Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market

This paper investigates the issue of temporal ordering of the range-based volatility and volume in the Indian stock market for the period 1995-2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between volume traded before and after the introduction of futures and options trading. We find that in all three periods the impact of both the number of trades and the value of shares traded on volatility is negative. This result is in line with the theoretical argument that a marketplace with a larger population of liquidity providers will be less volatile than one with a smaller population. We also find that (i) the introduction of futures trading leads to a decrease in spot volatility, (ii) volume decreases after the introduction of option contracts and, (iii) there are signifcant expiration day effects on both the value of shares traded and volatility series.http://deepblue.lib.umich.edu/bitstream/2027.42/64397/1/wp935.pd

Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market

This paper investigates the issue of temporal ordering of the range-based volatility and volume in the Indian stock market for the period 1995-2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between volume traded before and after the introduction of futures and options trading. We find that in all three periods the impact of both the number of trades and the value of shares traded on volatility is negative. This result is in line with the theoretical argument that a marketplace with a larger population of liquidity providers will be less volatile than one with a smaller population. We also find that (i) the introduction of futures trading leads to a decrease in spot volatility, (ii) volume decreases after the introduction of option contracts and, (iii) there are signifcant expiration day effects on both the value of shares traded and volatility series.derivatives trading; emerging markets; long-memory; range-based volatility; value of shares traded

A study of long range order in certain two-dimensional frustrated lattices

We have studied the Heisenberg antiferromagnets on two-dimensional frustrated lattices, triangular and kagome lattices using linear spin-wave theory. A collinear ground state ordering is possible if one of the three bonds in each triangular plaquette of the lattice becomes weaker or frustrated. We study spiral order in the Heisenberg model along with Dzyaloshinskii-Moriya (DM) interaction and in the presence of a magnetic field. The quantum corrections to the ground state energy and sublattice magnetization are calculated analytically in the case of triangular lattice with nearesr-neighbour interaction. The corrections depend on the DM interaction strength and the magnetic field. We find that the DM interaction stabilizes the long-range order, reducing the effect of quantum fluctuations. Similar conclusions are reached for the kagome lattice. We work out the linear spin-wave theory at first with only nearest-neighbour (nn) terms for the kagome lattice. We find that the nn interaction is not sufficient to remove the effects of low energy fluctuations. The flat branch in the excitation spectrum becomes dispersive on addition of furthet neighbour interactions. The ground state energy and the excitation spectrum have been obtained for various cases.Comment: 18 pages, 9 figure

A new algorithm for continuous-discrete filtering with randomly delayed measurements

This paper is a postprint of a paper submitted to and accepted for publication in IET Control Theory & Applications and is subject to Institution of Engineering and Technology Copyright. The copy of record is available at IET Digital Library.The filtering of nonlinear continuous-discrete systems is widely applicable in real-life and extensive literature is available to deal with such problems. However, all of these approaches are constrained with the assumption that the current measurement is available at every time step, although delay in measurement is natural in real-life applications. To deal with this problem, we re-derive the conventional Bayesian approximation framework for solving the continuous-discrete filtering problems. In practice, the delay is often smaller than one sampling time, which is the main case considered here. During the filtering of such systems, the actual time of correspondence should be known for a measurement received at the kth time instant. In this paper, a simple and intuitively justified cost function is used to decide the time to which the measurement at kth time instant actually corresponds. The performance of the proposed filter is compared with a conventional filter based on numerical integration which ignores random delays for a continuousdiscrete tracking problem. We show that the conventional filter fails to track the target while the modification proposed in this paper successfully deals with random delays. The proposed method may be seen as a valuable addition to the tools available for continuous-discrete filtering in nonlinear systems

How successful are banking sector reforms in emerging market economies? Evidence from impact of monetary policy on levels and structures of firm debt in India

