Information Asymmetries: Three Essays in Market Microstructure

This dissertation aims at revisiting existing empirical market microstructure models for the measurement of information asymmetries on financial markets and to develop alternative estimation approaches that (1) reduce existing bias, (2) reduce data requirement, and (3) increase the applicability of these models. The first chapter of this thesis reconsiderates trade indicator models and is a joint work with Erik Theissen. More precisely, it reconsiderates the models of Madhavan Richardson, and Roomans (1997) and Huang and Stoll (1997). Trade indicator models divide the spread into an adverse selection component and remaining components. As a byproduct an estimate of the spread becomes available. It is a stylized fact that trade indicator models (e.g. Madhavan, Richardson, and Roomans (1997) and Huang and Stoll (1997)) underestimate the bid-ask spread. We argue that this negative bias is due to an endogeneity problem, which is caused by a negative correlation between the arrival of public information and trade direction. In our sample (the component stocks of the DAX 30 index) we find that the average correlation between these variables is -0.193. We develop modified estimators and show that they yield essentially unbiased spread estimates. The second and third chapters of this thesis build an entity and consider another way to measure information asymmetries on financial markets. In the second chapter, a joint work with Joachim Grammig, and Erik Theissen, we propose a methodology to estimate the probability of informed trading (PIN) that only requires data on the daily number of transactions (but not on the number of buyer-initiated and seller-initiated trades). Because maximum likelihood estimation of the model is problematic we propose a Bayesian estimation approach. We perform extensive simulations to evaluate the performance of our estimator. Our methodology increases the applicability of PIN estimation to situations in which the data necessary for trade classification is unavailable, or in which trade classification is inaccurate. The third chapter investigates information asymmetries in U.S. corporate bond markets using transaction data from the Trade Reporting and Compliance Engine (TRACE) for constituents of the S&P 500 in the first half-year of 2011. As a measurement of information asymmetry I employ the probability of informed trading (PIN) proposed by Easley, Kiefer, O’Hara, and Paperman (1996). In a cross-sectional regression of 4,155 fixed-income securities on bond characteristics, market variables, and stock statistics, I find that nearly 50% of the variation in PINs is explained. All estimated coefficients conform to expectations. While a comparison of PINs in bond and corresponding equity markets confirms prior findings of lower PINs on more active stock markets, it indicates the reverse for fixed-income securities: Less-frequently traded bonds exhibit lower PINs. These findings accord with there being lower transaction costs on less active bond markets as found by Goldstein, Hotchkiss, and Sirri (2007). However, as news probabilities for bonds from the same issuer and bonds and corresponding stocks differ significantly, I question the appropriateness of traditional models for measuring information asymmetries. The probability of informed trading might not be a suitable measure for highly fragmented markets such as the U.S. corporate bond market

Needs and use of drug information sources in community pharmacies: a questionnaire based survey in German-speaking Switzerland

Methods: Postal survey to a random sample of 223 (26% out of 859) community pharmacies from the German-speaking part of Switzerland. The 48-item questionnaires were processed automatically with the Cardiff TELEform®-Software. In addition, a telephone-survey to a random sample of 20 non-responders was performed in order to test for non-response bias. Results: A total of 108 pharmacists (response rate 48%) reported that the official Swiss drug reference book is still the most popular source of drug information used to solve all kinds of drug related problems. The Internet as a source of drug information is of minor importance, even though 88% of the pharmacies have Internet access. Deficits in drug information were reported for paediatrics, phytotherapy, drugs during pregnancy/lactation and for therapy guidelines. According to 35% of the pharmacists, the importance of offering drug information to customers will increase in the future. Most of the pharmacists are not afraid that Internet pharmacies would replace them. Conclusions: The results show that the majority of the community pharmacists are only partially satisfied with the sources of drug information currently available. The Internet still plays a minor role for solving drug-related problems in daily practice, even though the available infrastructure makes the community pharmacies able to use the Internet more frequently. The pharmacists need more websites tailored to their needs. The pharmacists have clear visions about possible future developments. They do, however, have to adopt quickly to the changes ahead in order to remain competitiv

Selektive Lasertrabekuloplastik bei Patienten unter maximaler Lokaltherapie: eine retrospektive Analyse

