The impact of hidden liquidity in limit order books

We report evidence that the presence of hidden liquidity is associated with greater liquidity in the order books, greater trading volume, and smaller price impact. Limit and market order submission behavior changes when hidden liquidity is present consistent with at least some traders being able to detect hidden liquidity. We estimate a model of liquidity provision that allows us to measure variations in the marginal and total payoffs from liquidity provision in states with and without hidden liquidity. Our estimates of the expected surplus to providers of visible and hidden liquidity are positive and typically of the order of one-half to one basis points per trade. The positive liquidity provider surpluses combined with the increased trading volume when hidden liquidity is present are both consistent with liquidity externalities

The influence of buy-side analysts on mutual fund trading

We present evidence of the impact of buy-side analysts on the behavior and performance of fund managers. Using data provided by a large global asset manager, we relate buy-side analysts' recommendations to fund transactions on a daily basis. Our results show that buy-side analysts have a significant influence on trading decisions: Fund managers almost certainly follow recent recommendation revisions in their trades. Fund flows and sell-side recommendations matter as well, but to a lesser extent. Positive abnormal returns to buy-side analysts' revisions are also reflected in the performance of mutual fund trades: trades triggered by buy-side recommendations have higher returns than other trades. --buy-side analysts,analyst recommendations,mutual funds,investment decisions,investment performance

The impact of iceberg orders in limit order books

We examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show that when the market learns about iceberg orders they tend to strongly attract market orders consistent with iceberg orders facilitating the search for latent liquidity. The greater the fraction of an iceberg order that is executed the smaller its price impact consistent with liquidity rather than informed trading. The presence of iceberg orders is associated with increased trading consistent with a positive liquidity externality, but the reduced order book transparency associated with iceberg orders also creates an adverse selection cost for limit orders that may partly offset any gains. --Hidden Liquidity,Iceberg Orders,Limit Order Markets,Transparency

The STRIPAK complex and its role in fruiting-body development of the filamentous fungus Sordaria macrospora

