Market Spreads Research Articles

Experiments in high-frequency trading: comparing two market institutions

We implement a laboratory financial market where traders can access costly technology that reduces communication latency with a remote exchange. In this environment, we conduct a market design study on high-frequency trading: we contrast the performance of the newly proposed frequent batch auction (FBA) against the continuous double auction (CDA), which organizes trades in most exchanges worldwide. Our evidence suggests that, relative to the CDA, the FBA exhibits (1) less predatory trading behavior, (2) lower investments in low-latency communication technology, (3) lower transaction costs, and (4) lower volatility in market spreads and liquidity. We also find that transitory shocks in the environment have substantially greater impact on market dynamics in the CDA than in the FBA.

Toward versatile cooperative surgical robotics: a review and future challenges.

Surgical robotics has developed throughout the past 30years resulting in more than 5000 different approaches proposed for various surgical disciplines supporting different surgical task sequences and differing ways of human-machine cooperation or degrees of automation. However, this diversity of systems influences cost as well as usability and might hinder their widespread adoption. In combination with the current trend toward open and modular "plug and play" dynamic networks of medical devices and IT systems in the operating room, a modular human-robot system design with versatile access to cooperative functions with varying degrees of automation on demand is desirable. Therefore, standardized robotic device profiles describing essential functional characteristics of cooperative robotic systems are mandatory. Surgical robotics is analyzed from a human-machine interaction perspective to identify generic cooperative robotic device profiles, features and use cases. Therefore, cooperative aspects are introduced from a general point of view. Relevant communication channels used for human-machine interaction are then analyzed, referenced by surgical scenarios. Subsequently, proposed classifications of surgical task sequences and surgical robotic systems are analyzed with a focus on a modular design for cooperative robotics in surgery. Considerations based on cooperative guidelines are given and features are identified and summarized in a classification scheme used to define distinct generic cooperative robotic device profiles. The latter can be the basis for a modular architecture of future surgical robot systems. Modular system design can be expanded toward functionalities or different degrees of autonomy, shared or manual control. The proposed device profiles of cooperative surgical robots could lay the foundation for integration into open and modular dynamic "plug and play" networks in the operating room to enhance versatility, benefit-to-cost ratio and, thereby, market spread of surgical robotics.

HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH

Hedging of credit derivatives, especially the Collateralized Debt Obligations (CDOs), is the prerequisite of risk management in financial market. Since both spread risk and default risk exist, the models in existing literature resort to the incomplete-market theory to derive the hedging strategies. From another point of view, the construction of hedging strategies of CDO might be regarded as the process of forecasting the changes in value of CDO by the changes in value of hedging instruments. Based on this idea, this paper proposes an alternative hedging approach via the combined forecasting and regression techniques, where the two individual forecasting models are Gaussian copula model and local intensity model, used to hedge against spread risk and default risk, respectively. Finally, the dynamic hedge ratios of CDO tranches with CDS index are derived. A numerical analysis is carried out and the hedge ratios obtained by the new models are compared with those from actual market spreads. It is shown that the model derived in this paper not only provides hedging strategies which agree with the market hedge ratios but that can be effectively implemented as well.

Evaluation of the Impact of Using Electronic Marketing in Marketing Illegal Products by Applying to Marketing of Digital Drugs in the Kingdom of Saudi Arabia

Just as electronic marketing has advantages, it also has its disadvantages. Through it, illegal products can be marketed, which are prosecuted by governments in traditional markets. These products have found a safe haven in the electronic marketing to market them. One of these products is drugs, which are a major threat to any government and fought against by it. Therefore, its marketers have circumvented this situation and turned them into digital addiction fighting the young people known for their keen interest in the Internet.
 
 The study observed the misuse and illegal use of electronic marketing. Thus, the problem of the study was the spread of marketing illegal products through the Internet, such as digital drugs, exploiting the spread and popularity of electronic marketing, especially among adolescents and young people.
 
