Essays in market microstructure and investor trading

University of Technology Sydney. Faculty of Business.This dissertation consists of three self-contained essays examining issues pertaining to market microstructure and investor trading. The first essay contributes to our understanding of the liquidity replenishment process in limit order book markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a high frequency vector autoregression. The model reveals a rich set of liquidity dynamics. Liquidity shocks were found to have immediate detrimental effects on other dimensions of liquidity but the replenishment process generally occurs quickly, indicating limit order books are resilient. Cross-sectionally, resiliency is found to be consistently high across all large stocks, consistent with competition for liquidity provision coming from computerised algorithms. For other stocks, greater variation in resiliency is observed, indicating more selective participation by these liquidity providers. The second essay is motivated by concerns raised from the investment community on the impact of algorithmic trading among investors. A strong dichotomy exists between retail and non-retail investors, with non-retail investors predominantly having access to algorithmic trading technology. We compare the limit order behaviour and execution costs of retail and non-retail investors to provide insights into the extent to which technology benefits investors. Fundamental differences are found in the trading behaviours of the two groups, consistent with their inequalities in access to trading technology. We also find evidence consistent with some non-retail investors imposing adverse selection costs on the limit orders of retail investors, but our results fall short of supporting the view that algorithmic trading technology is severely disadvantaging retail investors. The third essay examines information-based trading by institutional and retail investors around earnings announcements. Prior to the announcement, limited and weak evidence is found of earnings anticipation, which is isolated to full-service retail investors. In contrast, strong trading patterns are observed for institutional and retail investors in response to earnings announcements, with the latter having the potential to drive the post-earnings announcement drift effect. We find that retail investor trades during the earnings announcement periods underperform their trades in non-announcement periods. This is driven mostly by the trading of discount retail investors, with top-tier institutional investors the likely beneficiaries, and cannot be attributed to the adverse selection of stale limit orders. Overall, our findings are consistent with investors having different information processing abilities. Contrary to the belief that earnings disclosures level the playing field, the release of earnings news exacerbates information asymmetries between the most and least skilled information processors

Science, technology, engineering, and mathematics (STEM) as a vehicle for supporting service learning

2016-2017 > Academic research: refereed > Refereed conference paper201804_a bcmaVersion of RecordPublishe

TAM receptor tyrosine kinase function and the immunopathology of liver disease.

Tyro3, Axl, MERTK (TAM) receptor tyrosine kinases are implicated in the regulation of the innate immune response through clearance of apoptotic cellular debris and control of cytokine signaling cascades. As a result they are pivotal in regulating the inflammatory response to tissue injury. Within the liver, immune regulatory signaling is employed to prevent the overactivation of innate immunity in response to continual antigenic challenge from the gastrointestinal tract. In this review we appraise current understanding of the role of TAM receptor function in the regulation of both innate and adaptive immunity, with a focus on its impact upon hepatic inflammatory pathology

Essential and checkpoint functions of budding yeast ATM and ATR during meiotic prophase are facilitated by differential phosphorylation of a meiotic adaptor protein, Hop1

A hallmark of the conserved ATM/ATR signalling is its ability to mediate a wide range of functions utilizing only a limited number of adaptors and effector kinases. During meiosis, Tel1 and Mec1, the budding yeast ATM and ATR, respectively, rely on a meiotic adaptor protein Hop1, a 53BP1/Rad9 functional analog, and its associated kinase Mek1, a CHK2/Rad53-paralog, to mediate multiple functions: control of the formation and repair of programmed meiotic DNA double strand breaks, enforcement of inter-homolog bias, regulation of meiotic progression, and implementation of checkpoint responses. Here, we present evidence that the multi-functionality of the Tel1/Mec1-to-Hop1/Mek1 signalling depends on stepwise activation of Mek1 that is mediated by Tel1/Mec1 phosphorylation of two specific residues within Hop1: phosphorylation at the threonine 318 (T318) ensures the transient basal level Mek1 activation required for viable spore formation during unperturbed meiosis. Phosphorylation at the serine 298 (S298) promotes stable Hop1-Mek1 interaction on chromosomes following the initial phospho-T318 mediated Mek1 recruitment. In the absence of Dmc1, the phospho-S298 also promotes Mek1 hyper-activation necessary for implementing meiotic checkpoint arrest. Taking these observations together, we propose that the Hop1 phospho-T318 and phospho-S298 constitute key components of the Tel1/Mec1- based meiotic recombination surveillance (MRS) network and facilitate effective coupling of meiotic recombination and progression during both unperturbed and challenged meiosis

Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

WNT signaling regulates self-renewal and differentiation of prostate cancer cells with stem cell characteristics