Zusammenfassung: Hintergrund: Hauptziel der Glaukomtherapie ist nach wie vor die erfolgreiche Augendrucksenkung. Ziel dieser retrospektiven Studie war es, die Wirksamkeit der selektiven Lasertrabekuloplastik (SLT) bei Patienten unter maximaler Augendruck senkender Therapie zu untersuchen. Besonderes Augenmerk wurde in der Analyse darauf gelegt, ob präoperativ bekannte Faktoren einen Einfluss auf den IOD-senkenden Effekt haben. Material und Methode: Inkludiert wurden Patienten mit der Diagnose einer okulären Hypertension oder eines Offenwinkelglaukoms (primäres Offenwinkelglaukom, Pseudoexfoliationsglaukom, Pigmentdispersionsglaukom und Normaldruckglaukom), die im Zeitraum von 3/2008 bis 12/2010 aufgrund unzureichender Drucksenkung unter maximaler Lokaltherapie einer SLT unterzogen wurden und die einen Nachbeobachtungszeitraum von mindestens 3Monaten hatten. Die Datenanalyse erfolgte präoperativ, sowie einen Tag, einen Monat und drei Monate nach SLT und dann dreimonatlich bis zu 2,5 Jahre. Hauptmessparameter waren Ausmaß der IOD-Senkung sowie Erfolgsraten (³ 20% Augendruck-Senkung). Eine Re-SLT wurde nicht als Misserfolg gewertet. Resultate: Einhunderteinunddreißig Augen von 98 Patienten (58 Frauen, mittleres Alter 71,6 ± 11,2 Jahre, mittlerer Nachbeobachtungszeitraum 1,05 ± 0,67 Jahre) wurden inkludiert. Mittlerer Augendruck vor SLT war 19,6 ± 4,9mmHg. Bis 1,75 Jahre nach SLT war der Augendruck stets signifikant reduziert (16,6 ± 3,6; p = 0,044). Bis 2 Jahre nach SLT hatten Patienten mit höherem Ausgangs-Augendruck eine signifikant stärkere Drucksenkung (R2  = 0,358; p = 0,009). Es gab keinen signifikanten Unterschied in der Überlebensanalyse sowohl zwischen phaken bzw. pseudophaken Patienten als auch zwischen Patienten mit bzw. ohne Prostaglandintherapie (p = 0,671 und p = 0,994). Zwölf Augen hatten eine zweite SLT (mittlere Zeit bis zur Re-SLT 1,03 ± 0,55 Jahre). Fünfzehn Augen benötigten eine weitere Augendruck senkende Operation (mittlere Zeit bis zum Versagen der SLT 0,84 ± 0,52 Jahre). Schlussfolgerung: SLT kann auch bei Patienten unter maximaler Lokaltherapie noch eine signifikante Drucksenkung bewirken, wobei das Ausmaß der Drucksenkung über die Zeit abnimmt. Die Augendruck senkende Wirkung ist bei Patienten mit höherem präoperativen Augendruck stärker ausgepräg

Extracellular calcium-sensing receptor mediated signalling is involved in human vascular smooth muscle cell proliferation and apoptosis

Calcium-sensing receptor (CaSR) plays key role in vascular calcification in patients with chronic kidney disease (CKD). We investigated the role of CaSR in regulating smooth muscle cell (SMC) proliferation and apoptosis. Incubation with 300µM neomycin (CaSR agonist) resulted in 7.5-fold (p3-fold, which was reduced in CaSR knockdown cells (p<0.01) and further inhibited by PD98059 and U73122 (p<0.05). Apoptosis was not affected by neomycin treatment. U73122 produced 3.5-fold increase in HAoSMC apoptosis, which was further increased by CaSR knockdown (5-fold, p<0.05). In conclusion, stimulation of CaSR leads to activation of MEK1/ERK1,2 and PLC pathways and up-regulation of cell proliferation. CaSR-mediated PLC activation is important for SMC survival and protection against apoptosis

