The Endowment Effect, Status Quo Bias and Loss Aversion: Rational Alternative Explanation

The endowment effect, status quo bias, and loss aversion are robust and well documented results from experimental psychology. They introduce a wedge between the prices at which one is willing to sell or buy a good. The objective of this paper is to address this wedge. We show that the presence of asymmetric information in a rational-agent framework can account for the endowment effect, status quo bias and loss aversion as well as psychology-based explanations proposed in the past.Endowment effect, Status quo bias, Loss aversion, Asymmetric information, Bid/ask spread

Hedging Barrier Options: Current Methods and Alternatives

This paper applies to the static hedge of barrier options a technique, mean-square hedging, designed to minimize the size of the hedging error when perfect replication is not possible. It introduces an extension of this technique which preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any linear constraint on the hedging residual. This improves on current static hedging methods, which aim at exactly replicating barrier options and rely on strong assumptions on the availability of traded options with certain strikes or maturities, or on the distribution of the underlying asset.Barrier options, Static hedging, Mean-square hedging

Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread

This paper investigates the effects of transaction taxes on depth and bid-ask spread under asymmetric information. The paper uses a static model where a monopolistic market maker faces liquidity and informed traders. Introducing transaction taxes could, surprisingly, lead to increase in depth. Under some distributional assumptions, when market conditions are favorable to the dealer, the spread responds less than proportionally to an increase in the transaction tax while the depth actually increases. In contrast, when market conditions are unfavorable to the dealer, the spread widens more than proportionally and the depth decreases, potentially to zero, in response to an increase in the transaction tax. Our model sheds light on the disagreement in the empirical literature on the relative magnitude of transaction costs on trading volume.Asymmetric information, Securities transaction taxes, Liquidity

Effects of cutting regime, surroundings and field age on floral resources for pollinators in hay fields

Bees and other flower-visiting insects are experiencing periods of food shortage, particularly in intensively managed agricultural landscapes in Europe. As part of the Danish project EcoServe (http://agro.au.dk/ecoserve/) we therefore investigated whether increased richness of selected herbaceous species in organic hay fields acted as a floral resource thus enhancing abundance and biodiversity of pollinators. Moreover, we investigated if availability of floral resources was affected by cutting regime (timing and number of cuttings during the growing season) in 11 herbaceous species, which are often used in grassland seed mixtures. In a field survey, we visited 20 organic hay meadows of different age (3-100 years), and conducted surveys regularly throughout the flowering season to quantify diversity of insect-pollinated plants and pollinators. Our results showed that diversity of pollinators was significantly and positively related to diversity of plants, but that hay fields embedded in a complex landscape harbored a higher diversity of both plants and insects than hay fields in more homogeneous areas. Also, diversity of plants and insects increased in older hay meadows. In an experimental set-up, we tested the availability of flowers in plots of monocultures and a mixture of 11 herbaceous species under two cutting regimes: (1) plots were cut once every four weeks throughout the growing season, and (2) plots were cut only at the end of the flowering season. While the majority of species provided flowers for pollinators when plots were not cut during the flowering season, most plant species set few if any flowers if cut frequently. One exception was Trifolium repens, which was slightly stimulated by cutting. Thus, traditional grasslands which are frequently mowed are expected to be poor in flowers. Our results suggest that it is important to leave unmowed flower-rich areas in the fields throughout the flowering season to avoid periods of food shortage. The potential for unmowed hay fields to enhance diversity and abundance of pollinators, however, depend on the composition of the surrounding landscape and age of the field

Influence of Nd on the magnetic properties of Nd1-xCaxMnO3

The role played by the Nd ions in the magnetic properties of Nd0.5Ca0.5MnO3 and Nd0.7Ca0.3MnO3 is studied using static magnetization, neutron diffraction and high frequency (9.4-475GHz) Electron Spin Resonance. We show that the Nd ions are weakly coupled to the Mn ions via ferromagnetic exchange and are responsible for the peculiar ferromagnetic resonance observed in the FM phase of both compounds (ground state below 120K for x=0.3, high field state for x=0.5). We then use ESR to look for magnetic phase separation in the low field, CO phase of Nd0.5Ca0.5MnO3. We show that there is no trace of the FM phase imbedded in the CO phase, contrary to what is observed in La0.5Ca0.5MnO3 or Pr0.5Sr0.5MnO3.Comment: to be published in phys.Rev.B as a Rapid Com

Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter

This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability distribution to recover exactly the market prices of the options allows us to weight each option by a function of its trading volume. As a result, we obtain implied probability distributions that are both smoother and should be more reflective of fundamentals.Implied risk-neutral probability distribution, Implied-tree method

Burial Recording Mines: a valid technique to study bedform migration and storm impact above the sea-floor

Initially, Burial Recording Mines (BRMs) were used to understand the sea mine burial. It was a technique predominantly related to military purpose. The first experiment was made 1974. Now a day, it is used as a valid tool for marine science. This methodology gives the rare opportunity to observe and analyze the processes acting on the seafloor directly, making the estimation closer to the reality. During MARIDIV, we present the results of 3 months experiment using burial recording mines. The experiment was performed between September 2008 and January 2009. The Wandelaar region on the Belgian Continental Shelf was chosen as suitable test area. 10,000 measurements of the sediment height around the cylindrical object were recorded, each one of those every 15 minutes. The dataset collected, together with sediment characterization and hydrological and meteorological information, allowed the understanding of the bedform migration. During the experiment, 2 storms passed the test area, in October and November 2008. Using Burial Recording Mines gave the rare opportunity to observe and analyze the storm impact directly on the sea-floor. Processes during and after the second storm will be revealed

Økologiske græsmarker som fødekilde for bier og andre bestøvere

Bier og andre blomsterbesøgende insekter mangler i dag føde gennem dele af året, specielt i intensivt drevne landbrugsområder. Som en del af projektet EcoServe undersøger vi derfor i hvilket omfang økologiske græsmarker, ved iblanding af udvalgte urter, kan bidrage som fødekilde og dermed til øget antal og diversitet af bestøvere