Applying hedging strategies to estimate model risk and provision calculation

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence for the following. (1) Brokers are very heterogeneous in liquidity provision—some appear to be primarily liquidity providers while others are primarily liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of other brokers. In contrast, brokers are only weakly influenced by the impact of their own previous orders. (3) The total impact of market orders is the result of a subtle compensation between the same broker pushing the price in one direction and the liquidity provision of other brokers pushing it in the opposite direction. These results enforce the picture of market dynamics being the result of the competition between heterogeneous participants, interacting to form a complex market ecology.     

Bibliometry and nanotechnology: A meta-analysis

As in other fields of science, bibliometry has become the primary method of gaging progress in nanotechnology. In the United States in the late 1990s, a period when policy makers were preparing the groundwork for what would become the National Nanotechnology Initiative (NNI), bibliometry largely replaced expert interviews, then the standard method of assessing nanotechnology. However, such analyses of this sector have tended not to account for productivity. We hope to correct this oversight by integrating economic input and output measurements calculating academic publications divided by the number of researchers, and accounting for government investment in nanotechnology. When nanotechnology journal publication is measured in these ways, the U.S. is not the leader, as has been widely assumed. Rather, it lags behind Germany, the United Kingdom, and France.     

Population-dynamics focussed rapid rural mapping and characterisation of the peri-urban interface of Kampala, Uganda

In developing countries, cities are rapidly expanding and urban and peri-urban agriculture (UPA) has an important role in feeding these growing urban populations; however such agriculture also carries public health risks such as zoonotic disease transmission. It is important to assess the role of UPA in food security and public health risks to make evidence-based decisions on policies. Describing and mapping the peri-urban interface (PUI) are the essential first steps for such an assessment. Kampala, the capital city of Uganda is a rapidly expanding city where the PUI has not previously been mapped or properly described. In this paper we provide a spatial representation of the entire PUI of Kampala economic zone and determine the socio-economic factors related with peri-urbanicity using a population-dynamics focussed rapid rural mapping. This fills a technical gap of rapid rural mapping and offers a simple and rapid methodology for describing the PUI which can be applied in any city in developing countries for wide range of studies.     

Gylany: the balanced future

Futurist projections indicate that androcracy is rapidly taking us to an evolutionary dead-end. But the two projected androcratic futures—a totalitarian future or no future at all—are not our only alternatives. There is the third alternative, the humanistic future to which the concept of gylany, both the balanced core and the logical requirement of our cultural evolution, provides the key.     

The price impact of order book events: market orders,limit orders and cancellations

While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different events, and their respective impact on future price changes. We define and extract from the data the ‘bare’ impact these events would have if they were to happen in isolation. For large tick stocks, we show that a model where the bare impact of all events is permanent and non-fluctuating is in good agreement with the data. For small tick stocks, however, bare impacts must contain a history-dependent part, reflecting the internal fluctuations of the order book. We show that this effect can be accurately described by an autoregressive model of the past order flow. This framework allows us to decompose the impact of an event into three parts: an instantaneous jump component, the modification of the future rates of the different events, and the modification of the jump sizes of future events. We compare in detail the present formalism with the temporary impact model that was proposed earlier to describe the impact of market orders when other types of events are not observed. Finally, we extend the model to describe the dynamics of the bid–ask spread.