Information Flow, Social Interactions and the Fluctuations of Prices in Financial Markets

We model how excess demand or excess supply can be generated in the presence of a social network of interactions, where agents are subject to external information and individual incentives. In this context we study price fluctuations in financial markets under equilibrium. In particular, we isolate the role of these different factors in the determination of price fluctuations and describe non trivial sensitivities to changes in equilibrium due to the existence of social interactions. We characterize equilibrium and distinguish between stable and unstable equilibrium. Crashes or bubbles are seen as out-of-equilibrium situations, preceeded by unstable equilibrium. Fluctuations under unstable equilibrium are shown to be abnormal and particulary large. Also, we show how fluctuations of the external information flows affect the fluctuations of the return process. In all cases we explain the well-known phenomena that prices do not fluctuate upwards in the same way as they fluctuate downwards. This asymmetry of price fluctuations is due to asymmetries in the price elasticity of demand and supply curves at the level defining equilibriumsocial network, excess demand, excess supply, price fluctuations

Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid

We derive super-replicating bounds on European option prices when the underlying asset is illiquid. Illiquidity is taken as the impossibility of transacting the underlying asset at some points in time, generating market incompleteness. We conclude that option price bounds follow a Black-Scholes partial differential equation where the volatility term is adjusted to reflect different levels of illiquidity.

Consuming durable goods when stock markets jump: a strategic asset allocation approach

Agents derive their utilities from consumption over time. In this paper we consider an agent that invests in thefinancial market and in consumption goods. The agent has an infinite time horizon and a utility that depends on consumption at each point in time, consuming both a durable good and a perishable good. There are costs for transacting the durable good. We show that an agent who does not consider the impact of jumps in the return process of risky assets will make suboptimal decisions, not only regarding the fraction of wealth invested in the stock market, but also with respect to the timing for trading on the durable good.Optimal asset allocation, durable consumption good, transaction costs.

The Exact Value for European Options on a Stock Paying a Discrete Dividend

In the context of a Black-Scholes economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European options on a stock paying a discrete dividend. Setting the option price error below the smallest monetary unity, both bounds coincide, and we obtain the exact value of the option.Comment: 14 pages,3 figure

Impact of Geo-distribution and Mining Pools on Blockchains: A Study of Ethereum

Given the large adoption and economical impact of permissionless blockchains, the complexity of the underlying systems and the adversarial environment in which they operate, it is fundamental to properly study and understand the emergent behavior and properties of these systems. We describe our experience on a detailed, one-month study of the Ethereum network from several geographically dispersed observation points. We leverage multiple geographic vantage points to assess the key pillars of Ethereum, namely geographical dispersion, network efficiency, blockchain efficiency and security, and the impact of mining pools. Among other new findings, we identify previously undocumented forms of selfish behavior and show that the prevalence of powerful mining pools exacerbates the geographical impact on block propagation delays. Furthermore, we provide a set of open measurement and processing tools, as well as the data set of the collected measurements, in order to promote further research on understanding permissionless blockchains.Comment: To appear in 50th IEEE/IFIP International Conference on Dependable Systems and Networks (DSN), 202

Cartaz didáctico

p. 93-101Com a presente reflexão pretende-se reflectir sobre o cartaz, nomeadamente o cartaz didáctico em contexto de sala de aula, tendo em vista um melhor desempenho pedagógico, nas práticas correntes de estágio da formação inicial de professores do 1º Ciclo do Ensino Básico. O recurso ao cartaz didáctico na sala de aula, tal como muitos outros materiais de apoio, por nos parecer frequente e, por vezes, pouco consistente, merece um olhar mais atento e fundamentado. A escassa bibliografia de especialidade existente sobre o assunto traduz a pouca atenção que têm merecido materiais de apoio deste tipo. Integrado num conjunto de vários materiais didácticos, o cartaz é aqui abordado como ferramenta/produto e como percurso/processo. Enquanto ferramenta/produto interessa-nos perspectivar este material de apoio como algo que serve um determinado fim pedagógico, mas que se apresenta como algo acabado e pronto a usar por terceiros. Considerando o cartaz como uma forma de registo que ajuda a perceber melhor o percurso e o processo traçado até se alcançar determinada aprendizagem, interessa-nos um conjunto de considerações pedagógicas que julgamos importantes numa boa prática pedagógica e que configuram um conjunto de experiências significativas no domínio do ensino/aprendizagem. Assim, desenvolveremos esta reflexão em torno de uma dupla questão: O que é um “cartaz didáctico”? Que considerações pedagógicas e comunicacionais formular a propósito da utilização e construção de um cartaz didáctico

ICT in pre-service teacher education in Portugal: trends and needs emerging from a survey

This paper reports the results of a survey made in 2003 that looked at all the Portuguese universities and schools of education (public and private) programmes for teacher education at least for one of the three levels primary, junior or secondary education. The aim was to get a picture of the situation regarding the amount of time used in training in ICT, the kind of resources available and used, the quality of the staff involved in this work and the competence of the student-teachers at the end of the programme from the point of view of the teachers responsible for the courses at each institution. The instrument used for this survey was the same as used in a previous study made in 1998 with the same aim in order to make possible to compare the results and analyse the trends.This paper reports the results of a survey made in 2003 that looked at all the Portuguese universities and schools of education (public and private) programmes for teacher education at least for one of the three levels primary, junior or secondary education. The aim was to get a picture of the situation regarding the amount of time used in training in ICT, the kind of resources available and used, the quality of the staff involved in this work and the competence of the student-teachers at the end of the programme from the point of view of the teachers responsible for the courses at each institution. The instrument used for this survey was the same as used in a previous study made in 1998 with the same aim in order to make possible to compare the results and analyse the trends