Size and information revelation in securities trading

We examine differences in information content between order submission sizes and trade sizes by U.S. equity traders. Increasing (decreasing) order submission (trade) size is reflective of information. The result suggests that better-informed traders want to trade in a large size, but that they engage in stealth trading practices or break larger orders into smaller sizes in order to conceal information. While prior studies tend to narrowly focus on trade executions at the market-centre level, our findings indicate that order submission size varies significantly from trade size and that both sizes are informative about future prices, albeit in an inverse manner.     

Interpoint Distance Test of Homogeneity for Multivariate Mixture Models

Finite mixtures offer a rich class of distributions for modelling of a variety of random phenomena in numerous fields of study. Using the sample interpoint distances (IPDs), we propose the IPD‐test statistic for testing the hypothesis of homogeneity of mixture of multivariate power series distribution or multivariate normal distribution. We derive the distribution of the IPDs that are drawn from a finite mixture of the multivariate power series distribution and multivariate normal distribution. Based on the empirical distribution of the IPDs, we construct a bootstrap test of homogeneity for other multivariate finite mixture models. The IPD test is applied to mixture models for matrix‐valued distributions and a test of homogeneity for Wishart mixture is presented. Numerical comparisons show that IPD test has accurate type I errors and is more powerful in most multivariate cases than the expectation–maximization (EM) test and modified likelihood ratio test.     

城镇化背景下治安治理社会化的探索与创新——以钱江世纪城派出所“物业联席会”创建为例

治安治理社会化的核心是社会力量的参与。从宋代的民治传统到建国以来的政策与实践探索,从警务社会化、治安管理社会化到治安社会化、社会治安社会化治理等概念的相继提出,构成了治安治理社会化的演进脉络。治安治理社会化的本质是治安秩序维护的多元化,强调多元化共治、过程性理念与互动性思维的有机统一。杭州市公安局萧山区分局以“物业联席会”机制创建为载体,整合社会资源,激发社会组织活力,为治安治理社会化提供了更多可能的路径。借鉴“物业联席会”的创建经验,城镇化背景下的治安治理社会化应坚持党委组织领导,协同推进组织载体创新、联动机制创新与智慧化手段运用相融合。     

寡头博弈模型中的时间记忆性质与预期对模型稳定性的影响

公平竞争是市场经济的灵魂,是发挥市场力量的关键.研究寡头垄断企业的竞争行为和竞争环境对中国强化反垄断,构建更加安全公平、有效竞争的经济市场意义重大.梳理寡头垄断企业中的价格竞争和产量竞争中的模型稳定性研究情况,通过模型的边界均衡点和局部均衡点来分析模型的稳定性,对寡头博弈模型中时间的记忆性与预期对模型稳定性的影响进行分析.     

A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage

We develop a new framework to characterize the dynamics of triangular (three-point) arbitrage in electronic foreign exchange markets. To examine the properties of arbitrage, we propose a wavelet-based regression approach that is robust to estimation errors, measurement bias and persistence. Relying on this wavelet-based (denoising) inference, we consider various liquidity and market risk indicators to predict arbitrage in a unique ultra-high-frequency exchange rate data set. We find strong empirical evidence that limit order book, realized volatility and cross-correlations help forecast triangular arbitrage profits. The estimates are statistically significant and relevant for investors such that on average 80−100 arbitrage opportunities exist with a short duration (100−500 ms) on a daily basis. Our analysis also reveals that triangular arbitrage opportunities are counter-cyclical at ultra-high-frequency levels: arbitrage returns tend to increase (decrease) in periods when volatility risk and correlations are relatively low (high). We show that liquidity-driven microstructure measures, however, appear to be more powerful in exploiting arbitrage profits when compared to market-driven factors.     

