The properties of double-blind Dutch auctions in a clearing house; some new results for the Mendelson Model

In this paper, we re-examine Mendelson’s model for the equilibrium price of a double-blind Dutch auction with Poisson-distributed stochastic demand and supply. We present a number of new results. We focus on the various ways that demand and supply cross. We identify four different categories of crossing, extending Mendelson’s results which are based on a single category of crossing. Secondly, conditioning on quantity, we derive the joint distribution of the relevant demand and supply prices associated with such two-sided markets originally described by Bohm-Bawerk (1891). The distributional result is extended to the case where the limit orders on different sides of the market arrive at different rates. Finally, we derive the distributional properties of the price elasticities

Sequential variable selection as Bayesian pragmatism in linear factor models

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased/decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client/modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful

Endogenous Correlation

We model endogenous correlation in asset returns via the role of heterogeneous expectations in investor types, and the dynamic impact of imitative learning by investors. Learning is driven by relative performance. In addition, we allow a cautious slow learning pace to reflect institutional conditions. Imitative learning shapes the market ecology that influences price formation. Using the model of non-imitative agents as a benchmark, our results show that the dynamics of imitative learning endogenously induce a significant degree of asset dependency and patterns of non-constant correlation. The asymmetric learning effect on correlation, however, implies a self-reinforcing process, where a bearish condition amplifies the effect that further exacerbates asset dependency. We conclude that imitative learning, even when rational, can to a certain extent account for the phenomena of market crashes. Our results have implications for transparency in regulation issues

Steady-state distributions for models of bubbles: their existence and econometric implications

The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we can obtain a steady state distribution of asset prices using our simple model of bubbles based on our particular definition of a bubble. We derive general results and further extend the analysis by considering the steady state distribution in three cases of a (I) a normally distributed error process, (II) a non normally (exponentially) distributed steady-state process and (III) a switching random walk with a fairly general i.i.d error process We then examine the issues related to unit root testing for the presence of bubbles using standard econometric procedures. We illustrate as an example, the market for art, which shows distinctly bubble-like characteristics. Our results shed light on the ubiquitous finding of no bubbles in the econometric literature

What is the mechanism of microalbuminuria in diabetes: a role for the glomerular endothelium?

Microalbuminuria is an important risk factor for cardiovascular disease and progressive renal impairment. This holds true in the general population and particularly in those with diabetes, in whom it is common and marks out those likely to develop macrovascular disease and progressive renal impairment. Understanding the pathophysiological mechanisms through which microalbuminuria occurs holds the key to designing therapies to arrest its development and prevent these later manifestations

The Impact of Technical Analysis on Asset Price Dynamics

The Impact of Technical Analysis on Asset Price Dynamic

Understanding Analysts Forecasts

The purpose of this paper is to model analysts ’ forecasts. The paper differs from the previous research in that we do not focus on how accurate these predictions may be. Accuracy may indeed be an important quality but we argue instead that another equally important aspect of the analysts ’ job is to predict and describe the impact of jump events. In effect, the analysts ’ role is one of scenario prediction. Using a Bayesian-inspired generalised method of moments estimation procedure, we use this notion of scenario prediction combined with the structure of the Morgan Stanley analysts’ forecasting database to model normal (base), optimistic (bull) and pessimistic (bear) forecas

Adhesion of Escherichia coli under flow conditions reveals potential novel effects of FimH mutations

FimH-mediated adhesion of Escherichia coli to bladder epithelium is a prerequisite for urinary tract infections. FimH is also essential for blood-borne bacterial dissemination, but the mechanisms are poorly understood. The purpose of this study was to assess the influence of different FimH mutations on bacterial adhesion using a novel adhesion assay, which models the physiological flow conditions bacteria are exposed to. We introduced 12 different point mutations in the mannose binding pocket of FimH in an E. coli strain expressing type 1 fimbriae only (MSC95-FimH). We compared the bacterial adhesion of each mutant across several commonly used adhesion assays, including agglutination of yeast, adhesion to mono- and tri-mannosylated substrates, and static adhesion to bladder epithelial and endothelial cells. We performed a comparison of these assays to a novel method that we developed to study bacterial adhesion to mammalian cells under flow conditions. We showed that E. coli MSC95-FimH adheres more efficiently to microvascular endothelium than to bladder epithelium, and that only endothelium supports adhesion at physiological shear stress. The results confirmed that mannose binding pocket mutations abrogated adhesion. We demonstrated that FimH residues E50 and T53 are crucial for adhesion under flow conditions. The coating of endothelial cells on biochips and modelling of physiological flow conditions enabled us to identify FimH residues crucial for adhesion. These results provide novel insights into screening methods to determine the effect of FimH mutants and potentially FimH antagonists. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s10096-016-2820-8) contains supplementary material, which is available to authorized users

Minimal Change Disease Is Associated With Endothelial Glycocalyx Degradation and Endothelial Activation

Minimal change disease (MCD) is considered a podocyte disorder triggered by unknown circulating factors. Here, we hypothesized that the endothelial cell (EC) is also involved in MCD

Does High BMI Influence Hospital Charges in Children Undergoing Adenotonsillectomy?

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/93757/1/oby.2008.234.pd