The mammalian Striatin-interacting phosphatase and kinase (STRIPAK) complex consist of many proteins, among them Striatin as scaffold, the putative kinase activator monopolar spindle-one-binder 3 (MOB3), serine/threonine phosphatase PP2A subunits A and C, the Striatin-interacting protein (STRIP)1 and STRIP2, sarcolemmal membrane-associated protein (SLMAP) and the germinal center kinases (GCK) MST4, STK24, STK25 and MINK1. In this study, we used the filamentous ascomycete Sordaria macrospora as model organism to analyze the role of the STRIPAK complex in fruiting-body development. S. macrospora is coprophytic fungus which solely undergoes a sexually lifecycle and does not require a mating partner for sexual reproduction. In S. macrospora, the STRIPAK complex is required for fruiting-body development and hyphal fusion. Hyphal fusion is a process that results in mixed cell contents of involved cells without lysis. In filamentous ascomycetes, hyphal fusion occurs at different stages of vegetative growth and sexual reproduction. The STRIPAK complex in S. macrospora contains homologs to mammalian Striatin (PRO11), MOB3 (SmMOB3), subunits A and C of PP2A (SmPP2AA and C), STRIP1/2 (PRO22) and SLMAP (PRO45). However, fungal STRIPAK-associated kinases have not been characterized to date. This study is divided into two parts, one comprises the characterization of SmGPI1, a GPI-anchored protein, identified as interaction partner of SmMOB3 in cross-species microarrays, and the other part is about identification of potential STRIPAK-associated kinases. Interaction between STRIPAK-associated SmMOB3 and SmGPI1 was successfully verified by co-Immunoprecipitation (co-IP) and yeast two-hybrid (Y2H) using S. macrospora cDNA. Deletion of Smgpi1 was the next step to investigate its impact on fruiting-body development; in contrast to Δpro11, Δ pro22, ΔSmMOB3 and Δpro45, ΔSmgpi1 underwent hyphal fusion and was fertile, but generated more fruiting bodies, which were smaller but normal in shape compared to wt. Interestingly deletion of Smgpi1 in a sterile ΔSmmob3 deletion background restored the phenotypes caused by Smmob3 deletion. As already mentioned, ΔSmmob3 is sterile and not capable of hyphal fusion. In contrast, the double-deletion strain ΔSmgpi1/ΔSmmob3 is fertile and underwent hyphal fusion. This effect was Smmob3 specific and did not occur in other STRIPAK-specific double-deletion strains, e.g. ΔSmgpi1/Δpro11, ΔSmgpi1/Δpro22 and ΔSmgpi1/Δpro45. Moreover, fluorescence microscopy and differential centrifugation of SmGPI1 revealed a dual targeting; SmGPI1 localizes at the cell wall and the mitochondria. Regarding the identification of STRIPAK-associated kinases in S. macrospora, two kinases were identified to be homologous to the mammalian STRIPAK-associated kinases MST4, STK24, STK25 and MINK1 by BLASTP search and were named SmKIN3 and SmKIN24. Phylogenetic analysis revealed a conservation of these kinases among ascomycetes. Interaction of SmKIN3 and SmKIN24 with S. macrospora Striatin homolog PRO11 was shown via Y2H and for SmKIN3 and PRO11 also by means of co-IP. Fluorescence microscopy of SmKIN3 and SmKIN24 revealed localization to the septa, whereas SmKIN3 localizes at the outer part of the septum and SmKIN24 to the septal pore. Deletion of Smkin3 or Smkin24 to analyze their impact on fruiting-body development showed only ΔSmkin24 to be sterile. However, ΔSmkin3 and ΔSmkin24 were reduced in vegetative growth and exhibited impaired septa formation; whereas ΔSmkin3 displayed greater distances between adjacent septa compared to wt, deletion of Smkin24 resulted in numerous closely-packed septal bundles of abnormal shape. Although phenotypically distinct, both kinases appear to function independently because the double-knockout strain ΔSmkin3/ΔSmkin24 displayed the combined phenotypes of each single-deletion strain. Moreover, we discovered that protoplasts harboring the ΔSmkin3 deletion background recover faster than protoplasts obtained from wt. Based on the results of this study and findings in N. crassa that homologs to SmKIN3 and SmKIN24 are implicated in septation initiation network (SIN) we assume STRIPAK to function aside from sexual development and hyphal fusion, also in regulation of fruiting-body number via SmMOB3-SmGPI1 interaction and suggest a crosstalk between SIN and STRIPAK in S. macrospora

New conserved structural fields for supercooled liquids

By considering Voronoi tessellations of the configurations of a fluid, we propose two new conserved fields, which provide structural information not fully accounted for by the usual 2-point density field fluctuations (structure factor). One of these fields is scalar and associated to the Voronoi cell volumes, whereas the other one, termed the "geometrical polarisation", is vectorial, related to the very local anisotropy of the configurations. We study the static and dynamical properties of these fields in the supercooled regime of a model glass-forming liquid. We show in particular that the geometrical polarisation is both statically correlated to the force field and contrary to it develops a plateau regime when the temperature is lowered. We attribute this behaviour to the microsopic disorder of the underlying inherent structures (IS) which dictate the dynamics on time scales larger than the true microscopic time, in the strong supercooled regime. In this respect, this work raises the issue of to what extent the inter IS dynamics, intrinsically anisotropic and collective (cf. T.B. Schr{\o}der et al. {\it J. of Chem. Phys.}, {\bf 112}, 9834 (2000)), could be related to their polarisation field.Comment: submitted to EPJE the 09/30/201

The Influence of Buy-side Analysts on Mutual Fund Trading

We present evidence of the impact of buy-side analysts on the behavior and performance of fund managers. Using data provided by a large global asset manager, we relate buy-side analysts' recommendations to fund transactions on a daily basis. Our results show that buy-side analysts have a significant influence on trading decisions: Fund managers almost certainly follow recent recommendation revisions in their trades. Fund flows and sell-side recommendations matter as well, but to a lesser extent. Positive abnormal returns to buy-side analysts' revisions are also reflected in the performance of mutual fund trades. Trades triggered by buy-side recommendations have higher returns than other trades

Combined Effects of Knowledge About Others' Opinions and Anticipation of Group Discussion on Confirmatory Information Search

