Investment banks, scope, and unavoidable conflicts of interest

In recent years investment banks have drawn particular criticism for the lack of objectivity and independence in their research reports and analyst recommendations. This article argues that this conflict of interest is but one of many potential conflicts that arise as banks take advantage of the scope economies inherent in providing the customary business lines of investment banking under one roof. ; The author considers academic evidence on investment bank analysts’ jobs, which entail both an acknowledged sales function and an unacknowledged information brokerage function. In these two roles, analysts are often serving two or more parties whose interests are not aligned. Though some research shows that analyst buy-sell recommendations are biased, the market appears to understand and correct for this bias, the author finds. Evidence on research quality also indicates that analysts at large banks make less biased and more precise earnings forecasts than do analysts at independent research firms. ; The author also examines conflicts of interest between banks’ research and corporate finance functions and between internal proprietary trading and the customer-driven sales-and-trading function. These conflicts center around how and when research and proprietary trading information are disseminated to investors. Even more subtle conflicts may arise between investment banks and their customers when either party tries to further its own ends at the expense of a third party. ; Ultimately, the author believes there is little evidence that the mandated regulatory changes that physically and economically separate banking from research or that require banks to make independent research available to retail clients will improve investor welfare.Investment banking

Materiale per il corso

I files con le "slides - Laboratorio di Analisi Statistica" sono aggiornati di volta in volta al termine delle lezioni. Scaricate i file aggiornati, per vedere le slide delle ultime lezioni

Materiale per il corso

I file con le slides sono rimossi e aggiornati di volta in volta al termine delle lezioni. Scaricate i file aggiornati, per vedere le slide delle ultime lezioni

Ignition-and-Growth Modeling of NASA Standard Detonator and a Linear Shaped Charge

The main objective of this study is to quantitatively investigate the ignition and shock sensitivity of NASA Standard Detonator (NSD) and the shock wave propagation of a linear shaped charge (LSC) after being shocked by NSD flyer plate. This combined explosive train was modeled as a coupled Arbitrary Lagrangian-Eulerian (ALE) model with LS-DYNA hydro code. An ignition-and-growth (I&G) reactive model based on unreacted and reacted Jones-Wilkins-Lee (JWL) equations of state was used to simulate the shock initiation. Various NSD-to-LSC stand-off distances were analyzed to calculate the shock initiation (or failure to initiate) and detonation wave propagation along the shaped charge. Simulation results were verified by experimental data which included VISAR tests for NSD flyer plate velocity measurement and an aluminum target severance test for LSC performance verification. Parameters used for the analysis were obtained from various published data or by using CHEETAH thermo-chemical code

Orion Parachute Riser Cutter Development

This paper presents the tests and analytical approach used on the development of a steel riser cutter for the CEV Parachute Assembly System (CPAS) used on the Orion crew module. Figure 1 shows the riser cutter and the steel riser bundle which consists of six individual cables. Due to the highly compressed schedule, initial unavailability of the riser material and the Orion Forward Bay mechanical constraints, JSC primarily relied on a combination of internal ballistics analysis and LS-DYNA simulation for this project. Various one dimensional internal ballistics codes that use standard equation of state and conservation of energy have commonly used in the development of CAD devices for initial first order estimates and as an enhancement to the test program. While these codes are very accurate for propellant performance prediction, they usually lack a fully defined kinematic model for dynamic predictions. A simple piston device can easily and accurately be modeled using an equation of motion. However, the accuracy of analytical models is greatly reduced on more complicated devices with complex external loads, nonlinear trajectories or unique unlocking features. A 3D finite element model of CAD device with all critical features included can vastly improve the analytical ballistic predictions when it is used as a supplement to the ballistic code. During this project, LS-DYNA structural 3D model was used to predict the riser resisting load that was needed for the ballistic code. A Lagrangian model with eroding elements shown in Figure 2 was used for the blade, steel riser and the anvil. The riser material failure strain was fine tuned by matching the dent depth on the anvil with the actual test data. LS-DYNA model was also utilized to optimize the blade tip design for the most efficient cut. In parallel, the propellant type and the amount were determined by using CADPROG internal ballistics code. Initial test results showed a good match with LS-DYNA and CADPROG simulations. Final paper will present a detailed roadmap from initial ballistic modeling and LS-DYNA simulation to the performance testing. Blade shape optimization study will also be presented

Order Submission Strategy and the Curious Case of Marketable Limit Orders

We provide empirical evidence on order submission strategy of investors with similar com-mitments to trade by comparing the execution costs of market orders and marketable limit orders (i.e., limit orders with the same trading priority as market orders). The results in-dicate the unconditional trading costs of marketable limit orders are significantly greater than market orders. We attribute the difference in costs to a selection bias and provide evidence suggesting the order submission strategy decision is based on prevailing market conditions and stock characteristics. After correcting for the selection bias, the results show the average trader chooses the order type with lower conditional trading costs. I

CP violation and mass hierarchy at medium baselines in the large theta(13) era

The large value of theta(13) recently measured by rector and accelerator experiments opens unprecedented opportunities for precision oscillation physics. In this paper, we reconsider the physics reach of medium baseline superbeams. For theta(13) ~ 9 degree we show that facilities at medium baselines -- i.e. L ~ O(1000 km) -- remain optimal for the study of CP violation in the leptonic sector, although their ultimate precision strongly depends on experimental systematics. This is demonstrated in particular for facilities of practical interest in Europe: a CERN to Gran Sasso and CERN to Phyasalmi nu_mu beam based on the present SPS and on new high power 50 GeV proton driver. Due to the large value of theta(13), spectral information can be employed at medium baselines to resolve the sign ambiguity and determine the neutrino mass hierarchy. However, longer baselines, where matter effects dominate the nu_mu->nu_e transition, can achieve much stronger sensitivity to sign(Delta m^2) even at moderate exposures.Comment: 14 pages, 14 figures, version to appear in EPJ