Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor, or SIP, we focus here on its accuracy. Relying on Trade and Quote data, we provide various measures of SIP latency relative to high-speed data feeds between exchanges, known as direct feeds. We use first differences to highlight not only the divergence between the direct feeds and the SIP, but also the fundamental inaccuracy of the SIP. We find that as many as 60 percent or more of trades are reported out of sequence for stocks with high trade volume, therefore skewing simple measures such as returns. While not yet definitive, this analysis supports our preliminary conclusion that the underlying infrastructure of the SIP is currently unable to keep pace with the trading activity in today's stock market.Comment: 18 pages, 20 figures, 2 table

Revisiting Stylized Facts for Modern Stock Markets

In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial time series, resulting in 11 qualitative properties presumed to be universal to all financial markets. Here, we replicate Cont's analyses for a convenience sample of stocks drawn from the U.S. stock market following a fundamental shift in market regulation. Our study relies on the same authoritative data as that used by the U.S. regulator. We find conclusive evidence in the modern market for eight of Cont's original facts, while we find weak support for one additional fact and no support for the remaining two. Our study represents the first test of the original set of 11 stylized facts against the same stocks, therefore providing insight into how Cont's stylized facts should be viewed in the context of modern stock markets.Comment: 19 pages, 11 figure

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in calendar year 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest. Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude. During this period, roughly 22% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over $160 million, a conservative estimate that does not take into account intra-day offsetting events

Reply to Garcia et al.: Common mistakes in measuring frequency-dependent word characteristics

We demonstrate that the concerns expressed by Garcia et al. are misplaced, due to (1) a misreading of our findings in [1]; (2) a widespread failure to examine and present words in support of asserted summary quantities based on word usage frequencies; and (3) a range of misconceptions about word usage frequency, word rank, and expert-constructed word lists. In particular, we show that the English component of our study compares well statistically with two related surveys, that no survey design influence is apparent, and that estimates of measurement error do not explain the positivity biases reported in our work and that of others. We further demonstrate that for the frequency dependence of positivity---of which we explored the nuances in great detail in [1]---Garcia et al. did not perform a reanalysis of our data---they instead carried out an analysis of a different, statistically improper data set and introduced a nonlinearity before performing linear regression.Comment: 5 pages, 2 figures, 1 table. Expanded version of reply appearing in PNAS 201

Human language reveals a universal positivity bias

Using human evaluation of 100,000 words spread across 24 corpora in 10 languages diverse in origin and culture, we present evidence of a deep imprint of human sociality in language, observing that (i ) the words of natural human language possess a universal positivity bias, (ii ) the estimated emotional content of words is consistent between languages under translation, and (iii ) this positivity bias is strongly independent of frequency of word use. Alongside these general regularities, we describe interlanguage variations in the emotional spectrum of languages that allow us to rank corpora. We also show how our word evaluations can be used to construct physical-like instruments for both real-time and offline measurement of the emotional content of large-scale texts

MicroRNA-34a upregulation during seizure-induced neuronal death

MicroRNAs (miRNAs) are short, noncoding RNAs that function as posttranscriptional regulators of gene expression by controlling translation of mRNAs. A subset of miRNAs may be critical for the control of cell death, including the p53-regulated miRNA, miR-34a. Because seizures activate p53, and p53-deficient mice are reportedly resistant to damage caused by prolonged seizures, we investigated the role of miR-34a in seizure-induced neuronal death in vivo. Status epilepticus was induced by intra-amygdala microinjection of kainic acid in mice. This led to an early (2 h) multifold upregulation of miR-34a in the CA3 and CA1 hippocampal subfields and lower protein levels of mitogen-activated kinase kinase kinase 9, a validated miR-34a target. Immunoprecipitation of the RNA-induced silencing complex component, Argonaute-2, eluted significantly higher levels of miR-34a after seizures. Injection of mice with pifithrin-α, a putative p53 inhibitor, prevented miR-34a upregulation after seizures. Intracerebroventricular injection of antagomirs targeting miR-34a reduced hippocampal miR-34a levels and had a small modulatory effect on apoptosis-associated signaling, but did not prevent hippocampal neuronal death in models of either severe or moderate severity status epilepticus. Thus, prolonged seizures cause subfield-specific, temporally restricted upregulation of miR-34a, which may be p53 dependent, but miR-34a is probably not important for seizure-induced neuronal death in this model

Patient-derived glioblastoma cells show significant heterogeneity in treatment responses to the inhibitor-of-apoptosis-protein antagonist birinapant.

