Informational Integration and FX Trading

This paper addresses international financial integration in a new way. We focus on informational integration, specifically, the importance of information conveyed by order flow in major currencies for pricing minor currencies. We develop a multi-currency model of portfolio allocation in the presence of dispersed information. We then test the modelÂ’s implications using four months of concurrent transaction data on nine currencies. The model explains 45 to 78 percent of daily returns in all nine currencies. Moreover, its prediction that order flow in individual markets should be relevant for determining prices in other markets is borne out.Exchange Rates, Order flow, Financial Integration

Exchange Rate Fundamentals and Order Flow (July 2004)

This paper addresses the striking ability of transaction flows to explain exchange rate movements. Specifically, we examine whether this arises because transaction flows convey incremental information about fundamentals. If so, then these flows should affect price upon their realization and observation by price setters (marketmakers). Our model is a simple general equilibrium model of information aggregation that provides---in a setting of incomplete markets---a utility-based present-value representation for exchange rates. The model produces testable implications for the relationships between realized transaction flows, current and future exchange rate returns, and future fundamentals (e.g., money supplies). We then bring these implications to the data, making use of a new dataset covering over six years of transactions (which permits estimation at the monthly frequency). We find strong contemporanous effects of transaction flows on exchange rates, corroborating past findings. More importantly, we present four key findings that are both new to the literature and supportive of our model: (1) transaction flows forecast (Granger cause) future macroeconomic variables such as money growth, output growth, and inflation, (2) transaction flows forecast future exchange rates changes, and do so more effectively than forward discounts, (3) the future exchange rate components that current flows forecast are primarily the future non-flow-driven components, and (4) though flows convey new information about future fundamentals, much of this information is still not impounded in the exchange rate 9 months later. The slow pace of learning implies that abstracting from information aggregation---as is standard in exchange rate economics---is not innocuous.Exchange Rate Dynamics, Microstructure, Order Flow.

How is Macro News Transmitted to Exchange Rates? (December 2003)

This paper tests whether macroeconomic news is transmitted to exchange rates via the transactions process and if so, what share occurs via transactions versus the traditional direct channel. We identify the link between order flow and macro news using a heteroskedasticity-based approach, a la Rigobon and Sack (2002). In both daily and intra-daily data, order flow varies considerably with macro news flow. At least half of the effect of macro news on exchange rates is transmitted via order flow.

Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap). Over our 3-year forecasting sample, we find that the micro-based model consistently out-performs both the random walk and the macro model. Micro-based forecasts account for almost 16 per cent of the sample variance in monthly spot rate changes. These results provide a level of empirical validation as yet unattained by other models. Though our micro-based model out-performs the macro model, this does not imply that past macro analysis has overlooked key fundamentals: our structural interpretation using a fundamentals-based model shows that our findings are consistent with exchange rates being driven by standard fundamentals.Exchange rates, forecasting, Meese and Rogoff, microstructure, order flow

Measurement of the W-boson mass in pp collisions at √s=7 TeV with the ATLAS detector

A measurement of the mass of the W boson is presented based on proton–proton collision data recorded in 2011 at a centre-of-mass energy of 7 TeV with the ATLAS detector at the LHC, and corresponding to 4.6 fb−1 of integrated luminosity. The selected data sample consists of 7.8×106 candidates in the W→μν channel and 5.9×106 candidates in the W→eν channel. The W-boson mass is obtained from template fits to the reconstructed distributions of the charged lepton transverse momentum and of the W boson transverse mass in the electron and muon decay channels, yielding mW=80370±7 (stat.)±11(exp. syst.) ±14(mod. syst.) MeV =80370±19MeV, where the first uncertainty is statistical, the second corresponds to the experimental systematic uncertainty, and the third to the physics-modelling systematic uncertainty. A measurement of the mass difference between the W+ and W−bosons yields mW+−mW−=−29±28 MeV

Non-motor predictors of 36-month quality of life after subthalamic stimulation in Parkinson disease

To identify predictors of 36-month follow-up quality of life (QoL) outcome after bilateral subthalamic nucleus deep brain stimulation (STN-DBS) in Parkinson’s disease (PD). In this ongoing, prospective, multicenter international study (Cologne, Manchester, London) including 73 patients undergoing STN-DBS, we assessed the following scales preoperatively and at 6-month and 36-month follow-up: PD Questionnaire-8 (PDQ-8), NMSScale (NMSS), Scales for Outcomes in PD (SCOPA)-motor examination, -activities of daily living, and -complications, and levodopa equivalent daily dose (LEDD). We analyzed factors associated with QoL improvement at 36-month follow-up based on (1) correlations between baseline test scores and QoL improvement, (2) step-wise linear regressions with baseline test scores as independent and QoL improvement as dependent variables, (3) logistic regressions and receiver operating characteristic curves using a dichotomized variable “QoL responders”/“non-responders”. At both follow-ups, NMSS total score, SCOPA-motor examination, and -complications improved and LEDD was reduced significantly. PDQ-8 improved at 6-month follow-up with subsequent decrements in gains at 36-month follow-up when 61.6% of patients were categorized as “QoL non-responders”. Correlations, linear, and logistic regression analyses found greater PDQ-8 improvements in patients with younger age, worse PDQ-8, and worse specific NMS at baseline, such as ‘difficulties experiencing pleasure’ and ‘problems sustaining concentration’. Baseline SCOPA scores were not associated with PDQ-8 changes. Our results provide evidence that 36-month QoL changes depend on baseline neuropsychological and neuropsychiatric non-motor symptoms burden. These findings highlight the need for an assessment of a wide range of non-motor and motor symptoms when advising and selecting individuals for DBS therapy

Genome-wide association study of 14,000 cases of seven common diseases and 3,000 shared controls

There is increasing evidence that genome-wide association (GWA) studies represent a powerful approach to the identification of genes involved in common human diseases. We describe a joint GWA study (using the Affymetrix GeneChip 500K Mapping Array Set) undertaken in the British population, which has examined similar to 2,000 individuals for each of 7 major diseases and a shared set of similar to 3,000 controls. Case-control comparisons identified 24 independent association signals at P < 5 X 10(-7): 1 in bipolar disorder, 1 in coronary artery disease, 9 in Crohn's disease, 3 in rheumatoid arthritis, 7 in type 1 diabetes and 3 in type 2 diabetes. On the basis of prior findings and replication studies thus-far completed, almost all of these signals reflect genuine susceptibility effects. We observed association at many previously identified loci, and found compelling evidence that some loci confer risk for more than one of the diseases studied. Across all diseases, we identified a large number of further signals (including 58 loci with single-point P values between 10(-5) and 5 X 10(-7)) likely to yield additional susceptibility loci. The importance of appropriately large samples was confirmed by the modest effect sizes observed at most loci identified. This study thus represents a thorough validation of the GWA approach. It has also demonstrated that careful use of a shared control group represents a safe and effective approach to GWA analyses of multiple disease phenotypes; has generated a genome-wide genotype database for future studies of common diseases in the British population; and shown that, provided individuals with non-European ancestry are excluded, the extent of population stratification in the British population is generally modest. Our findings offer new avenues for exploring the pathophysiology of these important disorders. We anticipate that our data, results and software, which will be widely available to other investigators, will provide a powerful resource for human genetics research