7 research outputs found

    Bid/ask Spreads And The Costs Of Making Markets

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    The purpose of this thesis is to test the received explanations of the determinants of bid/ask spreads for common equity securities. This thesis employs trade-to-trade data for twenty-four securities listed on the Toronto Stock Exchange (TSE) over the period from August, 1988 through December, 1992. The literature is extended by simultaneously modelling the cost components (inventory, asymmetric information, fixed, and search costs) and volatility of realized bid/ask spreads using an exponential autoregressive conditional heteroscedasticity (EARCH) framework. Because certain small trades on the TSE are auto-filled, registered traders do not always make a decision on trade involvement--some trades are non-discretionary. The theoretical model of spreads used in this thesis extends Glosten and Harris\u27 (52) (GH) model by distinguishing between non-discretionary (auto-filled) and discretionary trades to allow testing for differences in cost structures. Determination of the relative contribution of the various cost components is also based on GH.;The contributions of this thesis are threefold: (1) the costs of trading are dependent on the trade type--auto-filled versus discretionary; (2) the volatility of realized spreads is modelled as an exponential autoregressive conditionally heteroscedastic (EARCH) process which is a function of information flow; and (3) richer, more exact intra-daily data is used to eliminate problems currently recognized in the literature. The primary conclusions are: (1) for non-discretionary trades, the average cost per share per trade is {dollar}0.0683 of which 96\% is due to fixed costs and 4\% is an asymmetric information cost; (2)~for discretionary trades, the average cost is \{dollar}0.0273 of which 76% is fixed and 24% is information: and (3) search (liquidity) and inventory costs are not statistically different from 0. These results are consistent over three different sub-periods

    Mapping the human genetic architecture of COVID-19

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    The genetic make-up of an individual contributes to the susceptibility and response to viral infection. Although environmental, clinical and social factors have a role in the chance of exposure to SARS-CoV-2 and the severity of COVID-191,2, host genetics may also be important. Identifying host-specific genetic factors may reveal biological mechanisms of therapeutic relevance and clarify causal relationships of modifiable environmental risk factors for SARS-CoV-2 infection and outcomes. We formed a global network of researchers to investigate the role of human genetics in SARS-CoV-2 infection and COVID-19 severity. Here we describe the results of three genome-wide association meta-analyses that consist of up to 49,562 patients with COVID-19 from 46 studies across 19 countries. We report 13 genome-wide significant loci that are associated with SARS-CoV-2 infection or severe manifestations of COVID-19. Several of these loci correspond to previously documented associations to lung or autoimmune and inflammatory diseases3–7. They also represent potentially actionable mechanisms in response to infection. Mendelian randomization analyses support a causal role for smoking and body-mass index for severe COVID-19 although not for type II diabetes. The identification of novel host genetic factors associated with COVID-19 was made possible by the community of human genetics researchers coming together to prioritize the sharing of data, results, resources and analytical frameworks. This working model of international collaboration underscores what is possible for future genetic discoveries in emerging pandemics, or indeed for any complex human disease

    Whole-genome sequencing reveals host factors underlying critical COVID-19

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    Altres ajuts: Department of Health and Social Care (DHSC); Illumina; LifeArc; Medical Research Council (MRC); UKRI; Sepsis Research (the Fiona Elizabeth Agnew Trust); the Intensive Care Society, Wellcome Trust Senior Research Fellowship (223164/Z/21/Z); BBSRC Institute Program Support Grant to the Roslin Institute (BBS/E/D/20002172, BBS/E/D/10002070, BBS/E/D/30002275); UKRI grants (MC_PC_20004, MC_PC_19025, MC_PC_1905, MRNO2995X/1); UK Research and Innovation (MC_PC_20029); the Wellcome PhD training fellowship for clinicians (204979/Z/16/Z); the Edinburgh Clinical Academic Track (ECAT) programme; the National Institute for Health Research, the Wellcome Trust; the MRC; Cancer Research UK; the DHSC; NHS England; the Smilow family; the National Center for Advancing Translational Sciences of the National Institutes of Health (CTSA award number UL1TR001878); the Perelman School of Medicine at the University of Pennsylvania; National Institute on Aging (NIA U01AG009740); the National Institute on Aging (RC2 AG036495, RC4 AG039029); the Common Fund of the Office of the Director of the National Institutes of Health; NCI; NHGRI; NHLBI; NIDA; NIMH; NINDS.Critical COVID-19 is caused by immune-mediated inflammatory lung injury. Host genetic variation influences the development of illness requiring critical care or hospitalization after infection with SARS-CoV-2. The GenOMICC (Genetics of Mortality in Critical Care) study enables the comparison of genomes from individuals who are critically ill with those of population controls to find underlying disease mechanisms. Here we use whole-genome sequencing in 7,491 critically ill individuals compared with 48,400 controls to discover and replicate 23 independent variants that significantly predispose to critical COVID-19. We identify 16 new independent associations, including variants within genes that are involved in interferon signalling (IL10RB and PLSCR1), leucocyte differentiation (BCL11A) and blood-type antigen secretor status (FUT2). Using transcriptome-wide association and colocalization to infer the effect of gene expression on disease severity, we find evidence that implicates multiple genes-including reduced expression of a membrane flippase (ATP11A), and increased expression of a mucin (MUC1)-in critical disease. Mendelian randomization provides evidence in support of causal roles for myeloid cell adhesion molecules (SELE, ICAM5 and CD209) and the coagulation factor F8, all of which are potentially druggable targets. Our results are broadly consistent with a multi-component model of COVID-19 pathophysiology, in which at least two distinct mechanisms can predispose to life-threatening disease: failure to control viral replication; or an enhanced tendency towards pulmonary inflammation and intravascular coagulation. We show that comparison between cases of critical illness and population controls is highly efficient for the detection of therapeutically relevant mechanisms of disease

    A second update on mapping the human genetic architecture of COVID-19

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    Mapping the human genetic architecture of COVID-19

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    The genetic make-up of an individual contributes to the susceptibility and response to viral infection. Although environmental, clinical and social factors have a role in the chance of exposure to SARS-CoV-2 and the severity of COVID-191,2, host genetics may also be important. Identifying host-specific genetic factors may reveal biological mechanisms of therapeutic relevance and clarify causal relationships of modifiable environmental risk factors for SARS-CoV-2 infection and outcomes. We formed a global network of researchers to investigate the role of human genetics in SARS-CoV-2 infection and COVID-19 severity. Here we describe the results of three genome-wide association meta-analyses that consist of up to 49,562 patients with COVID-19 from 46 studies across 19 countries. We report 13 genome-wide significant loci that are associated with SARS-CoV-2 infection or severe manifestations of COVID-19. Several of these loci correspond to previously documented associations to lung or autoimmune and inflammatory diseases3,4,5,6,7. They also represent potentially actionable mechanisms in response to infection. Mendelian randomization analyses support a causal role for smoking and body-mass index for severe COVID-19 although not for type II diabetes. The identification of novel host genetic factors associated with COVID-19 was made possible by the community of human genetics researchers coming together to prioritize the sharing of data, results, resources and analytical frameworks. This working model of international collaboration underscores what is possible for future genetic discoveries in emerging pandemics, or indeed for any complex human disease
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