Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process

Recently, models of limit order markets, particularly those of the continuous double auction, are subject to an intense research. Due to their complexity, the models are regarded to be analytically intractable. In the present paper, nonetheless, a closed form result is derived: the conditional distribution of the limit order book given the history of the best quote process.limit order markets, continuous double auction, limit order book, conditional distribution, immigration-death process

Stochastic Model of Thin Market with Divisible Commodity

We suggest a model of (a thin) market at which the number of participants is random with Poisson distribution. We provide a formula for joint distribution of the market price and the traded volume. We derive an asymptotic distribution of the quantities. We find that, according to our model, with increasing intensity of the participants' number, the fluctuations of the market price vanish while the variance of the traded volume increases.thin market, market price, traded volume, asymptotic distribution

Forecasting in Continuous Double Auction

Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of the limit orders is studied. The main result of the paper is an approximate formula for the distribution of the market price and the traded volume at the time s given the information available at tlimit order markets, continuous double auction, price and volume, forecasting, market microstructure

Stochastic Model of Thin Market of nondivisible commodity

We assume a thin market with finite number of buyers and sellers, each agent having a single jump demand xor supply function (the jump is unit). Further, we assume that number of each agent's arrival is a Poisson distributed random variable. We describe the joint distribution of the market price and of the traded volume. Further, we examine a model with infinite number of agents (which may serve as an approximation of the model with the finite number of agents). Again, we describe the joint distribution of the price and the volume.Thin market, market price, traded volume

Normal Approximation of the Disrtibution of the Equilibrium Price in Markets with Random Demand and Supply

In the paper, the asymptotic distribution of the equilibrium price in markets with the random demand and supply is described. Two special cases - the one with smooth demand and supply curves and the one with jump demand and supply curves - are studied. It is found that in both the cases the fluctuations of the price vanish at the rate O(n^{-1/2}) as the number of the agents n tends to infinity. Finally, a normal approximation of the distribution of the equilibrium price is suggested.equilibrium price, random demand, random supply, asymptotic distribution, normal approximation

Macroeconomic resilience in a DSGE model

We use the dynamic stochastic general equilibrium (DSGE) model of Altig et al. (2005) to analyse the resilience of an economy in the face of external shocks. The term resilience refers to the ability of an economy to prosper in the face of shocks. The Altig et al. model was chosen because it combined both demand and supply shocks and because various market rigidities/imperfections, which have the potential to affect resilience, are modelled. We consider the level of expected discounted utility to be the relevant measure of resilience. The effect of market rigidities, eg. wage and price stickiness, on the expected level of utility is minimal. The effect on utility is especially small when compared to the effect of market competition, because the latter has a direct effect on the level of output. This conclusion holds for the family of constant-relative-risk-aversion-over-consumption utility functions. A similar conclusion was drawn by Lucas (1987) regarding the costs of business cycles. We refer to the literature that followed Lucas for ideas for how a DSGE model might be adjusted to give a more meaningful analysis of resilience. We conclude that the Altig et al. DSGE model does not produce a relationship between rigidities and the level of output and, hence, does not capture the effect of inflexibility on utility that one observes colloquially.

Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts

We compare the accuracy of our published GDP growth forecasts from our large macro model, SAFFIER, to those produced by VAR based models using both classical and Bayesian estimation techniques. We employ a data driven methodology for selecting variables to include in our VAR models and we find that a randomly selected classical VAR model performs worse in most cases than the Bayesian equivalent, which performs worse than our published forecasts in most cases. However, when we pool forecasts across many VARs we can produce more accurate forecasts than we published. A review of the literature suggests that forecast accuracy is likely irrelevant for the non-forecasting activities the model is used for at CPB because they are fundamentally different activities.

Stepwise access to safe plasma proteins in resource‐constrained countries:Local production and pathways to fractionation—Report of an International Society of Blood Transfusion Workshop

Background and Objectives Actions are needed to improve access to safe plasma-derived medicinal products (PDMPs) in low- and middle-income countries (LMICs). Materials and Methods The International Society of Blood Transfusion (ISBT) Working Party for Global Blood Safety organized an on-line workshop during 21–23 September 2021 to advance access to safe plasma proteins in resource-constrained countries, consistent with recent World Health Organization (WHO) guidance documents. Results The meeting drew attention to the considerable unmet needs for access to essential PDMPs in LMICs, in particular coagulation factors and immunoglobulins, and stepwise actions to address these deficits. First, improved access to safe plasma protein therapies requires blood component separation with prevention of wastage of recovered plasma. Quality and safety of collected blood and plasma must be assured so that plasma in excess of transfusion needs can be processed into safe plasma proteins. Second, local production of safe plasma proteins can be implemented using available technologies to locally obtain pathogen-reduced plasma and prepare pathogen-reduced cryoprecipitate and immunoglobulins from small plasma pools. Third, when a sufficient, stable volume of quality-assured plasma is available (approximately 50,000 L/year), contract or toll fractionation by a foreign plasma fractionator can expand the supply of PDMPs. Fourth, when the national infrastructure supports high-technology industrial production and stable volumes of quality plasma reach at least 200,000 L/year, technology transfer for domestic fractionation can be considered. Conclusion Action is needed including commitments of the organizations that made the workshop possible (WHO, ISBT, World Federation of Haemophilia [WFH], Plasma Protein Therapeutics Association [PPTA], International Plasma Fractionation Association [IPFA], International Patient Organization of Primary Immunodeficiencies [IPOPI] and International Federation of Blood Donor Organizations [FIODS])

Optical characterisation of three reference Dobsons in the ATMOZ Project – verification of G. M. B. Dobson's original specifications

Laboratory investigations of optical characteristics of three standard Dobsons provide real wavelength settings and slit functions. These parameters were compared with the original values given in the manuals. The differences between real and nominal values are not too large, but their application will in any case improve the quality of the total ozone column measurements in the global network. This improvement was the main objective of the ATMOZ project funding these activities.This work has been supported by the European Metrology Research Programme (EMRP) within the joint research project EMRP ENV59 ATMOZ “Traceability for atmospheric total column ozone”. The EMRP is jointly funded by the EMRP participating countries within EURAMET and the European Union

Characterization of Dobsons instruments within EMRP ATMOZ Project

Presentación realizada en: ATMOZ workshop at 11th RBCC-E, celebrado en El Arenosillo, Huelva, el 1 de junio de 2017