Optimal control of predictive mean-field equations and applications to finance

We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive mean-field} backward SDE (BSDE) in the unknowns $Y(t), Z(t), K(t,\cdot)$. The driver of the BSDE at time $t$ may depend not just upon the unknown processes $Y(t), Z(t), K(t,\cdot)$, but also on the predicted future value $Y(t+\delta)$, defined by the conditional expectation $A(t):= E[Y(t+\delta) | \mathcal{F}_t]$. \\ We give a sufficient and a necessary maximum principle for the optimal control of such systems, and then we apply these results to the following two problems:\\ (i) Optimal portfolio in a financial market with an \emph{insider influenced asset price process.} \\ (ii) Optimal consumption rate from a cash flow modeled as a geometric It\^ o-L\' evy SDE, with respect to \emph{predictive recursive utility}

The flash crash: high-frequency trading in an electronic market

© 2017 the American Finance Association We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday event—the Flash Crash—where a large automated selling program was rapidly executed in the E-mini S&P 500 stock index futures market. Using audit trail transaction-level data for the E-mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intraday intermediaries (classified as High-Frequency Traders) did not change when prices fell during the Flash Crash

Robustness of equilibrium in the Kyle model of informed speculation

We analyze a static Kyle (1983) model in which a risk-neutral informed trader can use arbitrary (linear or non-linear) deterministic strategies, and a nite number of market makers can use arbitrary pricing rules. We establish a strong sense in which the linear Kyle equilibrium is robust: the rst variation in any agent's expected payo with respect to a small variation in his conjecture about the strategies of others vanishes at equilibrium. Thus, small errors in a market maker's beliefs about the informed speculator's trading strategy do not reduce his expected payo s. Therefore, the original equilibrium strategies remain optimal and still constitute an equilibrium (neglecting the higher-order terms.) We also establish that if a non-linear equilibrium exists, then it is not robust

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $\Delta t$.Comment: 13 pages, 10 figure

Are Ethnic and Gender Specific Equations Needed to Derive Fat Free Mass from Bioelectrical Impedance in Children of South Asian, Black African-Caribbean and White European Origin? Results of the Assessment of Body Composition in Children Study

Background Bioelectrical impedance analysis (BIA) is a potentially valuable method for assessing lean mass and body fat levels in children from different ethnic groups. We examined the need for ethnic- and gender-specific equations for estimating fat free mass (FFM) from BIA in children from different ethnic groups and examined their effects on the assessment of ethnic differences in body fat. Methods Cross-sectional study of children aged 8–10 years in London Primary schools including 325 South Asians, 250 black African-Caribbeans and 289 white Europeans with measurements of height, weight and arm-leg impedance (Z; Bodystat 1500). Total body water was estimated from deuterium dilution and converted to FFM. Multilevel models were used to derive three types of equation {A: FFM = linear combination(height+weight+Z); B: FFM = linear combination(height2/Z); C: FFM = linear combination(height2/Z+weight)}. Results Ethnicity and gender were important predictors of FFM and improved model fit in all equations. The models of best fit were ethnicity and gender specific versions of equation A, followed by equation C; these provided accurate assessments of ethnic differences in FFM and FM. In contrast, the use of generic equations led to underestimation of both the negative South Asian-white European FFM difference and the positive black African-Caribbean-white European FFM difference (by 0.53 kg and by 0.73 kg respectively for equation A). The use of generic equations underestimated the positive South Asian-white European difference in fat mass (FM) and overestimated the positive black African-Caribbean-white European difference in FM (by 4.7% and 10.1% respectively for equation A). Consistent results were observed when the equations were applied to a large external data set. Conclusions Ethnic- and gender-specific equations for predicting FFM from BIA provide better estimates of ethnic differences in FFM and FM in children, while generic equations can misrepresent these ethnic differences

Explaining co-movements between equity and CDS bid-ask spreads

In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads

Greenland Ice Sheet late-season melt: investigating multi-scale drivers of K-transect events

One consequence of recent Arctic warming is an increased occurrence and longer seasonality of above-freezing air temperature episodes.There is significant disagreement in the literature concerning potential physical connectivity between high-latitude open water duration proximate to the Greenland Ice Sheet (GrIS) and unseasonal (i.e. late summer and autumn) GrIS melt events. Here, a new date of sea ice advance (DOA) product is used to determine the occurrence of Baffin Bay sea ice growth along Greenland’s west coast for the 2011–2015 period. For the unseasonal melt period preceding the DOA, northwest Atlantic Ocean and atmospheric conditions are analyzed and linked to unseasonal melt events observed at a series of on-ice automatic weather stations (AWS) along the K-transect in southwest Greenland. Mesoscale and synoptic influences on the above and below freezing surface air temperature events are assessed through analyses of AWS wind, pressure, and humidity observations. These surface observations are further compared against Modèle Atmosphérique Régional (MAR), Regional Atmospheric Climate Model (RACMO2), and ERA-Interim reanalysis fields to understand the airmass origins and (thermo)dynamic drivers of the melt events. Results suggest that the K-transect late season, ablation zone melt events are strongly affected by ridging atmospheric circulation patterns that transport warm, moist air from the sub-polar North Atlantic toward west Greenland. While thermal conduction and advection off south Baffin Bayopen waters impact coastal air temperatures, consistent with previous studies, marine air incursions from Baffin Bay onto the ice sheet are obstructed by barrier flows and the pressure gradient-driven katabatic regime along the western GrIS margin

Repair of an inguinoscrotal hernia containing the urinary bladder: a case report

<p>Abstract</p> <p>Introduction</p> <p>Cases of patients with inguinoscrotal hernia containing the urinary bladder are very rare. These patients usually present with frequent episodes of urinary tract infection, difficulty in walking, pollakisuria and difficulty in initiating micturition because of incarceration of the urinary bladder into the scrotum.</p> <p>Case presentation</p> <p>We describe the case of an 80-year-old Caucasian man with an incarcerated urinary bladder into the scrotum who underwent surgical repair with mesh.</p> <p>Conclusions</p> <p>Diagnosis of such cases often requires not only clinical examination but also specialized radiological examinations to show the ectopic position of the urinary bladder. Surgical repair in these patients is a real challenge for surgeons.</p

Stabilized tilted-octahedra halide perovskites inhibit local formation of performance-limiting phases.

Efforts to stabilize photoactive formamidinium (FA)–based halide perovskites for perovskite photovoltaics have focused on the growth of cubic formamidinium lead iodide (α-FAPbI3) phases by empirically alloying with cesium, methylammonium (MA) cations, or both. We show that such stabilized FA-rich perovskites are noncubic and exhibit ~2° octahedral tilting at room temperature. This tilting, resolvable only with the use of local nanostructure characterization techniques, imparts phase stability by frustrating transitions from photoactive to hexagonal phases. Although the bulk phase appears stable when examined macroscopically, heterogeneous cation distributions allow microscopically unstable regions to form; we found that these transitioned to hexagonal polytypes, leading to local trap-assisted performance losses and photoinstabilities. Using surface-bound ethylenediaminetetraacetic acid, we engineered an octahedral tilt into pure α-FAPbI3 thin films without any cation alloying. The templated photoactive FAPbI3 film was extremely stable against thermal, environmental, and light stressors