Searching out of Trading Noise: A Study of Intraday Transactions Cost

We attempt to identify in this paper the role of trading noise as a transactions cost to market participant in the sense of Stoll (2000), especially in the presence of trading concentration. Applying the measures of Hu (2006) and Kang and Yeo (2008), we analyze the noise proportion in intraday stock returns and its interaction with investor herding and search cost. Although this noise is high on individual orders and low on institutional orders, its behavior at market open is entirely different from the rest of the day. Noises for small cap stocks, unlike volatilities, are lower than those for large cap stocks. We also found that noise relates positively to trading volume, but inversely to holdings and turnover ratio of institutional investors. Responses from institutional and individuals are quite the opposite. The noise proportion generated by individual order rises with institutional turnover and search cost encountered, while that of institutional order behaves just oppositely. At market open, behaviors of noise from institutional and individual orders just switch mutually, and then switch back afterwards. Also, noise from high-cap stocks is actually more responsive than that from low-cap ones across investors. So trading noise is a specific transactions cost, prominent to only certain investors, at certain time and for certain stocks in the market, rather than a general market friction as argued in Stoll (2000). This transactions cost is inversely related to search costs encountered in trading, which depends on investor, trading hour of day and market capitalization of stocks.Noise, transaction cost, herding, search model, order book

Receptor tyrosine phosphatases regulate axon guidance across the midline of the Drosophila embryo

Neural receptor-linked protein tyrosine phosphatases (RPTPs) are required for guidance of motoneuron and photoreceptor growth cones in Drosophila. These phosphatases have not been implicated in growth cone responses to specific guidance cues, however, so it is unknown which aspects of axonal pathfinding are controlled by their activities. Three RPTPs, known as DLAR, DPTP69D, and DPTP99A, have been genetically characterized thus far. Here we report the isolation of mutations in the fourth neural RPTP, DPTP10D. The analysis of double mutant phenotypes shows that DPTP10D and DPTP69D are necessary for repulsion of growth cones from the midline of the embryonic central nervous system. Repulsion is thought to be triggered by binding of the secreted protein Slit, which is expressed by midline glia, to Roundabout (Robo) receptors on growth cones. Robo repulsion is downregulated by the Commissureless (Comm) protein, allowing axons to cross the midline. Here we show that the Rptp mutations genetically interact with robo, slit and comm. The nature of these interactions suggests that DPTP10D and DPTP69D are positive regulators of Slit/Roundabout repulsive signaling. We also show that elimination of all four neural RPTPs converts most noncrossing longitudinal pathways into commissures that cross the midline, indicating that tyrosine phosphorylation controls the manner in which growth cones respond to midline signals