 The study used the descriptive analytical approach. It was also based on the simple correlation coefficient and the stepwise regression coefficient to test hypotheses for one of the methods included in the SPSS.
 
 The study concluded that there was a strong relationship between the use of electronic marketing components and the spread of digital drugs. Without electronic marketing, there would be no presence of this type of drugs. It also found the skill of their marketers in using the marketing mix components to market their deadly product. The study also found the possibility of using the means of curbing the spread of these drugs via electronic means over the Internet and in the same way of their marketers. Finally, the study concluded that this harmful marketing could affect the future of electronic marketing; rather, the electronic commerce as a whole.
 
 The study recommended the use of the electronic counter-promotion strategy against these websites in line with raising awareness of young people, blocking websites promoting them, and prosecuting them if created again, penetrating the websites marketing the digital drugs and change their content. A comprehensive national plan that includes the Ministries of Health, Education, Interior and Justice is needed.

Collateralized Debt Obligations

We find that credit rating is the most important variable in determining tranche spread at issue on Collateralized Debt Obligations (CDOs) issues backed by project finance (PF) loans. Factors that are important for pricing in the case of corporate bonds, such as market liquidity and weighted average maturity, are also relevant for determining spreads on these securities. Furthermore, the nature of the underlying assets has a substantial impact on CDO pricing: primary market spread is significantly higher when the underlying PF loans bear a higher level of market risk and when the proportion of projects still under construction in the securitized portfolio is larger.

Let's Call it Quits: Break-Even Effects in the Decision to Stop Taking Risks.

"Chasing" behavior, whereby individuals, driven by a desire to break even, continue a risky activity (RA) despite incurring large losses, is a commonly observed phenomenon. We examine whether the desire to break even plays a wider role in decisions to stop engaging in financially motivated RA in a naturalistic setting. We test hypotheses, motivated by this research question, using a large data set: 707,152 transactions of 5,379 individual financial market spread traders between September 2004 and April 2013. The results indicate strong effects of changes in wealth around the break-even point on the decision to cease an RA. An important mediating factor was the individual's historical long-term performance. Those with a more profitable trading history were less affected by a fall in cash balance below the break-even point compared to those who had been less profitable. We observe that break-even points play an important role in the decision of nonpathological risk takers to stop RAs. It is possible, therefore, that these nonpathological cognitive processes, when occurring in extrema, may result in pathological gambling behavior such as "chasing." Our data set focuses on RAs in financial markets and, consequently, we discuss the implications for institutions and regulators in the effective management of risk taking in markets. We also suggest that there may be a need to consider carefully the nature and role of "break-even points" associated with a broader range of nonfinancially-focused risk-taking activities, such as smoking and substance abuse.

What Do Deviations from Covered Interest Parity and Higher FX Hedging Costs Mean for Asia

Asian countries have high demand for U.S. dollars and are sensitive to U.S. dollar funding costs. An important, but often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are deviations from covered interest parity (CIP). CIP deviations mean that investors need to pay a premium to borrow U.S. dollars or other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes since the global financial crisis, which have limited arbitrage opportunities and country-specific factors that contribute to a mismatch in the demand and supply of U.S. dollars. We find that an increase in the basis spread tightens financial conditions in net debtor countries, while easing financial conditions in net creditor countries. The main reason is that net debtor countries are, in general, unable to substitute smoothly to other domestic funding channels. Policies that promote reliable alternative funding sources, such as long-term corporate bond market or stable long-term investors, including a “hedging counterpart of last resort,” can help stabilize financial intermediation when U.S. dollar funding markets come under stress.

«Паразитичний маркетинг»: ризики та алгоритм захисту для торговельних марок.

