Informed trading in hybrid bond markets

I study the impact of pretrade transparency on trading activity in an environment where dealers, informed and uninformed alike, can choose between an electronic limit order book (LOB) and an over-the-counter (OTC) market. By investigating bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they base their trading strategy on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the value of their information by choosing the immediacy of the LOB when trades contain information. This suggests that OTC trades are exposed to a leakage of information to other dealers.acceptedVersio

Price discovery in government bond markets

.Price Discovery; Microstructure; Government Bonds; Norway

Forecasting short term yield changes using order flow. Is dealer skill a source of predictability?

.bonds; order flow

Unconditionally Stable Space-Time Finite Element Method for the Shallow Water Equations

We introduce the automatic variationally stable finite element (AVS-FE) method [1, 3] for the shallow water equations (SWE). The AVS-FE method uses a first order system integral formulation of the under- lying partial differential equations (PDEs) and, in the spirit of the discontinuous Petrov-Galerkin (DPG) method by Demkowicz and Gopalakrishnan [2], employs the concept of optimal test functions to ensure discrete stability. The AVS-FE method distinguishes itself by using globally conforming FE trial spaces, e.g., H1(Ω) and H(div,Ω) and their broken counterparts for the test spaces. The broken topology of the test spaces allows us to compute numerical approximations of the local restrictions of the optimal test functions in a completely decoupled fashion, i.e., element-by-element. The test functions can be com- puted with sufficient numerical accuracy by using the same local p-level as applied for the trial space. The unconditional discrete stability of the method allows for straightforward implementation of transient problems in existing FE solvers such as FEniCS. Furthermore, the AVS-FE method comes with a built-in a posteriori error estimate as well as element-wise error indicators allowing us to perform mesh adaptive refinements in both space and time. The application of this method to complex physical domains requires large FE meshes leading to signif- icant computational costs. However, since the computation of optimal test functions as well as element- wise error indicators are all local, the method is an excellent candidate for parallel processing. We show numerical verifications for the SWE utilizing the built-in error indicators to drive mesh adaptive refine- ments

Efficacy of reduced order source terms for a coupled wave-circulation model in the Gulf of Mexico

A study is conducted that focuses on the trade-off between run time and accuracy of using reduced order source terms in a coupled wave-circulation model. In the study, ADCIRC+SWAN is used to model Hurricane Ike and Hurricane Ida. Water levels from the coupled model are compared to gauge data and significant wave height, peak period, and mean wave direction are compared to buoys. Results show potential for efficacy of reduced order source terms in order to eliminate computational cost while sacrificing minimal accuracy with respect to field measurements