PRICING EXCHANGE TRADED FUNDS

Exchange Traded Funds are equity issues of companies whose assets consist entirely of cash and shares of stock approximating particular indexes. These companies resemble closed end funds except for the unique feature that additional shares can be created or redeemed by a number of registered entities. This paper investigates the extent and properties of the resulting premiums and discounts of ETFs from their fair market value. Measured premiums and discounts can be misleading because the net asset value of the portfolio is not accurately represented or because the price of the fund is not accurately recorded. These features are incorporated into a model with errors-in-variables that accounts for these effects and measures the standard deviation of the remaining pricing errors. Time variation in this standard deviation is investigated. Both domestic and international ETFs are examined, each from an end-of-day perspective and from a minute-by-minute intra-daily framework. The overall finding is that the premiums/discounts for the domestic ETFs are generally small and highly transient, once mismatches in timing are accounted for. Large premiums typically last only several minutes. The standard deviation of the premiums/discount is 15 basis points on average across all ETFs, which is substantially smaller than the bid-ask spread. For international ETFs, the findings are not so dramatic. Premiums and discounts are much larger and more persistent, frequently lasting several days. The spreads are also much wider and are comparable to the standard deviation of the premiums. This finding is insensitive to the timing of overlap with the foreign market, the use of futures data, or different levels of time scale. In fact there are only a small number of trades and quote changes in a typical day for most of these funds. An explanation for this difference may rest with the higher cost of creation and redemption for the international products. Nevertheless, when compared with closed end funds where there are no opportunities for creation or redemption, the ETFs have smaller and less persistent premiums and discounts. The implication is that the pricing of ETFs is highly efficient for the domestic products and somewhat less precise for the international funds since they face more complex financial transactions and risks

PRICING EXCHANGE TRADED FUNDS

Exchange Traded Funds are equity issues of companies whose assets consist entirely of cash and shares of stock approximating particular indexes. These companies resemble closed end funds except for the unique feature that additional shares can be created or redeemed by a number of registered entities. This paper investigates the extent and properties of the resulting premiums and discounts of ETFs from their fair market value. Measured premiums and discounts can be misleading because the net asset value of the portfolio is not accurately represented or because the price of the fund is not accurately recorded. These features are incorporated into a model with errors-in-variables that accounts for these effects and measures the standard deviation of the remaining pricing errors. Time variation in this standard deviation is investigated. Both domestic and international ETFs are examined, each from an end-of-day perspective and from a minute-by-minute intra-daily framework. The overall finding is that the premiums/discounts for the domestic ETFs are generally small and highly transient, once mismatches in timing are accounted for. Large premiums typically last only several minutes. The standard deviation of the premiums/discount is 15 basis points on average across all ETFs, which is substantially smaller than the bid-ask spread. For international ETFs, the findings are not so dramatic. Premiums and discounts are much larger and more persistent, frequently lasting several days. The spreads are also much wider and are comparable to the standard deviation of the premiums. This finding is insensitive to the timing of overlap with the foreign market, the use of futures data, or different levels of time scale. In fact there are only a small number of trades and quote changes in a typical day for most of these funds. An explanation for this difference may rest with the higher cost of creation and redemption for the international products. Nevertheless, when compared with closed end funds where there are no opportunities for creation or redemption, the ETFs have smaller and less persistent premiums and discounts. The implication is that the pricing of ETFs is highly efficient for the domestic products and somewhat less precise for the international funds since they face more complex financial transactions and risks

Tidal disruption of white dwarfs in a modified gravity theory with SPH

Low energy imprints of modifications to general relativity are often found in pressure balance equations inside stars. These modifications are then amenable to tests via astrophysical phenomena, using observational effects in stellar astrophysics that crucially depend on such equations. One such effect is tidal disruption of stars in the vicinity of black holes. In this paper, using a numerical scheme modelled with smoothed particle hydrodynamics, we study real time tidal disruption of a class of white dwarfs by intermediate-mass black holes, in the low energy limit of a theory of modified gravity that alters the internal physics of white dwarfs, namely the Eddington inspired Born-Infeld theory. In this single parameter extension of general relativity, the mass-radius relation of white dwarfs as well as their tidal disruption radius depend on the modified gravity parameter, and these capture the effect of modifications to general relativity. Our numerical simulations incorporating these show that departure from general relativity in these scenarios might be observationally significant, and should therefore be contrasted with data. In particular, we study observationally relevant physical quantities, i.e., tidal kick velocity and trajectory deviation of the remnant core and fallback rates of the tidal debris in this theory and compare them to the Newtonian limit of general relativity. We also comment on the qualitative differences between the modified gravity theory and one with stellar rotation.Comment: 23 Page

Introductory Review of Swarm Intelligence Techniques

With the rapid upliftment of technology, there has emerged a dire need to fine-tune or optimize certain processes, software, models or structures, with utmost accuracy and efficiency. Optimization algorithms are preferred over other methods of optimization through experimentation or simulation, for their generic problem-solving abilities and promising efficacy with the least human intervention. In recent times, the inducement of natural phenomena into algorithm design has immensely triggered the efficiency of optimization process for even complex multi-dimensional, non-continuous, non-differentiable and noisy problem search spaces. This chapter deals with the Swarm intelligence (SI) based algorithms or Swarm Optimization Algorithms, which are a subset of the greater Nature Inspired Optimization Algorithms (NIOAs). Swarm intelligence involves the collective study of individuals and their mutual interactions leading to intelligent behavior of the swarm. The chapter presents various population-based SI algorithms, their fundamental structures along with their mathematical models.Comment: Submitted to Springe

A prospective observational study to know the origin of lymphorrhea in post-renal transplant patients using creatine phosphokinase and lactate dehydrogenase

Introduction: Renal transplantation provides the best result as a long-term renal replacement therapy. Lymphorrhea is considered a common surgical complication of renal transplantation. Although nonsurgical factors are also associated, it is primarily due to damage and improper ligation of lymphatic vessels draining donor kidney and perivascular lymphatics of iliac vessels. Lymphorrhea is associated with prolongation of hospital stay and increased chances of infection and it may lead to lymphocele formation. Hence, to localize the origin of postoperative lymphorrhea in transplant recipients in wake for its definitive management, the enzymatic activity of the two enzymes, namely, creatine phosphokinase (CPK) and Lactate dehydrogenase (LDH) in the drain fluid was evaluated. Materials and Methods: A total of 68 renal transplant recipients (including live and deceased-donor [DD] transplantation) were evaluated for2 years. The enzymatic value of CPK and LDH was calculated in perigraft drain fluid. It was compared with the values of CPK and LDH in postradical cystectomy pelvic drain fluid and simple renal cortical cyst fluid. The average value of CPK in pelvic drain fluid and LDH in renal cortical cyst fluid was considered as their baseline value in lymphatics draining lower limb and renal lymphatics, respectively. Results: The source for postoperative lymphorrhea in DD and live-related donor was iliac lymphatics, whereas in live unrelated donor, it was iliac and graft kidney lymphatics. Conclusion: Drain fluid assessment for CPK and LDH activity can localize the origin of lymphatic leak in renal transplant recipients