非常规战争与战争形态的演变

进入21世纪以来,非常规战争成为国际社会关注的焦点。在理论谱系上,学术界已经对非常规战争的内在本质、基本特征和行为模式进行了深入研究,提出了一些富有创见的理论。在这些研究的基础上,作者认为非常规战争所呈现出的形态及其战略战术与以往相比有了重要变化,凸显了克劳塞维茨式战争逻辑之外的一面,即战争中的弱者通过非常规方式增强自我力量、通过非常规方式向国家行为体施加成本来战胜强者的隐性逻辑。基于这种隐性逻辑,从非国家行为体的视角重新审视战争,可以发现非常规战争中的作战方式已经使得战争形态发生了四点巨大变化:战争的形态越来越不清晰、战争的胜负之分变得模糊、战争正变得越来越扁平化以及战争伦理受到侵蚀。当前的大国竞争并不会削弱非常规战争的地位,在某种程度上甚至会凸显其独特战略意义。因此,探究非常规战争的隐性逻辑,既有助于我们理解战争形态的变化,也有利于国家行为体据此调整相关战略战术。     

推动国有企业廉洁文化建设,以文化自信坚定理想信念

习近平总书记在党的十九大报告中指出:“没有高度的文化自信,没有文化繁荣兴盛,就没有中华民族伟大复兴。”廉洁文化建设是反腐倡廉工作的重要内容,是一项长期的、艰巨的、复杂的系统工程。论文结合福建省三钢(集团)有限责任公司在开展廉洁文化建设工作中的工作实践,对廉洁文化在企业发展中的重要意义、存在的问题及有效运用进行了分析与探讨,对推进廉洁文化进国企具有较为积极的指导意义。     

The dynamics of ex-ante weighted spread: an empirical analysis

We model the evolution of the ex-ante weighted spread (EWS) embedded in an open Limit Order Book (LOB) and investigate the impact of observed market-related variables on the spread. Our modeling involves decomposing the joint distribution of the weighted spread into simple and interpretable distributions. Our main results have several implications: (i) EWS features high persistence in autocorrelation; (ii) lower-level LOB remains liquid even after a high trade imbalance; (iii) lower- and higher-level LOB react to temporal spread change and trade imbalance in different ways; and (iv) both trade durations and quote durations have seasonality effects. We also show, through a simple high frequency trading exercise, that the use of the model can be economically important. Further, our model provides an estimation of market resilience.     

Marx 200: The Abiding Relevance of the Labour Theory of Value

ABSTRACT

Marxist political economy is alive and well, and not just because of the habitual turn to Marx in response to any crisis of capitalism. Both through Capital and through the continuing evolution of Marxism, Marxist political economy offers valuable insights that can illuminate the modalities of social and economic reproduction and the relationships between (different aspects of) the economic and the non-economic. Marxism’s presence has been felt through its own internal debates and debates with other approaches to political economy, and even through its influence on those reacting against Marxism. The key to the continuing relevance and analytical strengths of Marxist political economy lies in its capacity to provide a framework of analysis for unifying disparate insights into and critiques of the contradictions of capitalism across the social sciences. The instrument for forging that unity is Marx’s theory of value, the potential of which is examined and illustrated with reference to the Sraffian critique and two key concepts in Marxian political economy: the value of labour power and financialisation. They are explored in the light of the processes of commodification, commodity form and commodity calculation.     

A train of thought in product experientiality: Working memory,distraction, and inconsistencies in cue order effects

The sequence of informational cues and the level of distraction have an impact on the judgment of a product’s quality and preference. Two quasi-experimental studies (N_total = 340) investigate the influence of the force behind the processing of these cues – working memory (WM). Previous research found that, in the presence of a distractor, high WM individuals are more able to recall the initial cue, and thus derive their product judgment from the initial strong cue. Study 1 contradicts these findings and raises important methodological questions regarding the conceptualization of strong and weak cues. Specifically, commonly accepted strong cues (e.g., product reputation) might not influence consumers as expected. Additionally, in a sequence of product evaluation with high vs. low degree of experientiality, study 2 reveals that consumers tend to show a primacy effect that is stronger for higher levels of WM capacity. Moreover, in a sequence of assessing low vs. high degree of experientiality products, consumers reveal stronger recency effects, thus showing that WM reinforces this recency effect. Our findings have important implications for marketers by suggesting that consumers with high WMC are more able to process complex stimuli and retrieve previously presented information on a product quality. These consumers also have a higher tendency to retrieve more information from product scenarios with a high degree of experientiality.