Calcium-sensing receptor in artery

UNLABELLED: Vascular calcification (VC) is common in chronic kidney disease (CKD) and contributes to cardiovascular mortality. The calcium-sensing receptor (CaSR) is present in human artery, senses extracellular calcium and may directly modulate VC. OBJECTIVE: to investigate the association between arterial cyclic strain, CaSR expression and VC. METHODS AND RESULTS: human aortic smooth muscle cells (HAoSMC) were cultured under static or strained conditions, with exposure to CaSR agonists, the calcimimetic R568, and after CaSR silencing and over-expression. High extracellular calcium reduced CaSR expression and promoted osteochondrogenic transformation and calcium deposition. This was partially prevented by cyclic strain and exposure to R568. CaSR silencing enhanced calcification and osteochondrogenic transformation, whereas CaSR over-expression attenuated this procalcific response, demonstrating a central role for the CaSR in the response to cyclic strain and regulation of VC. In arterial explants from CKD patients (n = 11) and controls (n = 9), exposure to R568 did not significantly alter calcium deposition, osteochondrogenic markers or total artery calcium content. CONCLUSIONS: physiological mechanical strain is important for arterial homeostasis and may protect arteries from VC. The beneficial effects of cyclic strain may be mediated via the CaSR.We are grateful to Professor A.R. Bradwell (Binding Site) for generating CaSR antibody and MRC Infrastructure Award (G4500017) 'Bioinformatics and Structural Biology in Life Sciences' for CaSR peptide design. R-568 and S-568 was a kind gift from Amgen USA.This is the final version of the article. It first appeared from PLOS via http://dx.doi.org/10.1371/journal.pone.013883

Impaired arterial vitamin D signaling occurs in the development of vascular calcification.

Funder: Abbott Laboratories; funder-id: http://dx.doi.org/10.13039/100001316Conflicting data exists as to whether vitamin D receptor agonists (VDRa) are protective of arterial calcification. Confounding this, is the inherent physiological differences between human and animal experimental models and our current fragmented understanding of arterial vitamin D metabolism, their alterations in disease states and responses to VDRa's. Herein, the study aims to address these problems by leveraging frontiers in human arterial organ culture models. Human arteries were collected from a total of 24 patients (healthy controls, n = 12; end-stage CKD, n = 12). Cross-sectional and interventional studies were performed using arterial organ cultures treated with normal and calcifying (containing 5mmol/L CaCl2 and 5mmol/L β-glycerophosphate) medium, ex vivo. To assess the role of VDRa therapy, arteries were treated with either calcitriol or paricalcitol. We found that human arteries express a functionally active vitamin D system, including the VDR, 1α-hydroxylase and 24-hydroxylase (24-OHase) components and these were dysregulated in CKD arteries. VDRa therapy increased VDR expression in healthy arteries (p<0.01) but not in CKD arteries. Arterial 1α-OHase (p<0.05) and 24-OHase mRNA and protein expression were modulated differentially in healthy and CKD arteries by VDRa therapy. VDRa exposure suppressed Runx2 and MMP-9 expression in CKD arteries, however only paricalcitol suppressed MMP-2. VDRa exposure did not modulate arterial calcification in all organ culture models. However, VDRa reduced expression of senescence associated β-galactosidase (SAβG) staining in human aortic-smooth muscle cells under calcifying conditions, in vitro. In conclusion, maladaptation of arterial vitamin D signaling components occurs in CKD. VDRa exposure can exert vasculo-protective effects and seems critical for the regulation of arterial health in CKD

C3d‐positive donor‐specific antibodies have a role in pretransplant risk stratification of cross‐match‐positive HLA‐incompatible renal transplantation : United Kingdom multicentre study

Anti‐HLA‐antibody characteristics aid to risk‐stratify patients and improve long‐term renal graft outcomes. Complement activation by donor‐specific antibody (DSA) is an important characteristic that may determine renal allograft outcome. There is heterogeneity in graft outcomes within the moderate to high immunological risk cases (cross‐match‐positive). We explored the role of C3d‐positive DSAs in sub‐stratification of cross‐match‐positive cases and relate to the graft outcomes. We investigated 139 cross‐match‐positive living‐donor renal transplant recipients from four transplant centres in the United Kingdom. C3d assay was performed on serum samples obtained at pretreatment (predesensitization) and Day 14 post‐transplant. C3d‐positive DSAs were found in 52 (37%) patients at pretreatment and in 37 (27%) patients at Day 14 post‐transplant. Median follow‐up of patients was 48 months (IQR 20.47–77.57). In the multivariable analysis, pretreatment C3d‐positive DSA was independently associated with reduced overall graft survival, the hazard ratio of 3.29 (95% CI 1.37–7.86). The relative risk of death‐censored five‐year graft failure was 2.83 (95% CI 1.56–5.13). Patients with both pretreatment and Day 14 C3d‐positive DSAs had the worst five‐year graft survival at 45.5% compared with 87.2% in both pretreatment and Day 14 C3d‐negative DSA patients with the relative risk of death‐censored five‐year graft failure was 4.26 (95% CI 1.79, 10.09). In this multicentre study, we have demonstrated for the first time the utility of C3d analysis as a distinctive biomarker to sub‐stratify the risk of poor graft outcome in cross‐match‐positive living‐donor renal transplantation

