Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx. We also analyze similar data from the US market over a somewhat longer period using data on the Chicago Board of Trade (CBOT) futures market as well as the cash market from GovPx in the first part of the sample and subsequently from BrokerTec. In general, we find that relatively more price discovery occurs in the futures markets than the cash markets in both Canada and the U.S. and that the results look remarkably similar across the two countries despite the large differences in the sizes of their markets and in their characteristics, particularly on the cash side. These overall results, however, hide the fact that information shares for the U.S. futures markets declined throughout 2004-05 apparently as a result of improvements in the spot market BrokerTec platform. Day-to-day variation in price discovery information shares is related to bid-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained.Financial markets; Market structure and pricing

Assessing, valuing and protecting our environment- is there a statistical challenge to be answered?

This short article describes some of the evolution in environmental regulation, management and monitoring and the information needs, closely aligned to the statistical challenges to deliver the evidence base for change and effect

Price Discovery in Canadian Government Bond Futures and Spot Markets

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process. Both approaches estimate a vector error correction model that permits the separation of long-run price movements from short-run market microstructure effects. As well, we follow Yan and Zivot (2004) who introduce size measures of a market's adjustment to a new equilibrium during the price discovery process. We find that, on an average day, just over 70% of price discovery occurs on the futures market where bid-ask spreads are lower and trading activity is higher. The size of the responses to shocks and the time taken to adjust to a new equilibrium are found to be significantly larger for the cash market.Financial markets; Market structure and pricing

Knowledge and Skepticism in Descartes’ Meditations

My research is centered on the arguments of Rene Descartes, a 17th Century philosopher, in his work The Meditations. The Meditations is composed of six entries, which are six meditations, written in form of narration. His narrative takes form in an intricately composed piece of writing, a clever argument presented through a precise and fascinating procedure. However, the artful fashion in which he conveys his method is far from an immaculately composed calculation which Descartes leads one to believe. In this paper I will present Descartes’ procedural destruction and following reassembly of the external world and his proposed discovery of the proper foundation of the sciences. I shall then discuss the unmistakable faults in his argument, presenting counter-arguments posed by Descartes’ contemporaries and further offering my own objections. I will conclude by presenting a theoretical epistemology found beneath the surface of the glaring errors which Descartes ostensibly failed to recognize

Letter from Faculty

https://deepblue.lib.umich.edu/bitstream/2027.42/154721/1/Campbell_LetterfromFaculty.pd

Beach composition preferences for nesting populations of leatherback sea turtles (Dermochelys coriacea), Armila Beach, Guna Yala Comarca

Sea turtles play a critical role in marine ecosystems all over the world, including the Caribbean Sea. However, many sea turtle species are under threat due to anthropogenic impacts, such as habitat destruction and fisheries bycatch. This has caused significant declines in sea turtle populations around the world, which in turn has impacted marine ecosystems where sea turtles play critical roles in proper ecosystem functioning. A crucial part of the sea turtle life cycle that has been threatened by anthropogenic factors is nesting. Sea turtles rely on unspoiled beaches with particular physical characteristics for laying their eggs. One of the most important nesting sites for leatherback sea turtles (Dermochelys coriacea) in the Caribbean is Armila Beach, a five-kilometer long beach in the Guna Yala Comarca in Panama close to the border with Colombia. Since the physical characteristics of beaches are of key importance to sea turtles, the goal of the study was to determine if there was a possible association between specific beach characteristics and the number of D. coriacea nests found at different sections of the beach. Using the Nesting Beach Indicator tool, 100-meter sections, the length of Armila’s 5km beach was divided into fifty (50) one hundred meter (100m) sections and each section was assessed for its physical characteristics such as elevation, slope, sand type and width. It was found that D. coriacea strongly preferred to nest on sections of the beach where sediment composition was primarily sand as opposed to gravel or rocks. Apart from sediment type, only beach width was found to have a significant effect on the number of nests present

State of the Journal

http://deepblue.lib.umich.edu/bitstream/2027.42/120303/1/Campbell_StateOfTheJournal.pd

Letter from Faculty

https://deepblue.lib.umich.edu/bitstream/2027.42/154838/1/Campbell_LetterfromFaculty.pd