Trading Volume in Dealer Markets

We develop a financial market trading model in the tradition of Glosten and Milgrom (1985) that allows us to incorporate non-trivial volume. We observe that in this model price volatility is positively related to the trading volume and to the absolute value of the net order flow, i.e. the order imbalance. Moreover, higher volume leads to higher order imbalances. These findings are consistent with well-established empirical findings. Our model further predicts that higher trader participation and systematic improvements in the quality of traders' information lead to higher volume, larger order imbalances, lower market depth, shorter duration, and higher price volatility.Market Microstructure, Trading Volume, Liquidity

Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading

We provide a three way theoretical comparison of dealer, limit order, and hybrid markets and analyze the impact that the organization of trading has on volume, liquidity, and price efficiency. We find, in particular, that trading volume is highest in the limit order market and lowest in the dealer market. Small order price impacts are lowest and large order price impacts are highest in limit order markets. Prices are most efficient in the hybrid market and least efficient in the dealer market, except when the level of informed trading is very high. Post-trade market transparency in a hybrid market hampers price efficiency for thinly traded securities. We further identify that traders behave as contrarians.liquidity, quote and order driven markets, price efficiency, hybrid markets, trading volume

Navigating Through the Maze of Business Process Change Methods

Business Process Management (BPM) is an approach adopted by many organizations for improving their business processes in order to serve their customers more efficiently and effectively. Literature on BPM offers a plethora of methods used as a guide when improving business processes. Some are promoted as methods for process reengineering, while others as methods for improvement, redesign, or innovation. The number of BPM methods is overwhelming, such that organizations are faced with the challenge to select one that best fits their needs. In this paper, we follow a systematic literature review approach to investigate the characteristics of existing BPM methods. We find that the ambition, nature and perspective of the methods are important to determine whether they can be used for radical or incremental process change. Our findings point to the lack of research done on methods for radical process change

Teaching University-Level Mathematics Using Mathematica

This paper considers the use of the computer algebra system Mathematica for teaching university-level mathematics subjects. Outlined are basic Mathematica concepts, connected with different mathematics areas: algebra, linear algebra, geometry, calculus and analysis, complex functions, numerical analysis and scientific computing, probability and statistics. The course “Information technologies in mathematics”, which involves the use of Mathematica, is also presented - discussed are the syllabus, aims, approaches and outcomes

Modernizing Legacy Physics Applications for Reuse in Web and SOA

This paper concerns the application of recent information technologies for creating a software system for numerical simulations in the domain of plasma physics and in particular metal vapor lasers. The presented work is connected with performing modernization of legacy physics software for reuse on the web and inside a Service-Oriented Architecture environment. Applied and described is the creation of Java front-ends of legacy C++ and FORTRAN codes. Then the transformation of some of the scientific components into web services, as well as the creation of a web interface to the legacy application, is presented. The use of the BPEL language for managing scientific workflows is also considered.* This work was partially supported by the NSF of the Bulgarian Ministry of Education and Science, project VU-MI-205/2006, and the RS-2009-M13 project of the Scientific Fund of the Paisii Hilendarski University of Plovdiv, Bulgaria