Micromechanical Properties of Injection-Molded Starch–Wood Particle Composites

The micromechanical properties of injection molded starch–wood particle composites were investigated as a function of particle content and humidity conditions. The composite materials were characterized by scanning electron microscopy and X-ray diffraction methods. The microhardness of the composites was shown to increase notably with the concentration of the wood particles. In addition,creep behavior under the indenter and temperature dependence were evaluated in terms of the independent contribution of the starch matrix and the wood microparticles to the hardness value. The influence of drying time on the density and weight uptake of the injection-molded composites was highlighted. The results revealed the role of the mechanism of water evaporation, showing that the dependence of water uptake and temperature was greater for the starch–wood composites than for the pure starch sample. Experiments performed during the drying process at 70°C indicated that the wood in the starch composites did not prevent water loss from the samples.Peer reviewe

Reducing the environmental impact of surgery on a global scale: systematic review and co-prioritization with healthcare workers in 132 countries

Abstract Background Healthcare cannot achieve net-zero carbon without addressing operating theatres. The aim of this study was to prioritize feasible interventions to reduce the environmental impact of operating theatres. Methods This study adopted a four-phase Delphi consensus co-prioritization methodology. In phase 1, a systematic review of published interventions and global consultation of perioperative healthcare professionals were used to longlist interventions. In phase 2, iterative thematic analysis consolidated comparable interventions into a shortlist. In phase 3, the shortlist was co-prioritized based on patient and clinician views on acceptability, feasibility, and safety. In phase 4, ranked lists of interventions were presented by their relevance to high-income countries and low–middle-income countries. Results In phase 1, 43 interventions were identified, which had low uptake in practice according to 3042 professionals globally. In phase 2, a shortlist of 15 intervention domains was generated. In phase 3, interventions were deemed acceptable for more than 90 per cent of patients except for reducing general anaesthesia (84 per cent) and re-sterilization of ‘single-use’ consumables (86 per cent). In phase 4, the top three shortlisted interventions for high-income countries were: introducing recycling; reducing use of anaesthetic gases; and appropriate clinical waste processing. In phase 4, the top three shortlisted interventions for low–middle-income countries were: introducing reusable surgical devices; reducing use of consumables; and reducing the use of general anaesthesia. Conclusion This is a step toward environmentally sustainable operating environments with actionable interventions applicable to both high– and low–middle–income countries

Reducing the environmental impact of surgery on a global scale: systematic review and co-prioritization with healthcare workers in 132 countries

Background Healthcare cannot achieve net-zero carbon without addressing operating theatres. The aim of this study was to prioritize feasible interventions to reduce the environmental impact of operating theatres. Methods This study adopted a four-phase Delphi consensus co-prioritization methodology. In phase 1, a systematic review of published interventions and global consultation of perioperative healthcare professionals were used to longlist interventions. In phase 2, iterative thematic analysis consolidated comparable interventions into a shortlist. In phase 3, the shortlist was co-prioritized based on patient and clinician views on acceptability, feasibility, and safety. In phase 4, ranked lists of interventions were presented by their relevance to high-income countries and low–middle-income countries. Results In phase 1, 43 interventions were identified, which had low uptake in practice according to 3042 professionals globally. In phase 2, a shortlist of 15 intervention domains was generated. In phase 3, interventions were deemed acceptable for more than 90 per cent of patients except for reducing general anaesthesia (84 per cent) and re-sterilization of ‘single-use’ consumables (86 per cent). In phase 4, the top three shortlisted interventions for high-income countries were: introducing recycling; reducing use of anaesthetic gases; and appropriate clinical waste processing. In phase 4, the top three shortlisted interventions for low–middle-income countries were: introducing reusable surgical devices; reducing use of consumables; and reducing the use of general anaesthesia. Conclusion This is a step toward environmentally sustainable operating environments with actionable interventions applicable to both high– and low–middle–income countries