Many emerging markets have undertaken significant financial sector reforms, especially in their banking sectors, that are critical for both financial development and real economic activity. In this paper, we investigate the success of banking reforms in India where significant banking reforms were implemented during the 1990s. Using the argument that wellfunctioning credit markets would reflect a credit channel for monetary policy at work, we test whether a change in monetary policy has predictable impact on borrowing behaviour of several types of firms, including business group affiliated, unaffiliated private firms, state-owned firms and foreign firms. The empirical results suggest that unaffiliated private firms have the most vulnerable to monetary policy stance during tight policy regimes. We also find that during tight monetary policy regimes, bank credit of smaller firms is more sensitive to changes in the interest rate than that of large firms. In an easy money regime, monetary policy and the associated change in interest rate does not affect change in bank credit, change in total debt and the proportion of bank credit in total debt for any of the firms. We discuss the policy implications of the findings

Review of the Rpt3 Genes Encoding Part of the 26S Proteasome Associated with Loci Underlying Disease Resistance in Soybean

The 26S proteasomal complex is a multifunctional proteolytic machinery of the cell. The proteasome plays role in myriad of cellular functions, which have been further diversified by its separable proteolytic and non-proteolytic sub-complexes. Protein quality control and turnover, cell cycle regulation, gene regulation and DNA repair are among the key processes controlled by the proteasome. Disease resistance in plants invokes changes in all the processes controlled by the 26S proteasome. In this review, the potential contribution of genes encoding the proteasome to disease resistance in soybean (Glycine max L. Merr.) was examined

Isolation and characterization of adenosine kinase from Leishmania donovani

Adenosine kinase (ATP:adenosine 5'-phosphotransferase, EC 2.7.1.20) has been purified 3250-fold from Leishmania donovani promastigotes using ion-exchange, gel filtration, and affinity chromatography techniques. Both native and sodium dodecyl sulfate-gel electrophoresis of the enzyme revealed a single polypeptide of around 38,000 molecular weight. Biophysical and biochemical analyses of the enzyme reveal unique characteristics different from those of adenosine kinases from other eukaryotic sources. The isoelectric pH of the enzyme is 8.8. In native acrylamide gels the enzyme moves with an RF of about 0.62. The enzyme displays a maximum activity at pH between 7.5 and 8.5 and is dependent upon an optimum ATP/Mg2+ ratio. ATP at high concentration inhibits the reaction. Adenosine and Mg2+ are not inhibitory. EDTA completely knocks off the activity. Enzyme activity is dependent upon the presence of active thiol group(s) at or near the active center. Under a defined set of conditions the enzyme exhibited an apparent Km for adenosine and ATP of 33 and 50 microM, respectively. Of the nucleoside triphosphates tested ATP and GTP were the most effective phosphate donors. Marginal inhibition of activity was detected with other nucleosides as competitors. However, adenosine analogs, such as 7-deaza-adenosine (tubercidin) and 6-methylmercaptopurine riboside at very low concentrations, were found to be excellent inhibitors and substrates as well. S-Adenosylhomocysteine does not inhibit the reaction even at very high concentration

Coherent Production of Pairs of Parabosons of Order 2

A parameter-free statistical model is used to study multiplicity signatures for coherent production of charged-pairs of parabosons of order p=2 in comparison with those arising in the case of ordinary bosons, p=1. Two non-negative real parameters arise because "ab" and "ba" are fundamentally distinct pair operators of charge "+1", A-quanta and charge "-1", B-quanta parabosons. In 3D plots of P(q)_m = "The probability of m paraboson charged-pairs and q positive parabosons" versus and , the p=1 curve is found to lie on the relatively narrow 2D p=2 surface.Comment: 25 pages, 16 figures, no macro

Challenges and pitfalls of antipsychotic prescribing in people with learning disability

No abstract available

Nano-particles - A recent approach to insect pest control

Nanotechnology, a promising field of research opens up in the present decade a wide array of opportunities in the present decade and is expected to give major impulses to technical innovations in a variety of industrial sectors in the future. The potential uses and benefits of nanotechnology are enormous. These include agricultural productivity enhancement involving nanoporous zeolites for slow release and efficient dosage of water and fertilizer, nanocapsules for herbicide delivery and vector and pest management and nanosensors for pest detection. The atom by atom arrangement allows the manipulation of nanoparticles thus influencing their size, shape and orientation for reaction with the targeted tissues. It is now known that many insects possess ferromagnetic materials in the head, thorax and abdomen, which act as geomagnetic sensors. In this paper, our discussion is focused onnanoparticles in insects and their potential for use in insect pest management