BACKGROUND: Resistance to temozolomide (TMZ) greatly limits chemotherapeutic effectiveness in glioblastoma (GBM). Here we analysed the ability of the Inhibitor-of-apoptosis-protein (IAP) antagonist birinapant to enhance treatment responses to TMZ in both commercially available and patient-derived GBM cells. METHODS: Responses to TMZ and birinapant were analysed in a panel of commercial and patient-derived GBM cell lines using colorimetric viability assays, flow cytometry, morphological analysis and protein expression profiling of pro- and antiapoptotic proteins. Responses in vivo were analysed in an orthotopic xenograft GBM model. RESULTS: Single-agent treatment experiments categorised GBM cells into TMZ-sensitive cells, birinapant-sensitive cells, and cells that were insensitive to either treatment. Combination treatment allowed sensitisation to therapy in only a subset of resistant GBM cells. Cell death analysis identified three principal response patterns: Type A cells that readily activated caspase-8 and cell death in response to TMZ while addition of birinapant further sensitised the cells to TMZ-induced cell death; Type B cells that readily activated caspase-8 and cell death in response to birinapant but did not show further sensitisation with TMZ; and Type C cells that showed no significant cell death or moderately enhanced cell death in the combined treatment paradigm. Furthermore, in vivo, a Type C patient-derived cell line that was TMZ-insensitive in vitro and showed a strong sensitivity to TMZ and TMZ plus birinapant treatments. CONCLUSIONS: Our results demonstrate remarkable differences in responses of patient-derived GBM cells to birinapant single and combination treatments, and suggest that therapeutic responses in vivo may be greatly affected by the tumour microenvironment

Bookselling online: an examination of consumer behaviour patterns.

Based upon empirical research, and using a range of methods, this paper examines the behaviour and experiences of consumers in online bookselling settings and offers comparison between online and offline (traditional) bookselling. The research finds that while the convenience of online bookshops is important, the key factors enticing consumers online are a combination of breadth of range, ease of access to obscure titles, as well as personalised recommendations and customer reviews. The research is of value to the book trade, highlighting consumer responses to widely adopted online marketing approaches. The research also contributes to scholarly knowledge in the fields of consumer behaviour, e-marketing and e-commerce in online bookselling, as well as providing findings which can be tested in other online settings, informing future theoretical research

MicroRNA-34a is a potent tumor suppressor molecule in vivo in neuroblastoma

<p>ABSTRACT</p> <p>Background</p> <p>Neuroblastoma is a paediatric cancer which originates from precursor cells of the sympathetic nervous system and accounts for 15% of childhood cancer mortalities. With regards to the role of miRNAs in neuroblastoma, miR-34a, mapping to a chromosome 1p36 region that is commonly deleted, has been found to act as a tumor suppressor through targeting of numerous genes associated with cell proliferation and apoptosis.</p> <p>Methods</p> <p>A synthetic miR-34a (or negative control) precursor molecule was transfected into NB1691^lucand SK-N-AS^lucneuroblastoma cells. Quantitative PCR was used to verify increased miR-34a levels in NB1691^lucand SK-N-AS^luccell lines prior to <it>in vitro </it>and <it>in vivo </it>analysis. <it>In vitro </it>analysis of the effects of miR-34a over expression on cell growth, cell cycle and phosphoprotein activation in signal transduction pathways was performed. Neuroblastoma cells over expressing miR-34a were injected retroperitoneally into immunocompromised CB17-SCID mice and tumor burden was assessed over a 21 day period by measuring bioluminescence (photons/sec/cm²).</p> <p>Results</p> <p>Over expression of miR-34a in both NB1691^lucand SK-N-AS^lucneuroblastoma cell lines led to a significant decrease in cell number relative to premiR-negative control treated cells over a 72 hour period. Flow cytometry results indicated that miR-34a induced cell cycle arrest and subsequent apoptosis activation. Phosphoprotein analysis highlighted key elements involved in signal transduction, whose activation was dysregulated as a result of miR-34a introduction into cells. As a potential mechanism of miR-34a action on phosphoprotein levels, we demonstrate that miR-34a over-expression results in a significant reduction of <it>MAP3K9 </it>mRNA and protein levels. Although <it>MAP3K9 </it>is a predicted target of miR-34a, direct targeting could not be validated with luciferase reporter assays. Despite this fact, any functional effects of reduced MAP3K9 expression as a result of miR-34a would be expected to be similar regardless of the mechanism involved. Most notably, <it>in vivo </it>studies showed that tumor growth was significantly repressed after exogenous miR-34a administration in retroperitoneal neuroblastoma tumors.</p> <p>Conclusion</p> <p>We demonstrate for the first time that miR-34a significantly reduces tumor growth in an <it>in vivo </it>orthotopic murine model of neuroblastoma and identified novel effects that miR-34a has on phospho-activation of key proteins involved with apoptosis.</p