Doctor of Philosophy

dissertationThis dissertation is composed of three essays in empirical market microstructure. My first two essays study market quality issues related to High-frequency Trading (HFT) using a dataset provided by NASDAQ that identifies the activity of high-frequency traders (HFTs). My first essay studies the systematic effects of HFT on market quality. I find only small effects of HFT participation on spreads and adverse selection costs, and I find evidence that HFT trades improve price efficiency. I also examine HFT trading strategies, and show that HFTs engage in successful intraday market timing. My second essay studies HFT in extreme market conditions, focusing on whether it has a stabilizing or destabilizing effect. I find that HFTs buy during mini-flash crashes, sell during price spikes, and provide more liquidity than they consume during both types of events. These results suggest HFTs play a stabilizing role during extreme return events, but their net trading volumes are low so these effects are probably small. I also examine returns around large HFT order imbalances, and find only economically small evidence of the price momentum that these imbalances have been hypothesized to cause. Finally, I study HFT activity around sustained market order flow imbalances, termed "toxic order flow" by Easley, Lopez de Prado, and O'Hara (2011), and find that HFT participation levels decrease as order flow toxicity increases. Overall, in my first two essays, I find evidence of beneficial and neutral roles played by HFTs, both in normal and extreme market conditions, but no significant evidence for any of the detrimental impacts they are thought to have. My third essay compares corporate bond trading costs in a market that provides pretrade transparency (the NYSE) with those in a market that is opaque (the OTC market). I find that trading costs are dramatically lower in the market with pretrade transparency, and that pretrade transparency is the most likely explanation for the difference. I also advance a likely explanation for the puzzle of why bond trading costs are lower for larger trades, and introduce a new statistical procedure for assessing trade signing errors in microstructure data with stale quotes

Trauma histories of men and women in residential drug treatment: The Scottish evidence

This article focuses on self-reported child neglect and abuse in residential drug treatment drawing on data from clients in Scotland collected 1996-1999. It notes the lack of adoption of regular screening using validated tools of childhood trauma in men and women. The authors’ findings suggest that the prevalence of childhood abuse histories are higher in female drug users than male drug users but recognises that even with standardised tools there is a wealth of diverse categories of severity of abuse that warn against broad treatment plans for ‘the traumatised’

The emergence of enterovirus D68 in England in autumn 2014 and the necessity for reinforcing enterovirus respiratory screening.

In autumn 2014, enterovirus D68 (EV-D68) cases presenting with severe respiratory or neurological disease were described in countries worldwide. To describe the epidemiology and virological characteristics of EV-D68 in England, we collected clinical information on laboratory-confirmed EV-D68 cases detected in secondary care (hospitals), between September 2014 and January 2015. In primary care (general practitioners), respiratory swabs collected (September 2013-January 2015) from patients presenting with influenza-like illness were tested for EV-D68. In secondary care 55 EV-D68 cases were detected. Among those, 45 cases had clinical information available and 89% (40/45) presented with severe respiratory symptoms. Detection of EV-D68 among patients in primary care increased from 0.4% (4/1074; 95% CI 0.1-1.0) (September 2013-January 2014) to 0.8% (11/1359; 95% CI 0.4-1.5) (September 2014-January 2015). Characterization of EV-D68 strains circulating in England since 2012 and up to winter 2014/2015 indicated that those strains were genetically similar to those detected in 2014 in USA. We recommend reinforcing enterovirus surveillance through screening respiratory samples of suspected cases

Surveillance optimisation to detect poliovirus in the pre-eradication era: a modelling study of England and Wales.

