Robustness of equilibrium in the Kyle model of informed speculation

We analyze a static Kyle (1983) model in which a risk-neutral informed trader can use arbitrary (linear or non-linear) deterministic strategies, and a nite number of market makers can use arbitrary pricing rules. We establish a strong sense in which the linear Kyle equilibrium is robust: the rst variation in any agent's expected payo with respect to a small variation in his conjecture about the strategies of others vanishes at equilibrium. Thus, small errors in a market maker's beliefs about the informed speculator's trading strategy do not reduce his expected payo s. Therefore, the original equilibrium strategies remain optimal and still constitute an equilibrium (neglecting the higher-order terms.) We also establish that if a non-linear equilibrium exists, then it is not robust

Optimal control of predictive mean-field equations and applications to finance

We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive mean-field} backward SDE (BSDE) in the unknowns $Y(t), Z(t), K(t,\cdot)$. The driver of the BSDE at time $t$ may depend not just upon the unknown processes $Y(t), Z(t), K(t,\cdot)$, but also on the predicted future value $Y(t+\delta)$, defined by the conditional expectation $A(t):= E[Y(t+\delta) | \mathcal{F}_t]$. \\ We give a sufficient and a necessary maximum principle for the optimal control of such systems, and then we apply these results to the following two problems:\\ (i) Optimal portfolio in a financial market with an \emph{insider influenced asset price process.} \\ (ii) Optimal consumption rate from a cash flow modeled as a geometric It\^ o-L\' evy SDE, with respect to \emph{predictive recursive utility}

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $\Delta t$.Comment: 13 pages, 10 figure

Explaining co-movements between equity and CDS bid-ask spreads

In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads

The flash crash: high-frequency trading in an electronic market

© 2017 the American Finance Association We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday event—the Flash Crash—where a large automated selling program was rapidly executed in the E-mini S&P 500 stock index futures market. Using audit trail transaction-level data for the E-mini on May 6 and the previous three days, we find that the trading pattern of the most active nondesignated intraday intermediaries (classified as High-Frequency Traders) did not change when prices fell during the Flash Crash

Deuteron and antideuteron production in Au+Au collisions at sqrt(s_NN)=200 GeV

The production of deuterons and antideuterons in the transverse momentum range 1.1 < p_T < 4.3 GeV/c at mid-rapidity in Au + Au collisions at sqrt(s_NN)=200 GeV has been studied by the PHENIX experiment at RHIC. A coalescence analysis comparing the deuteron and antideuteron spectra with those of protons and antiprotons, has been performed. The coalescence probability is equal for both deuterons and antideuterons and increases as a function of p_T, which is consistent with an expanding collision zone. Comparing (anti)proton yields p_bar/p = 0.73 +/- 0.01, with (anti)deuteron yields: d_bar/d = 0.47 +/- 0.03, we estimate that n_bar/n = 0.64 +/- 0.04.Comment: 326 authors, 6 pages text, 5 figures, 1 Table. Submitted to PRL. Plain text data tables for the points plotted in figures for this and previous PHENIX publications are (or will be) publicly available at http://www.phenix.bnl.gov/papers.htm

Are Ethnic and Gender Specific Equations Needed to Derive Fat Free Mass from Bioelectrical Impedance in Children of South Asian, Black African-Caribbean and White European Origin? Results of the Assessment of Body Composition in Children Study

