary $B(T)$ or $\Phi(T)$ for certain intervals of $T$, which depend on the magnetic flux penetrating each loop. This is accompanied by a critical temperature $T_c(\Phi)$, showing a smooth transition between symmetric and antisymmetric states. When the scattering strength of imperfections increases beyond a certain limit, gaps in the phase boundary $T_c(B)$ or $T_c(\Phi)$ appear for values of magnetic flux lying in intervals around half-integer $\Phi_0=hc/2e$. The critical temperature corresponding to these values of magnetic flux is determined mainly by imperfections in the central branch. The calculated phase boundary is in good agreement with experiment.Comment: 9 pages, 6 figure

A Microfluidic Device for Nucleic Acid-Based Analysis of Helicobacter pylori and Antibiotic Susceptibility Testing

© 2020, Springer Nature Singapore Pte Ltd. Rapid diagnosis of bacterial infections enables earlier implementation of appropriate and effective treatment regimens, therefore improving patient outcomes. We have previously demonstrated a microfluidic device for nucleic acid-based analysis of Helicobacter pylori, which can cause peptic ulcers and increase the risk of stomach cancer. One of the major challenges to overcome has been the use of challenging real-world samples, e.g. stool, and urine allowing use at the point-of-care. Here we present results for bacterial identification as well as initial studies on the use of screen-printed electrodes (SPE) for miniaturised electrochemical detection for determining antibiotic susceptibility of pathogenic Escherichia coli. Resazurin was used as an indicator of bacterial viability, with reduction of resazurin demonstrating continued cell growth. Differential pulse voltammetry was used to measure potential reduction and showed measurement at −0.58 V or −0.38 V to be the most discriminatory. A fixed voltage of −0.58 V was then used to monitor current changes as a function of increasing gentamycin (antibiotic) concentration, with the results showing a significant reduction in current with increasing amounts of gentamycin (ANOVA, p < 0.001), within 90 min. The ability to integrate diagnosis with antibiotic susceptibility testing would allow administration of timely and specific treatment to patients with serious infections in low-resource settings

Analysis of distortion in pulse modulation converters for switching radio frequency power amplifiers

High-efficiency linear radio frequency (RF) power amplifiers are needed for today’s wireless communication systems. Switch mode techniques have the potential for high efficiency but require a pulse drive signal. The generation of pulse width modulated signals and pulse position modulated signals by sigma delta modulators can introduce unwanted spectral components. Third order and image components are the dominant distortions generated in the pulse position modulation circuit. The authors identify the cause of distortion and mathematically quantify its amplitude and frequency. In a single carrier environment, an increase in offset frequency increases the unwanted spectral components. Calculations, simulations and measurements show that offsets less than 1% of the carrier frequency are required to keep unwanted components 40 dB below the signal level. Simulations and measurements show that the effect on a multichannel orthogonal frequency division multiplexing (OFDM) system is less detrimental. Nonetheless, unacceptable noise increases of up to 20 dB are observed in odd harmonic channels when the transmission is not centred on the nominal carrier frequency