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

Time Series Momentum Trading Strategy and Autocorrelation Amplification

This article assumes general stationary processes for prices and derives the autocorrelation function for a general Moving Average (MA) trading rule to investigate why this rule is used. The result shows that the MA rule is popular because it can identify price momentum and is a simple way of tracing and exploiting price autocorrelation structure without necessarily knowing its precise structure. We focus on analyzing the impact of price momentum on the profitability of the MA rule because the price momentum effect tends to be stronger and more persistent than the return momentum effect

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

Additive Function of Vibrio vulnificus MARTXVv and VvhA Cytolysins Promotes Rapid Growth and Epithelial Tissue Necrosis During Intestinal Infection

Vibrio vulnificus is a pathogen that causes both severe necrotizing wound infections and life-threatening food-borne infections. Food-borne infection is particularly lethal as the infection can progress rapidly to primary septicemia resulting in death from septic shock and multiorgan failure. In this study, we use both bioluminescence whole animal imaging and V. vulnificus bacterial colonization of orally infected mice to demonstrate that the secreted multifunctional-autoprocessing RTX toxin (MARTXVv) and the cytolysin/hemolysin VvhA of clinical isolate CMCP6 have an important function in the gut to promote early in vivo growth and dissemination of this pathogen from the small intestine to other organs. Using histopathology, we find that both cytotoxins can cause villi disruption, epithelial necrosis, and inflammation in the mouse small intestine. A double mutant deleted of genes for both cytotoxins was essentially avirulent, did not cause intestinal epithelial tissue damage, and was cleared from infected mice by 36 hours by an effective immune response. Therefore, MARTXVv and VvhA seem to play an additive role for pathogenesis of CMCP6 causing intestinal tissue damage and inflammation that then promotes dissemination of the infecting bacteria to the bloodstream and other organs. In the absence of these two secreted factors, we propose that this bacterium is unable to cause intestinal infection in humans

Identifying coastal archaeology using multispectral satellite imagery of the intertidal zone: A pilot study

This project is a desk-based assessment to test the value of using multispectral high-resolution data to examine intertidal archaeology and morphology. The project takes advantage of recent advances in remote-sensing technologies and GIS spatial mapping capabilities to identify archaeological features, integrate a wide range of archaeological, morphological and palaeoenvironmental data, and to reconstruct the coastal prehistory of the Solent, on the southern coast of England. The project focuses on the development and assessment of the multispectral mapping technique, which has the potential to provide a cost-effective approach for monitoring, mapping and managing the coastal zone and their related archaeological sites, particularly in regions of significant human activity