Background Bioelectrical impedance analysis (BIA) is a potentially valuable method for assessing lean mass and body fat levels in children from different ethnic groups. We examined the need for ethnic- and gender-specific equations for estimating fat free mass (FFM) from BIA in children from different ethnic groups and examined their effects on the assessment of ethnic differences in body fat. Methods Cross-sectional study of children aged 8–10 years in London Primary schools including 325 South Asians, 250 black African-Caribbeans and 289 white Europeans with measurements of height, weight and arm-leg impedance (Z; Bodystat 1500). Total body water was estimated from deuterium dilution and converted to FFM. Multilevel models were used to derive three types of equation {A: FFM = linear combination(height+weight+Z); B: FFM = linear combination(height2/Z); C: FFM = linear combination(height2/Z+weight)}. Results Ethnicity and gender were important predictors of FFM and improved model fit in all equations. The models of best fit were ethnicity and gender specific versions of equation A, followed by equation C; these provided accurate assessments of ethnic differences in FFM and FM. In contrast, the use of generic equations led to underestimation of both the negative South Asian-white European FFM difference and the positive black African-Caribbean-white European FFM difference (by 0.53 kg and by 0.73 kg respectively for equation A). The use of generic equations underestimated the positive South Asian-white European difference in fat mass (FM) and overestimated the positive black African-Caribbean-white European difference in FM (by 4.7% and 10.1% respectively for equation A). Consistent results were observed when the equations were applied to a large external data set. Conclusions Ethnic- and gender-specific equations for predicting FFM from BIA provide better estimates of ethnic differences in FFM and FM in children, while generic equations can misrepresent these ethnic differences

Single Electrons from Heavy Flavor Decays in p+p Collisions at sqrt(s) = 200 GeV

The invariant differential cross section for inclusive electron production in p+p collisions at sqrt(s) = 200 GeV has been measured by the PHENIX experiment at the Relativistic Heavy Ion Collider over the transverse momentum range $0.4 <= p_T <= 5.0 GeV/c at midrapidity (eta <= 0.35). The contribution to the inclusive electron spectrum from semileptonic decays of hadrons carrying heavy flavor, i.e. charm quarks or, at high p_T, bottom quarks, is determined via three independent methods. The resulting electron spectrum from heavy flavor decays is compared to recent leading and next-to-leading order perturbative QCD calculations. The total cross section of charm quark-antiquark pair production is determined as sigma_(c c^bar) = 0.92 +/- 0.15 (stat.) +- 0.54 (sys.) mb.Comment: 329 authors, 6 pages text, 3 figures. Submitted to Phys. Rev. Lett. Plain text data tables for the points plotted in figures for this and previous PHENIX publications are (or will be) publicly available at http://www.phenix.bnl.gov/papers.htm

Production of phi mesons at mid-rapidity in sqrt(s_NN) = 200 GeV Au+Au collisions at RHIC

We present the first results of meson production in the K^+K^- decay channel from Au+Au collisions at sqrt(s_NN) = 200 GeV as measured at mid-rapidity by the PHENIX detector at RHIC. Precision resonance centroid and width values are extracted as a function of collision centrality. No significant variation from the PDG accepted values is observed. The transverse mass spectra are fitted with a linear exponential function for which the derived inverse slope parameter is seen to be constant as a function of centrality. These data are also fitted by a hydrodynamic model with the result that the freeze-out temperature and the expansion velocity values are consistent with the values previously derived from fitting single hadron inclusive data. As a function of transverse momentum the collisions scaled peripheral.to.central yield ratio RCP for the is comparable to that of pions rather than that of protons. This result lends support to theoretical models which distinguish between baryons and mesons instead of particle mass for explaining the anomalous proton yield.Comment: 326 authors, 24 pages text, 23 figures, 6 tables, RevTeX 4. To be submitted to Physical Review C as a regular article. Plain text data tables for the points plotted in figures for this and previous PHENIX publications are (or will be) publicly available at http://www.phenix.bnl.gov/papers.htm

The state of the Martian climate

60°N was +2.0°C, relative to the 1981–2010 average value (Fig. 5.1). This marks a new high for the record. The average annual surface air temperature (SAT) anomaly for 2016 for land stations north of starting in 1900, and is a significant increase over the previous highest value of +1.2°C, which was observed in 2007, 2011, and 2015. Average global annual temperatures also showed record values in 2015 and 2016. Currently, the Arctic is warming at more than twice the rate of lower latitudes