Surveillance for acute flaccid paralysis (AFP) cases are essential for polio eradication. However, as most poliovirus infections are asymptomatic and some regions of the world are inaccessible, additional surveillance tools require development. Within England and Wales, we demonstrate how inclusion of environmental sampling (ENV) improves the sensitivity of detecting both wild and vaccine-derived polioviruses (VDPVs) when compared to current surveillance. Statistical modelling was used to estimate the spatial risk of wild and VDPV importation and circulation in England and Wales. We estimate the sensitivity of each surveillance mode to detect poliovirus and the probability of being free from poliovirus, defined as being below a pre-specified prevalence of infection. Poliovirus risk was higher within local authorities in Manchester, Birmingham, Bradford and London. The sensitivity of detecting wild poliovirus within a given month using AFP and enterovirus surveillance was estimated to be 0.096 (95% CI 0.055-0.134). Inclusion of ENV in the three highest risk local authorities and a site in London increased surveillance sensitivity to 0.192 (95% CI 0.191-0.193). The sensitivity of ENV strategies can be compared using the framework by varying sites and the frequency of sampling. The probability of being free from poliovirus slowly increased from the date of the last case in 1993. ENV within areas thought to have the highest risk improves detection of poliovirus, and has the potential to improve confidence in the polio-free status of England and Wales and detect VDPVs

The ACER pollen and charcoal database: a global resource to document vegetation and fire response to abrupt climate changes during the last glacial period

Quaternary records provide an opportunity to examine the nature of the vegetation and fire responses to rapid past climate changes comparable in velocity and magnitude to those expected in the 21st-century. The best documented examples of rapid climate change in the past are the warming events associated with the Dansgaard–Oeschger (D–O) cycles during the last glacial period, which were sufficiently large to have had a potential feedback through changes in albedo and greenhouse gas emissions on climate. Previous reconstructions of vegetation and fire changes during the D–O cycles used independently constructed age models, making it difficult to compare the changes between different sites and regions. Here, we present the ACER (Abrupt Climate Changes and Environmental Responses) global database, which includes 93 pollen records from the last glacial period (73–15 ka) with a temporal resolution better than 1000 years, 32 of which also provide charcoal records. A harmonized and consistent chronology based on radiometric dating (14C, 234U∕230Th, optically stimulated luminescence (OSL), 40Ar∕39Ar-dated tephra layers) has been constructed for 86 of these records, although in some cases additional information was derived using common control points based on event stratigraphy. The ACER database compiles metadata including geospatial and dating information, pollen and charcoal counts, and pollen percentages of the characteristic biomes and is archived in Microsoft AccessTM at https://doi.org/10.1594/PANGAEA.870867

Physician self-disclosure and vaccine-critical parents׳ trust: Preparing medical students for parents׳ difficult questions

This paper introduces a controversial proposition emerging from an arts-based project on vaccine hesitancy: the relationship between physicians’ self-disclosure and vaccine-critical parents’ trust. Vaccine-critical parents are one of the most challenging noncompliant populations for health care providers, as these parents’ health beliefs often dramatically deviate from modern medical guidelines. Medical students are not typically exposed to authentic vaccine-critical parents’ concerns and expectations, leaving the students unprepared for the confronting questions the parents may pose in a face-to-face encounter. This study identifies two interrelated factors that influence vaccine-critical parents’ level of trust in their health-care provider. First, the parents have a need for their physician to be present as a “whole person”—aware of and able to communicate their personal-professional motivations and beliefs by using associated self-disclosure. Second, the parents see a moral imperative both for themselves and their physicians to “do research” on vaccines; they expect their physician to be familiar with studies for and against their immunization recommendations. Ideally, the students would be exposed to authentic vaccine-critical parents’ views, while simultaneously becoming familiar with and confident in expressing their professional moral compass

First narrow-band search for continuous gravitational waves from known pulsars in advanced detector data

Spinning neutron stars asymmetric with respect to their rotation axis are potential sources of continuous gravitational waves for ground-based interferometric detectors. In the case of known pulsars a fully coherent search, based on matched filtering, which uses the position and rotational parameters obtained from electromagnetic observations, can be carried out. Matched filtering maximizes the signalto- noise (SNR) ratio, but a large sensitivity loss is expected in case of even a very small mismatch between the assumed and the true signal parameters. For this reason, narrow-band analysis methods have been developed, allowing a fully coherent search for gravitational waves from known pulsars over a fraction of a hertz and several spin-down values. In this paper we describe a narrow-band search of 11 pulsars using data from Advanced LIGO’s first observing run. Although we have found several initial outliers, further studies show no significant evidence for the presence of a gravitational wave signal. Finally, we have placed upper limits on the signal strain amplitude lower than the spin-down limit for 5 of the 11 targets over the bands searched; in the case of J1813-1749 the spin-down limit has been beaten for the first time. For an additional 3 targets, the median upper limit across the search bands is below the spin-down limit. This is the most sensitive narrow-band search for continuous gravitational waves carried out so far

