An empirical analysis of specialist trading behavior at the New York Stock Exchange

I establish stylized empirical facts about the trading behavior of New York Stock Exchange specialists. Specifically, I look at the effect of future price movements, the specialist's explicit role, and the specialist's inventory levels on specialist trading behavior. The motivation for this empirical study is to infer whether the specialist behaves like an active investor who has an information advantage which he obtains while acting as a broker for other traders. If this were the case, one would expect that the specialist would engage in a profit maximizing strategy, buying low and selling high, which is opposite to the prediction of the traditional inventory model. I find that specialists behave like active investors who seek to buy stocks when prices are low and to sell when prices are high. I also find that when specialists are not performing their trading obligations of being on the opposite side of the market they are in almost 85 percent of their trades, buying low and selling high. The findings of this paper indicate that the NYSE specialist is best represented in theoretical models as a constrained profit maximizing, informed investor rather than as a zero profit trader.Stockbrokers ; Stock market

Exchange rates dependence: what drives it?

Exchange rate movements are difficult to predict but there appear to be discernible patterns in how currencies jointly appreciate or depreciate against the dollar. In this paper, we study the dependence structure of a number of exchange rate pairs against the dollar. We employ a conditional copula approach to recover the joint distributions for pairs of exchange rates and study both the correlation and the upper and lower tail dependence of these distributions. We analyze changes in dependence measures over time, and we investigate whether these measures are affected by the business cycle or interest rate differentials. Our results show that dependencies are indeed time-varying. We find that foreign and U.S. recessions affect the joint dependence structure and that currencies with higher interest rate differentials tend to move less closely together, not only on average (correlation), but also when extreme events occur (tails).

Lessons from a collapse of a financial system

The paper draws lessons from the collapse of Iceland's banking system in October 2008. The rapid expansion of the banking system following its privatization in the early 2000s is explained, as well as the inherent fragility due to the size of the banking system relative to the domestic economy and the central bank's reserves, market manipulation enabling bank capital to expand rapidly and the weak and understaffed public institutions. Most of Iceland's banking system was traditionally in state hands but was privatized and sold to politically favoured entities at the turn of the century, with laws and regulations subsequently changed to facilitate the expansion of the banking system. Political connections and the tacit support of the authorities enabled senior bank managers and key shareholders to extract significant private benefits while shifting risk to domestic and foreign taxpayers and foreign creditors. These problems were exacerbated by symptoms of what the paper terms the small country syndrome. The size of the banking sector made the central bank incapable of serving as the lender of last resort. The domestic supervisor, the central bank and the ministries in charge of economic affairs were understaffed and lacking in experience in how to manage a large financial sector. The rapid growth was also ultimately unsustainable due to high levels of leverage and a weak capital base due to both the rapid expansion of balance sheets and lending to finance investment in own shares. The episode demonstrates the importance of closely monitoring rapidly growing financial institutions and even possibly slowing growth when institutions are systemically important. One lesson to be drawn from the crisis relates to the role of politics in a financial crisis. The Icelandic authorities as a matter of policy encouraged the creation of an international banking centre. This involved the privatization and deregulation of the banking system, rules and regulations being relaxed and the neglect of financial supervision. Another lesson is that floating exchange rates can be hazardous in the presence of large capital flows. The central bank raised interest rates during the boom years in order to meet an inflation target. This created an interest rate differential with other countries that encourages a large volume of carry trades and incentivized domestic agents to borrow in foreign currency. Both conspired to create an asset price bubble, excessive currency appreciation and - counter-intuitively - high inflation. The result was that monetary policy as conducted was ineffective at curbing domestic demand. The eventual large depreciation of the currency made a large section of the economy insolvent. Finally, there are lessons about the European passport system in financial services and the common market. The Icelandic banks had the right to set up branches in the European Union by means of the passport on the explicit assumption that home regulators were exercising adequate controls. The collapse of the banks left the United Kingdom and the Netherlands with significant costs, demonstrating the inherent weakness in the passport when one member country can undercut the supervisory standards of other member countries. For the passport system to work, the home supervisor must be trustworthy. - Sigridur Benediktsdottir, Jon Danielsson and Gylfi Zoega

Premature menopause and autoimmune primary ovarian insufficiency in two international multi-center cohorts

Objective: To investigate markers of premature menopause (<40 years) and specifically the prevalence of autoimmune primary ovarian insufficiency (POI) in European women. Design: Postmenopausal women were categorized according to age at menopause and self-reported reason for menopause in a cross-sectional analysis of 6870 women. Methods: Variables associated with the timing of menopause and hormone measurements of 17β-estradiol and follicle-stimulating hormone were explored using multivariable logistic regression analysis. Specific immunoprecipitating assays of steroidogenic autoantibodies against 21-hydroxylase (21-OH), side-chain cleavage enzyme (anti-SCC) and 17alpha-hydroxylase (17 OH), as well as NACHT leucine-rich-repeat protein 5 were used to identify women with likely autoimmune POI. Results: Premature menopause was identified in 2.8% of women, and these women had higher frequencies of nulliparity (37.4% vs 19.7%), obesity (28.7% vs 21.4%), osteoporosis (17.1% vs 11.6%), hormone replacement therapy (59.1% vs 36.9%) and never smokers (60.1% vs 50.9%) (P < 0.05), compared to women with menopause ≥40 years. Iatrogenic causes were found in 91 (47%) and non-ovarian causes in 27 (14%) women, while 77 (39%) women were classified as POI of unknown cause, resulting in a 1.1% prevalence of idiopathic POI. After adjustments nulliparity was the only variable significantly associated with POI (odds ratio 2.46; 95% CI 1.63–3.42). Based on the presence of autoantibodies against 21 OH and SCC, 4.5% of POI cases were of likely autoimmune origin. Conclusion: Idiopathic POI affects 1.1% of all women and almost half of the women with premature menopause. Autoimmunity explains 4.5% of these cases judged by positive steroidogenic autoantibodies

Premature menopause and autoimmune primary ovarian insufficiency in two international multi-center cohorts

International audienceObjective To investigate markers of premature menopause (<40 years) and specifically the prevalence of autoimmune primary ovarian insufficiency (POI) in European women. Design Postmenopausal women were categorized according to age at menopause and self-reported reason for menopause in a cross-sectional analysis of 6870 women. Methods Variables associated with the timing of menopause and hormone measurements of 17β-estradiol and follicle-stimulating hormone were explored using multivariable logistic regression analysis. Specific immunoprecipitating assays of steroidogenic autoantibodies against 21-hydroxylase (21-OH), side-chain cleavage enzyme (anti-SCC) and 17alpha-hydroxylase (17 OH), as well as NACHT leucine-rich-repeat protein 5 were used to identify women with likely autoimmune POI. Results Premature menopause was identified in 2.8% of women, and these women had higher frequencies of nulliparity (37.4% vs 19.7%), obesity (28.7% vs 21.4%), osteoporosis (17.1% vs 11.6%), hormone replacement therapy (59.1% vs 36.9%) and never smokers (60.1% vs 50.9%) ( P < 0.05), compared to women with menopause ≥40 years. Iatrogenic causes were found in 91 (47%) and non-ovarian causes in 27 (14%) women, while 77 (39%) women were classified as POI of unknown cause, resulting in a 1.1% prevalence of idiopathic POI. After adjustments nulliparity was the only variable significantly associated with POI (odds ratio 2.46; 95% CI 1.63–3.42). Based on the presence of autoantibodies against 21 OH and SCC, 4.5% of POI cases were of likely autoimmune origin. Conclusion Idiopathic POI affects 1.1% of all women and almost half of the women with premature menopause. Autoimmunity explains 4.5% of these cases judged by positive steroidogenic autoantibodies

Premature menopause and autoimmune primary ovarian insufficiency in two international multi-center cohorts

Objective To investigate markers of premature menopause (<40 years) and specifically the prevalence of autoimmune primary ovarian insufficiency (POI) in European women. Design Postmenopausal women were categorized according to age at menopause and self-reported reason for menopause in a cross-sectional analysis of 6870 women. Methods Variables associated with the timing of menopause and hormone measurements of 17β-estradiol and follicle-stimulating hormone were explored using multivariable logistic regression analysis. Specific immunoprecipitating assays of steroidogenic autoantibodies against 21-hydroxylase (21-OH), side-chain cleavage enzyme (anti-SCC) and 17alpha-hydroxylase (17 OH), as well as NACHT leucine-rich-repeat protein 5 were used to identify women with likely autoimmune POI. Results Premature menopause was identified in 2.8% of women, and these women had higher frequencies of nulliparity (37.4% vs 19.7%), obesity (28.7% vs 21.4%), osteoporosis (17.1% vs 11.6%), hormone replacement therapy (59.1% vs 36.9%) and never smokers (60.1% vs 50.9%) (P < 0.05), compared to women with menopause ≥40 years. Iatrogenic causes were found in 91 (47%) and non-ovarian causes in 27 (14%) women, while 77 (39%) women were classified as POI of unknown cause, resulting in a 1.1% prevalence of idiopathic POI. After adjustments nulliparity was the only variable significantly associated with POI (odds ratio 2.46; 95% CI 1.63–3.42). Based on the presence of autoantibodies against 21 OH and SCC, 4.5% of POI cases were of likely autoimmune origin. Conclusion Idiopathic POI affects 1.1% of all women and almost half of the women with premature menopause. Autoimmunity explains 4.5% of these cases judged by positive steroidogenic autoantibodies