Estimating the intensity of choice in a dynamic mutual fund allocation decision

The paper analyzes the intensity of choice in an agent based financial optimization problem. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. We specify a model for the allocation of new funds, switching between funds, and withdrawals and obtain statistically significant estimates of the intensity of choice parameter. This estimate is also given economic interpretation through the underperformance of funds that use an active style. We find that agents with relative risk aversion of 2 will move 1% of their funds from active to passive for an extra 34 basis points of return. © 2008

Analyst Recommendations and Nasdaq Market Making Activity

I investigate the linkage between liquidity provision by Nasdaq market makers and analysts in the same firm. Using three measures of market activity, I find that Nasdaq firms are more likely to provide buy side liquidity in anticipation of upgrades in the period 1999-2000. ECN activity supports this pattern. Firm level evidence shows that 15 of 42 market makers studied engage in significant pre-recommendation activity. I estimate cumulative abnormal returns of more than 75% and profits of almost $600 million in a sample of 47 large capitalization stocks

Ultrasonic evaluation of the hydration degree of the orange peel

The elastic parameters of fruit and vegetables are normally monitored in quality control processes as there is a good correlation to the degrees of firmness, turgidity and humidity. These parameters have been traditionally measured by means of penetration tests, which are destructive. This has resulted in the increased attention recently given to ultrasonic techniques applied to the quality evaluation of horticultural commodities. Nevertheless, since most of the fruit and vegetables display a viscoelastic behavior, the penetration test should be considered to be quasi-static, especially when compared with the speeds associated with the ultrasonic tests. Both methods should provide different values for the elastic parameters. The aim of this work is to study this discrepancy in the values of the elastic parameters and interpret the elastodynamic behavior of the vegetable tissue under an ultrasound test. Thus, the paper presents an ultrasonic nondestructive method to evaluate the elastic parameters of the sweet orange peel at 40. kHz. The complete dehydration process of two sets of oranges (Navelina and Ortanique) was monitored for 2. months. A linear elastic solid model with viscous losses was numerically solved using a simulation scheme based on a 3D-Spherical FDTD method (Finite-Difference Time-Domain) in order to interpret the results, which proved that the elastic parameters obtained by penetration and ultrasonic tests differ. The method provides an empirical relation between the hydration state and the elastic parameters of the orange peel. Therefore, the proposed ultrasonic test reported in this work is capable of determining the hydration state of the orange simply by measuring the propagation speed of the Rayleigh waves on the orange peel, and hence, can be used as a fruit quality index during postharvest processes. © 2012 Elsevier B.V.This study was supported by the Programa de Apoyo a la Investigacion y Desarrollo (PAID-05-09-002-618), (PAID-06-10-002-295) of Universidad Politecnica de Valencia. The authors would like to thank K. Y. Foo, from the University of Birmingham and P. Malischewsky from the University Friedrich-Schiller at Jena, for the fruitful discussions regarding surface acoustic waves.Jimenez, N.; Picó Vila, R.; Camarena Femenia, F.; Redondo, J.; Roig, B. (2012). Ultrasonic evaluation of the hydration degree of the orange peel. Postharvest Biology and Technology. 67:130-137. https://doi.org/10.1016/j.postharvbio.2011.12.020S1301376

Fractal Dimension Analysis of Transient Visual Evoked Potentials: Optimisation and Applications

Purpose The visual evoked potential (VEP) provides a time series signal response to an external visual stimulus at the location of the visual cortex. The major VEP signal components, peak latency and amplitude, may be affected by disease processes. Additionally, the VEP contains fine detailed and non-periodic structure, of presently unclear relevance to normal function, which may be quantified using the fractal dimension. The purpose of this study is to provide a systematic investigation of the key parameters in the measurement of the fractal dimension of VEPs, to develop an optimal analysis protocol for application. Methods VEP time series were mathematically transformed using delay time, τ, and embedding dimension, m, parameters. The fractal dimension of the transformed data was obtained from a scaling analysis based on straight line fits to the numbers of pairs of points with separation less than r versus log(r) in the transformed space. Optimal τ, m, and scaling analysis were obtained by comparing the consistency of results using different sampling frequencies. The optimised method was then piloted on samples of normal and abnormal VEPs. Results Consistent fractal dimension estimates were obtained using τ = 4 ms, designating the fractal dimension = D2 of the time series based on embedding dimension m = 7 (for 3606 Hz and 5000 Hz), m = 6 (for 1803 Hz) and m = 5 (for 1000Hz), and estimating D2 for each embedding dimension as the steepest slope of the linear scaling region in the plot of log(C(r)) vs log(r) provided the scaling region occurred within the middle third of the plot. Piloting revealed that fractal dimensions were higher from the sampled abnormal than normal achromatic VEPs in adults (p = 0.02). Variances of fractal dimension were higher from the abnormal than normal chromatic VEPs in children (p = 0.01). Conclusions A useful analysis protocol to assess the fractal dimension of transformed VEPs has been developed

The Microstructure of a U.S. Treasury ECN: The Brokertec Platform

This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec - the ability to enter hidden ('iceberg') orders - and find that, as predicted by theory, such orders are more common when price volatility is higher