There is conclusive evidence that information search processes are typically biased in favor of the information seeker’s own opinion (confirmation bias). Less is known about how knowledge about others’ opinions affects this confirmatory information search. In the present study, the authors manipulated feedback about others’ opinions and anticipation of group interaction. As predicted, the effect of knowledge about others’ opinions on confirmatory information search depended on whether participants anticipated interacting with these others. Specifically, minority members anticipating a group discussion exhibited a particularly strong confirmation bias, whereas minority members who did not anticipate a discussion predominantly sought information opposing their opinion. For participants not anticipating group interaction, confidence about the correctness of one’s decision mediated the impact of knowledge about others’ opinions on confirmatory information search. Results are discussed with regard to the debiasing effect of preference heterogeneity on confirmatory information search in groups

Measuring mutual fund herding - A structural approach

This paper proposes a methodological improvement to empirical studies of herd behavior based on investor transactions. By developing a simple model of trading behavior, we show that the traditionally used herding measure produces biased results. As this bias depends on characteristics of the data, it also affects the robustness of previous findings. We derive a new measure that is unbiased and shows superior statistical properties for data sets commonly used. In an analysis of the German mutual fund market, our measure provides new insights into fund manager herding that would have been undetected under the traditional statistic

Measuring Mutual Fund Herding - A Structural Approach

This paper proposes a methodological improvement to empirical studies of herd behavior based on investor transactions. By developing a simple model of trading behavior, we show that the traditionally used herding measure produces biased results. As this bias depends on characteristics of the data, it also affects the robustness of previous findings. We derive a new measure that is unbiased and shows superior statistical properties for data sets commonly used. In an analysis of the German mutual fund market, our measure provides new insights into fund manager herding that would have been undetected under the traditional statistic

Novel formation regimes and mechanisms for macropores and porous anodic oxides in silicon

In der vorliegenden Arbeit wurde die elektrochemische Porenbildung in Silizium und Siliziumoxid untersucht. Im ersten Teil der Arbeit ging es um die Untersuchung von Makro und Mesoporen in n-Typ Silizium, die sich in fluoridhaltigen Elektrolyten bei Anlegen einer anodischen Spannung bilden. Es wurde ein neuer Makroporenporenwachstumsmodus gefunden, der es erlaubt, Makroporen mit einem Vielfachen der bisherigen Geschwindigkeit herzustellen. Hierbei unterscheidet sich die Porenqualität und -geometrie nicht wesentlich von den guten Ergebnissen bei den deutlich langsameren, konventionellen Ätzverfahren. Um diese Poren zu erhalten muss ein schwach oxidierender Elektrolyt mit hohen Flusssäurekonzentrationen kombiniert werden. Das Parameterfeld für diese Porensorte wurde eingehend untersucht und ein Erklärungsmodell für dieses Wachstumsverhaltens erstellt. In weiteren Teilen wurde die Parameterabhängigkeit der Geometrie von Mesoporen untersucht. Im zweiten Abschnitt der Arbeit werden poröse Siliziumoxide untersucht, die sich bei hohen anodischen Spannungen bilden. Andere elektrochemisch hergestellte poröse Oxidsysteme, z.B. Aluminiumoxid, haben eine große Anwendungsbandbreite, während elektrochemisch hergestellte poröse Oxidmodifikationen in Silizium nur wenig untersucht sind. Für die Versuche dieser Arbeit wurden schwach basisch gepufferte, fluorhaltige Elektrolyte verwendet mit niedriger Oxidauflösungsrate. Die Kennlinie in der zyklischen Voltammetrie weist für diese Elektrolyten eine ungewöhnlich starke Hysterese zwischen Vor- und Rücklauf auf, die mit elektrischer Impedanzspektroskopie untersucht wurde. Bei längeren potentiostatischen Versuchen zwischen 10 und 16 V wächst ein dünner poröser SiO2-Film auf der Siliziumoberfläche. Bei höheren Spannungen bilden sich regelmäßige Oberflächenkorrugationen, die mit einem dünnen porösen SiO2-Film bedeckt sind. Diese beiden unterschiedlichen Morphologien wurden mit einem Rasterelektronenmikroskop untersucht. Sowohl zu den unterschiedlichen Morphologien als auch zur starken Hysterese der Kennlinie wurde in der vorliegenden Arbeit ein Erklärungsmodell erarbeitet