Algorithmic trading in a microstructural limit order book model

We propose a microstructural modeling framework for studying optimal market-making policies in a FIFO (first in first out) limit order book (order book). In this context, the limit orders, market orders, and cancel orders arrivals in the order book are modeled as point processes with intensities that only depend on the state of the order book. These are high-dimensional models which are realistic from a micro-structure point of view and have been recently developed in the literature. In this context, we consider a market maker who stands ready to buy and sell stock on a regular and continuous basis at a publicly quoted price, and identifies the strategies that maximize their P&L penalized by their inventory. An extension of the methodology is proposed to solve market-making problems where the orders arrivals are modeled using Hawkes processes with exponential kernel.

We apply the theory of Markov Decision Processes and dynamic programming method to characterize analytically the solutions to our optimal market-making problem. The second part of the paper deals with the numerical aspect of the high-dimensional trading problem. We use a control randomization method combined with quantization method to compute the optimal strategies. Several computational tests are performed on simulated data to illustrate the efficiency of the computed optimal strategy. In particular, we simulated an order book with constant/ symmetric/ asymmetrical/ state dependent intensities, and compared the computed optimal strategy with naive strategies. Some codes are available on https://github.com/comeh.     

Harsh voices,sound branding: How voiced consonants in a brand's name can alter its perceived attributes

This paper examines the sound-symbolic link between voiced obstruents (speech sounds created by obstructing the airflow) present in a brand name and the perceived product/brand attributes. In three studies (two using self-reported measures and one using an implicit reaction time paradigm), we tested the effect of voiced (b, d, g, z, v) versus voiceless obstruents (p, t, k, s, f) across 25 hypothetical brand names, on the perceived product attributes of harshness (vs. softness). Brand names with voiced (vs. voiceless) obstruents are perceived as harsh (vs. soft/mild). Results are described across two different product categories (e.g., toilet cleaner and skin conditioner), and also within the same product category (e.g., strong vs. light beer and strong vs. mild toilet cleaner). Since sound symbolism is culturally agnostic, brands expanding into international and linguistically different markets can use these insights to create brand names that will have international appeal, and can match the product and/or brand attributes that brands wish to convey to consumers.     

Breaking With Neoliberalization by Restricting The Housing Market: Novel Urban Policies and the Case of Hamburg

Hamburg currently exemplifies the departure from a straightforward neoliberal urban track. The city's neoliberal path only moved into full swing in the first decade of the 2000s. During this period, urban development was primarily subject to property market mechanisms—with projects being granted to the highest bidder—prompting effects such as rapidly rising rents, deepened social segregation and increased property‐led displacement. Since 2009, however, the city's entrepreneurial urban policy encountered comprehensive resistance movements that eventually led to the rediscovery of a political will for a new housing policy and interventionist policy instruments. This article focuses on the turning point of neoliberal policies and examines the wider scope of the contemporary urban agenda in Hamburg. We first conceptualize potential limits of the neoliberal city in general and then discuss three momentous local policy experiments—the International Building Exhibition, promising ‘improvement without displacement'; the rediscovery of housing regulations through the ‘Social Preservation Statute'; and the ‘Alliance for Housing', aiming to tackle the housing shortage. We discuss these approaches as funding, regulation, and actor‐based approaches to limiting the neoliberal city.     

Immigration Wage Effects by Origin

We estimate the direct partial wage effects of immigrant‐induced increases in labor supply, using the national skill cell approach with longitudinal records drawn from Norwegian administrative registers. The results show overall negative but heterogeneous wage effects, with larger effects on immigrant wages than on native wages and with native wages more responsive to inflows from Nordic countries than from developing countries. These patterns are consistent with natives and Nordic citizens being close substitutes, while natives and immigrants from developing countries are imperfect substitutes. Estimates are sensitive to accounting for effective immigrant experience, selective native participation, and variation in demand conditions and native labor supply.     

Effects of Construal Level on Omission Detection and Multiattribute Evaluation

Research has demonstrated that consumers are commonly insensitive to missing information and that this insensitivity can lead them to form strong beliefs and evaluations on the basis of weak evidence. A growing body of research has shown that sensitivity to omissions can be heightened and that this increased sensitivity results in more appropriate evaluations. Expanding on this, the current research finds that the level of abstraction by which a situation is construed can influence the likelihood of omission detection and the resulting evaluative judgments. A series of studies reveal that people are more likely to spontaneously detect omissions in near vs. distant judgments, in concrete vs. abstract mindsets, and when they are inherently more likely to interpret actions in concrete vs. abstract terms. Further, although prior findings suggest that people may have differential sensitivity to primary and secondary missing features at different levels of construal, the current research finds no such difference. The results of this study indicate that people are more sensitive to all types of missing information when construal levels are low, and that this sensitivity leads to more moderate and appropriate judgments.     

Mediatized Humanitarianism: Trust and Legitimacy in the Age of Suspicion

The article investigates the implications of mediatization for the legitimation strategies of humanitarian organizations. Based on a (full population) corpus of ~400 pages of brochure material from 1970 to 2007, the micro-textual processes involved in humanitarian organizations’ efforts to legitimate themselves and their moral claim were examined. A time trend analysis of the prioritization of actors in the material indicates that marked shifts in legitimation loci have taken place during the past 40 years. A discourse analysis unfolds the three dominant discourses behind these shifts, namely legitimation by accountancy, legitimation by institutionalization, and legitimation by compensation. The analysis relates these changes to a problem of trust associated with mediatization through processes of mediation.     

Do delays in expected loss recognition affect banks' willingness to lend?

Banks can decrease their future capital inadequacy concerns by reducing lending. The capital crunch theory predicts that lending is particularly sensitive to regulatory capital constraints during recessions, when regulatory capital declines and external-financing frictions increase. Regulators and policy makers argue that the current loan loss provisioning rules magnify this pro-cyclicality. Exploiting variation in the delay in expected loss recognition under the current incurred loss model, we find that reductions in lending during recessionary relative to expansionary periods are lower for banks that delay less. We also find that smaller delays reduce the recessionary capital crunch effect. These results hold across management quality partitions.     

NHS CAPITAL INVESTMENT AND PFI: FROM CENTRAL RESPONSIBILITY TO LOCAL AFFORDABILITY

At its inception, the NHS was structured as a public corporation, which owned its hospitals. Sixty years on, hospitals are business units or Trusts, which are responsible for capital investment in a local region. The Private Finance Initiative (PFI) has become the predominant mode of financing new hospitals. This paper's purpose is to review the impact of PFI. A literature review traces the various stages of the NHS' hospital investment programme and the research method is a case study. The findings show that PFI is leading to additional costs and complexity that make the achievement of the NHS's objectives difficult.     

Do individual disclosure rules for parliamentarians improve government effectiveness?

The pros and cons of stricter disclosure rules for parliamentarians are hotly debated. Some argue that disclosure rules for parliamentarians increase transparency of the legislative branch, leading to lower levels of rent-seeking and corruption, increased citizen trust in parliament, and better quality of law-making. Others argue that disclosure rules endanger the privacy of parliamentarians, that their introduction would stop businesspeople and lawyers from running for seats, which would decrease the quality of law-making. This is the first attempt to empirically test these conjectures on the composition of parliament empirically. We find that the introduction of disclosure rules is usually not accompanied by a significant shift in the proportion of lawyers and businesspeople in parliament.