Prostate cancer cells with stem cell characteristics were identified in human prostate cancer cell lines by their ability to form from single cells self-renewing prostaspheres in non-adherent cultures. Prostaspheres exhibited heterogeneous expression of proliferation, differentiation and stem cell-associated makers CD44, ABCG2 and CD133. Treatment with WNT inhibitors reduced both prostasphere size and self-renewal. In contrast, addition of Wnt3a caused increased prostasphere size and self-renewal, which was associated with a significant increase in nuclear Β-catenin, keratin 18, CD133 and CD44 expression. As a high proportion of LNCaP and C4-2B cancer cells express androgen receptor we determined the effect of the androgen receptor antagonist bicalutamide. Androgen receptor inhibition reduced prostasphere size and expression of PSA, but did not inhibit prostasphere formation. These effects are consistent with the androgen-independent self-renewal of cells with stem cell characteristics and the androgen-dependent proliferation of transit amplifying cells. As the canonical WNT signaling effector Β-catenin can also associate with the androgen receptor, we propose a model for tumour propagation involving a balance between WNT and androgen receptor activity. That would affect the self-renewal of a cancer cell with stem cell characteristics and drive transit amplifying cell proliferation and differentiation. In conclusion, we provide evidence that WNT activity regulates the self-renewal of prostate cancer cells with stem cell characteristics independently of androgen receptor activity. Inhibition of WNT signaling therefore has the potential to reduce the self-renewal of prostate cancer cells with stem cell characteristics and improve the therapeutic outcome.Peer reviewe

Reaction rates and transport in neutron stars

Understanding signals from neutron stars requires knowledge about the transport inside the star. We review the transport properties and the underlying reaction rates of dense hadronic and quark matter in the crust and the core of neutron stars and point out open problems and future directions.Comment: 74 pages; commissioned for the book "Physics and Astrophysics of Neutron Stars", NewCompStar COST Action MP1304; version 3: minor changes, references updated, overview graphic added in the introduction, improvements in Sec IV.A.

Retrograde trafficking of β-dystroglycan from the plasma membrane to the nucleus

β-Dystroglycan (β-DG) is a transmembrane protein with critical roles in cell adhesion, cytoskeleton remodeling and nuclear architecture. This functional diversity is attributed to the ability of β-DG to target to, and conform specific protein assemblies at the plasma membrane (PM) and nuclear envelope (NE). Although a classical NLS and importin α/β mediated nuclear import pathway has already been described for β-DG, the intracellular trafficking route by which β-DG reaches the nucleus is unknown. In this study, we demonstrated that β-DG undergoes retrograde intracellular trafficking from the PM to the nucleus via the endosome-ER network. Furthermore, we provided evidence indicating that the translocon complex Sec61 mediates the release of β-DG from the ER membrane, making it accessible for importins and nuclear import. Finally, we show that phosphorylation of β-DG at Tyr890 is a key stimulus for β-DG nuclear translocation. Collectively our data describe the retrograde intracellular trafficking route that β-DG follows from PM to the nucleus. This dual role for a cell adhesion receptor permits the cell to functionally connect the PM with the nucleus and represents to our knowledge the first example of a cell adhesion receptor exhibiting retrograde nuclear trafficking and having dual roles in PM and NE

How much do school teachers know about childhood asthma in Ilesa, Nigeria?

Background: Childhood asthma is affected by events and conditions of the school environment. Teachers as de-facto caregivers of children with asthma have a major role to play in ensuring good asthma control in school. This study set out to determine the level of knowledge of school teacher about childhood asthma and factors influencing this knowledge.Methods: Four secondary schools (two private and two public) in Ilesa, South West Nigeria were selected by multistage sampling method. All the teachers in these schools were required to fill a self -administered questionnaire incorporating a validated 40-item asthma knowledge questions. Factors associated with the level of knowledge were determined appropriately.Results: A total of 132 teacher (M: F = 1:2) participated in the study with 85 (64.4%) from private school. The mean (SD) age of the teachers was 38.0 (9.1) years and median (IQR) years in teaching service was 7.0 (5.0 to 15.0) years. Majority (56.1%) of the teachers had university education while only 7 (5.3%) had a post graduate degree. The mean (SD) score of the 40 item questions was 21.5 (7.2) and majority (51.5%) had poor asthma knowledge (score < 22). Poorer knowledge was observed in questions related to the nature and management of childhood asthma than triggers and manifestations. No significant correlation was found between knowledge and age, teaching experience and qualifications (p > 0.05). However, teachers with previous training about childhood asthma had relatively good knowledge about the condition. (p <0.05)Conclusion: The level of knowledge about childhood asthma among school teachers in Ilesa is poor particularly as regards to nature and management of the disease. We advocate for training of school teachers about common childhood conditions including asthma to ensure optimal symptoms control in school.Keywords: Childhood asthma, Knowledge, School teacher

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT