Estimating the efficient price from the order flow: a Brownian Cox process approach

At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose a notion of efficient price which seems relevant in practice. Furthermore, we provide a statistical methodology enabling to estimate this price form the order flow

Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through

Over the past twenty years, U.S. import prices have become less responsive to the exchange rate. We propose that this decline is a result of increased trade integration. To illustrate this effect, we develop an open economy DGE model in which there is strategic complementarity in price setting so that a firm's pricing decision depends on the prices set by its competitors. Because of the complementarity in price setting, a foreign exporter finds it optimal to vary its markup over cost in response to shocks that change the exchange rate, which insulates import prices from exchange rate movements. With increased trade integration, exporters have become more responsive to the prices of their competitors and this change in pricing behavior accounts for a significant portion of the observed decline in the sensitivity of U.S import prices to the exchange rate. Our environment of low pass-through also has important implications for the welfare benefits of trade integration: we find that the benefits are substantially reduced compared to an environment with complete pass-through.Pass-through, Trade Integration, Strategic Complementarities

Entry dynamics and the decline in exchange-rate pass-through

The degree of exchange-rate pass-through to import prices is low. An average passthrough estimate for the 1980s would be roughly 50 percent for the United States implying that, following a 10 percent depreciation of the dollar, a foreign exporter selling to the U.S. market would raise its price in the United States by 5 percent. Moreover, substantial evidence indicates that the degree of pass-through has since declined to about 30 percent. ; Gust, Leduc, and Vigfusson (2010) demonstrate that, in the presence of pricing complementarity, trade integration spurred by lower costs for importers can account for a significant portion of the decline in pass-through. In our framework, pass-through declines solely because of markup adjustments along the intensive margin. ; In this paper, we model how the entry and exit decisions of exporting firms affect passthrough. This is particularly important since the decline in pass-through has occurred as a greater concentration of foreign firms are exporting to the United States. ; We find that the effect of entry on pass-through is quantitatively small and is more than offset by the adjustment of markups that arise only along the intensive margin. Even though entry has a relatively small impact on pass-through, it nevertheless plays an important role in accounting for the secular rise in imports relative to GDP. In particular, our model suggests that over 3/4 of the rise in the U.S. import share since the early 1980s is due to trade in new goods. ; Thus, a key insight of this paper is that adjustment of markups that occur along the intensive margin are quantitatively more important in accounting for secular changes in pass-through than adjustments that occur along the extensive margin.

The Canadian Dairy Commission: an empirical survey on its relevance in today's civil society

The current function of the Canadian Dairy Commission (CDC) raises important public policy issues that have implications for wealth redistribution, administrative law, and civil liberty. The CDC's purported economic relevance in Canadian society serves as a facade for a short-sighted management approach that is devoid of the rudiments of a market mechanism. In order to suggest future public policy developments, an exploratory field survey was conducted and results are presented in this paper. Although the results do not infer that Canadian consumers are discontented with dairy prices in Canada, our evidence shows that consumers know very little about the processes behind marketing milk in Canada, especially with the price setting powers of the CDC. This study indicates that future policies should address this lack of consumer awareness. As global dairy markets evolve, policies designed to protect against domestic and foreign competition will most likely become less effective. Protectionist policies can be detrimental to a country's long-term prosperity as opportunities for new products, adoption of new technologies and faster responses to consumer demands are squandered. The study's limitations and implications for practice and future research are described.Canadian Dairy Commission, marketing boards, Dairy industry, milk products., Livestock Production/Industries, Marketing,

The zipper mechanism in phagocytosis: energetic requirements and variability in phagocytic cup shape

Phagocytosis is the fundamental cellular process by which eukaryotic cells bind and engulf particles by their cell membrane. Particle engulfment involves particle recognition by cell-surface receptors, signaling and remodeling of the actin cytoskeleton to guide the membrane around the particle in a zipper-like fashion. Despite the signaling complexity, phagocytosis also depends strongly on biophysical parameters, such as particle shape, and the need for actin-driven force generation remains poorly understood. Here, we propose a novel, three-dimensional and stochastic biophysical model of phagocytosis, and study the engulfment of particles of various sizes and shapes, including spiral and rod-shaped particles reminiscent of bacteria. Highly curved shapes are not taken up, in line with recent experimental results. Furthermore, we surprisingly find that even without actin-driven force generation, engulfment proceeds in a large regime of parameter values, albeit more slowly and with highly variable phagocytic cups. We experimentally confirm these predictions using fibroblasts, transfected with immunoreceptor FcyRIIa for engulfment of immunoglobulin G-opsonized particles. Specifically, we compare the wild-type receptor with a mutant receptor, unable to signal to the actin cytoskeleton. Based on the reconstruction of phagocytic cups from imaging data, we indeed show that cells are able to engulf small particles even without support from biological actin-driven processes. This suggests that biochemical pathways render the evolutionary ancient process of phagocytic highly robust, allowing cells to engulf even very large particles. The particle-shape dependence of phagocytosis makes a systematic investigation of host-pathogen interactions and an efficient design of a vehicle for drug delivery possible.Comment: Accepted for publication in BMC Systems Biology. 17 pages, 6 Figures, + supplementary informatio