<i>Gaia</i> Data Release 1. Summary of the astrometric, photometric, and survey properties

Context. At about 1000 days after the launch of Gaia we present the first Gaia data release, Gaia DR1, consisting of astrometry and photometry for over 1 billion sources brighter than magnitude 20.7. Aims. A summary of Gaia DR1 is presented along with illustrations of the scientific quality of the data, followed by a discussion of the limitations due to the preliminary nature of this release. Methods. The raw data collected by Gaia during the first 14 months of the mission have been processed by the Gaia Data Processing and Analysis Consortium (DPAC) and turned into an astrometric and photometric catalogue. Results. Gaia DR1 consists of three components: a primary astrometric data set which contains the positions, parallaxes, and mean proper motions for about 2 million of the brightest stars in common with the HIPPARCOS and Tycho-2 catalogues – a realisation of the Tycho-Gaia Astrometric Solution (TGAS) – and a secondary astrometric data set containing the positions for an additional 1.1 billion sources. The second component is the photometric data set, consisting of mean G-band magnitudes for all sources. The G-band light curves and the characteristics of ∼3000 Cepheid and RR-Lyrae stars, observed at high cadence around the south ecliptic pole, form the third component. For the primary astrometric data set the typical uncertainty is about 0.3 mas for the positions and parallaxes, and about 1 mas yr−1 for the proper motions. A systematic component of ∼0.3 mas should be added to the parallax uncertainties. For the subset of ∼94 000 HIPPARCOS stars in the primary data set, the proper motions are much more precise at about 0.06 mas yr−1. For the secondary astrometric data set, the typical uncertainty of the positions is ∼10 mas. The median uncertainties on the mean G-band magnitudes range from the mmag level to ∼0.03 mag over the magnitude range 5 to 20.7. Conclusions. Gaia DR1 is an important milestone ahead of the next Gaia data release, which will feature five-parameter astrometry for all sources. Extensive validation shows that Gaia DR1 represents a major advance in the mapping of the heavens and the availability of basic stellar data that underpin observational astrophysics. Nevertheless, the very preliminary nature of this first Gaia data release does lead to a number of important limitations to the data quality which should be carefully considered before drawing conclusions from the data

Climate- and successional-related changes in functional composition of European forests are strongly driven by tree mortality

Intense droughts combined with increased temperatures are one of the major threats to forest persistence in the 21st century. Despite the direct impact of climate change on forest growth and shifts in species abundance, the effect of altered demography on changes in the composition of functional traits is not well known. We sought to: (1) quantify the recent changes in functional composition of European forests; (2) identify the relative importance of climate change, mean climate and forest development for changes in functional composition; and (3) analyse the roles of tree mortality and growth underlying any functional changes in different forest types. We quantified changes in functional composition from the 1980s to the 2000s across Europe by two dimensions of functional trait variation: the first dimension was mainly related to changes in leaf mass per area and wood density (partially related to the trait differences between angiosperms and gymnosperms), and the second dimension related to changes in maximum tree height. Our results indicate that climate change and mean climatic effects strongly interacted with forest development and it was not possible to completely disentangle their effects. Where recent climate change was not too extreme, the patterns of functional change generally followed the expected patterns under secondary succession (e.g. towards late-successional short-statured hardwoods in Mediterranean forests and taller gymnosperms in boreal forests) and latitudinal gradients (e.g. larger proportion of gymnosperm-like strategies at low water availability in forests formerly dominated by broad-leaved deciduous species). Recent climate change generally favoured the dominance of angiosperm-like related traits under increased temperature and intense droughts. Our results show functional composition changes over relatively short time scales in European forests. These changes are largely determined by tree mortality, which should be further investigated and modelled to adequately predict the impacts of climate change on forest function