The article was analyzed the theoretical and applied aspects of the spread of parasitic marketing and its threats to right-holders of trademarks (TM). The main way of protection of TM is their registration. But the prevalence of counterfeit goods in the world, significant economic and image losses of rightsholders, the problem of bringing violators to responsibility make it necessary to study the factors creating conditions for the purchase and sale of counterfeit goods, and determine the algorithm for protection against parasitic marketing.The authors were conducted an empirical study (questionnaire), the results of which proved the awareness of the citizens of the high level of falsification of the Ukrainian market of goods and services, the neutral attitude of the Ukrainian to the existence of counterfeit goods. According to the results of the second experimental study – with manipulation over the appearance of the product and a change in the designation of TM - it was determined, that the trademark is the main signal for consumer choice. Low levels of awareness about elements of original TM, legal awareness in the field of intellectual property (IP), awareness of imperfections of the domestic sphere of protection of IP rights, drop in the level of well-being of the population -are grounds for existence and distribution of parasitic marketing.In order to avoid negative development scenario, the right-holders of TM are invited to direct their attention to three areas: research of factors of consumer choice; research of risk factors for the appearance of counterfeit goods; formation of their own set of measures aimed at protecting TM against parasitic marketing based on the presented algorithm.

Bank Specialness, Credit Lines, and Loan Structure

We find that credit lines (CLs) play special roles in syndicated lending, committing lead banks to screen, monitor, and invest in relationships with borrowers. Institutional term loans (ITLs) packaged with CLs have lower interest rate spreads in the primary market and narrower bid-ask spreads in the secondary market. Findings support the Bank Specialness Hypothesis that banks significantly alleviate information problems in the syndicated loan market. Additional tests using the Lehman bankruptcy as a quasi-natural experiment confirm our conclusions. Our tests extend the literature on bank specialness, the value of CLs, and optimal loan contracting. Our findings also have policy implications.

A techno-economic assessment of biogas upgrading in a developed market

The development of renewable energies was impressive in recent years on a global scale. This produced changes regarding production processes, citizens' habits, industrial investments and consumer decisions. In this context, the policy-maker played a crucial role. The subsidies are able to determine the development of a specific market. Biogas market spread globally, while biomethane market concentrated in some territories. Green gas can be used as vehicle fuel or injected into the gas grid but also burnt for co-generation.The present work proposes a techno-economic analysis for an existing biogas plant. In particular, the analysis was focused on the comparison between two possible strategic plans, in order to establish which one was the best in terms of profitability: the first one is the expansion of the plant to upgrade biogas to biomethane, whereas the second one is to continue the production of biogas as planned when the plant was constructed.The Discounted Cash Flow (DCF) method was proposed in this paper, and the Net Present Value (NPV) is the main index used. One 250 m3/h biomethane plant located in Italy using pressure swing adsorption (PSA) technique is analysed. The results demonstrated the positive environmental impact deriving from the use of zeolites synthesized from spent fly ash and the profitability is verified only in some scenarios. However, they are limited only to the construction of new biomethane plants, while the upgrading of existing biogas plants are always unprofitable. A Break-Even Point (BEP) analysis quantifies the value of subsidies of biogas and biomethane by which the profitability could be reached. Biomethane can contribute to the development of circular economy models, while the sustainability targets are achieved only in some scenarios.

Seasonality in Catastrophe Bonds

Catastrophe bonds are securities that transfer catastrophe risk from sponsors, which are mostly (re-)insurance companies, to capital markets. Based on secondary market data from 386 seasonality-affected cat bonds, we employ fixed effects regression models to explain seasonality in cat bond spreads. First, we show that the impact of seasonality on spreads depends on fluctuating arrival frequencies, the magnitude of the expected loss and the maturity of the cat bond. Second, we use modeled distributions of arrival frequencies of qualifying events to construct a measure of cat bond seasonality that captures these three effects. Up to 47% of all secondary market fluctuation in single-peril hurricane bonds can be explained through this seasonality measure. Third, we establish a method to deduct market-implied distributions of arrival frequencies from secondary market spreads, reflecting a market-based assessment of catastrophe arrival frequencies.

