BFV Quantization of Relativistic Spinning Particles with a Single Bosonic Constraint

Using the BFV approach we quantize a pseudoclassical model of the spin one half relativistic particle that contains a single bosonic constraint, contrary to the usual locally supersymmetric models that display first and second class constraints.Comment: 5 p., Latex, IF-UFRJ-94-1

An operator approach to BRST invariant transition amplitudes

The transition amplitudes for the free spinless and spinning relativistic particles are obtained by applying an operator method developed long ago by Dirac and Schwinger to the BFV form of the BRST theory for constrained systems.Comment: 10 pages, Latex, IF-UFRJ-9

The Impact of the Suspension of Opening and Closing Call

A hotly debated issue in the market microstructure literature is the effectiveness of call auctions as against continuous trading systems. In this paper we investigate this issue by studying the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare the volatility, efficiency and liquidity (VEL) of securities in the market before and after suspension, and estimate the value of the auctions to traders by carrying out an event study. Contrary to expectation, we find that VEL factors improved following the suspension, and the CARs were significant but were not uniformly positive or negative. As a partial explanation for these results, we find that less liquid stocks traded less in the auctions than did other securities, especially at the opening, and they experienced the most gains following the suspension. This suggests that less liquid stocks did not gain the expected benefits from the auctions, and therefore that it cannot be assumed that a call auction system will improve share trading in a less liquid emerging market. Future research in this area will need to pay attention to the composition of the shares being traded and to the nature of the trading process in different shares in the market.Call Auctions, stock markets, National Stock Exchange of India

An Analysis of the Impacts of Non-Synchronous Trading On

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by various researchers. In this paper we investigate non-synchronous trading effects in terms of the predictability that may be induced in the values of stock indices. This analysis is applied to emerging-market data, on the grounds that such markets might be less liquid and thus prone to a higher degree of non- synchronous trading. We use both a daily data set and a higher frequency one, since the latter is a prerequisite for capturing intra-day variations in trading activity. When considering one-minute interval data, we obtain clear evidence of predictability between indices with different degrees of non-synchronous trading. We then propose a simple test to infer whether such predictability is mainly attributable to non- synchronous trading or an actual delayed adjustment on part of traders. The results obtained from an intra-day analysis suggest that the former cause seems a better explanation for the observed predictability. Future research in this area is needed to shed light on the degree of data predictability which may be exclusively attributed to non-synchronous trading, and how empirical results may be influenced by the chosen data frequency.Non-Synchronous Trading, Stock Markets, National Stock Exchange of India, High-Frequency Data.