Macroeconomic conditions, financial constraints, and firms’ financing decisions

Abstract We examine how time-varying macroeconomic conditions affect firms’ financing decisions. A principal components decomposition of several macroeconomic variables characterizes three phases of the business cycle relative to recessions: early recovery, robust recovery, and economic crest; a fourth represents “windows of opportunity” in capital markets that are unrelated to recessions. This characterization yields results that traditional approaches miss. Specifically, debt issuance exhibits a non-monotonic pattern during the upward phase of the business cycle: it declines in robust recovery relative to recessions but peaks at the economic crest. Financially constrained firms issue more equity during windows of high stock market valuation, whereas unconstrained firms time debt issuance in response to debt market spreads.

MATI: An efficient algorithm for influence maximization in social networks.

Influence maximization has attracted a lot of attention due to its numerous applications, including diffusion of social movements, the spread of news, viral marketing and outbreak of diseases. The objective is to discover a group of users that are able to maximize the spread of influence across a network. The greedy algorithm gives a solution to the Influence Maximization problem while having a good approximation ratio. Nevertheless it does not scale well for large scale datasets. In this paper, we propose Matrix Influence, MATI, an efficient algorithm that can be used under both the Linear Threshold and Independent Cascade diffusion models. MATI is based on the precalculation of the influence by taking advantage of the simple paths in the node’s neighborhood. An extensive empirical analysis has been performed on multiple real-world datasets showing that MATI has competitive performance when compared to other well-known algorithms with regards to running time and expected influence spread.

Survey of energy drink consumption and adverse health effects in Lebanon.

Consumption of energy is a national and international phenomenon that showed increase in market spread and profits from 1990 and made the emergence of many brands. Energy drinks are aggressively marketed with the claim that these products give an energy boost to improve physical and cognitive performance. However, studies supporting these claims are limited. The study examines the new phenomena of energy drinks among university students in Lebanon, based on the participants' personnel characteristics, university grade and the impact on health status. The study also determined whether high frequency of consumption was correlated with negative physical health symptoms. A cross-sectional study survey was undertaken on students aged between 18 and 30years in private university over three branches (Beirut, Tripoli and Saida). A self-administered questionnaire was used inquiring about socio-demographic characteristics, consumption patterns and side effect of energy drinks. Data was analyzed using SPSS 24. Findings showed a serious concern exists for the health and safety of the most at risk students who engaged in daily energy drink usage when two-thirds of these reported difficulties sleeping, more than one experienced heart palpitation and blood pressure; one-third had anxiety, nervousness and feeling thirsty, and one fifth indicated tiredness and headache. Such symptoms are reported with excessive consumption of caffeine that had adverse health effect on the body.

Macroeconomic Conditions, Financial Constraints, and Firmss Financing Decisions

We examine how time-varying macroeconomic conditions affect firms’ financing decisions. A principal components decomposition of several macroeconomic variables characterizes three phases of the business cycle relative to recessions: early recovery, robust recovery, and economic crest; a fourth represents “windows of opportunity” in capital markets that are unrelated to recessions. This characterization yields results that traditional approaches miss. Specifically, debt issuance exhibits a non-monotonic pattern during the upward phase of the business cycle: it declines in robust recovery relative to recessions but peaks at the economic crest. Financially constrained firms issue more equity during windows of high stock market valuation, whereas unconstrained firms time debt issuance in response to debt market spreads.

Does Securitization for Government Staff Personal Loan Perform?

Malaysian firms have been reported to involve in Asset-Backed Securities since 1986s where Cagamas is a pioneer. The objective of this study to determine the primary market spread and analyze on firm financial performance. The methodology for this paper using regression analysis for the study period 2007-2012. They are three determinants that contribute and statistically significant for this research paper. The measurement of financial performance does not have any impact during subprime mortgage crisis. The firm results shows increasing profitability, reducing debt, stronger company value and shareholders earning better dividend.

Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations

A portfolio optimization problem for an investor who trades T-bills and a mean-reverting stock in the presence of proportional and convex transaction costs is considered. The proportional transaction cost represents a bid-ask spread, while the convex transaction cost is used to model delays in capital allocations. I utilize the historical bid-ask spread in US stock market and assume that the stock reverts on yearly basis, while an investor follows monthly changes in the stock price. It is found that proportional transaction cost has a relatively weak effect on the expected return and the Sharpe ratio of the investor's portfolio. Meantime, the presence of delays in capital allocations has a dramatic impact on the expected return and the Sharpe ratio of the investor's portfolio. I also find the robust optimal strategy in the presence of model uncertainty and show that the latter increases the effective risk aversion of the investor and makes her view the stock as more risky.

Valore | prezzo di mercato, Sociologia | Economics

Boltanski and Thevenot have defined economic value as price justification. This definition imposes to consider the value and current market price as not necessarily coincident: in social reality, both collective processes of price formation and collective processes meant to justify them or to consider them unjustified are to be found. The author reminds that such tension between value and price has been constant in the European economic thought since Summa theologica until the late Spanish Scholasticism of the XVII century. Already thwarted by the first treatises on currency, it has gained new strength in the theories of value/labour from Smith to Ricardo, to Marx until, finally and partially, Mill. In this stage it has been attempted to make labour a measure of value and hence the final criterium of price definition in situations of balance between supply and demand. The difficulties of such measurement attempt have certainly fostered the so-called marginalist revolution, which is characterized by the abolition of the tension between value and price and for having chosen as object of study the prices alone.As in the scientific revolutions theorized by Kuhn, the new paradigm has got rid from the tangles and aporias of the former paradigm but has paid the cost of a depletion of socio-economic analysis: it would fit to speak of a regressive revolution. From the same book by Boltanski and Thevenot, the Enrichissement, one can find an example of the permanence of the need for justification based on broadly shared criteria: the current spread of a particular market, the one of collectibles, whose shared justification regards their capacity of indefinitely duration and escape from consumption.The essay frames the issue and its arguments within a more general reflection upon the relationships between sociology and economics.

THE EFFECTS OF MERGERS AND ACQUISITIONS ON BRAND LOYALTY IN LUXURY BRANDS

This paper examines the effects of the mergers and acquisitions (M&A) announcement through social media on the consumer perception of the luxury brand consumption. A M&A is becoming more wide spread in the luxury market. Yet, the academic research examining the M&A in the luxury brand context has been sparse albeit the growing interests. Moreover, previous research has not paid attention to the effect of social media as a vehicle to communicate the M&A deal with consumers although social media is increasingly used by luxury brands in their brand communication these days. We aim to fill the gap in the luxury brand literature by examining how a horizontal M&A announcement delivered through social media would affect the brand loyalty derived from the luxury consumption values. Specifically, our research focuses on the four distinctive luxury brand values, which are symbolic, experiential, economic and quality values as well as the perceived sustainability of the M&A deal. We examine how a M&A announcement would affect these five values which in turn influence the brand loyalty, as well as examining the differential effect of social media and non-social media as a brand communication vehicle. In addition, we examine how the vertically differentiated luxury brand perceptions (i.e. different luxury tiers) between acquiring and acquired brands influence the consumption values and brand loyalty. Using a scenario-based online survey, our results reveal several interesting insights on the luxury brand M&A. First, our results show that use of social media as a communication vehicle has differential effects on how the M&A announcement influences consumption values and brand loyalty, comparing with the non-social media communication vehicle. Second, we find that a M&A announcement via social media has a positive impact on the consumer values. Third, the symbolic and experiential values have a positive influence on the brand loyalty, regardless of the luxury tier difference between brands. Fourth, our results show that the perceived sustainability has a positive impact on the brand loyalty as long as the M&A was completed between brands at different tiers. Fourth, the perceived quality has a positive impact on the brand loyalty only if the brand is acquired by a less prestigious brand. Lastly, economic value has a positive impact on the brand loyalty only if the acquiring brand is of more luxurious. In sum, our paper provides useful insights to both academics as well as practitioners in the luxury brand M&A context.

Antecedents of Securitization Primary Market Spread: Case Study of Cagamas

Antecedents of Securitization Primary Market Spread: Case Study of Cagamas