Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading

The issues of price clustering and electronic trading have triggered important recent debates, and generated interest from regulators due to their potential implications for market quality, stability, and fairness. This paper brings together these issues by examining whether price‐clustering behavior differs following a transfer of futures contracts from open outcry trading to an electronic system. The results are unique in demonstrating a structural change in price clustering following the move to automated trading, with the level of price clustering dropping from around 98.5% of prices at even ticks under floor trading to approximately 75% under electronic trading. Such a change in pricing behavior amounts to a reduction in the effective tick size, and is an important factor in reducing observed bid‐ask spreads. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:647–659, 2003     

Theory and Estimation of the Mortgage Payment Protection Insurance Decision

This paper examines the decision to take out mortgage payment protection insurance (MPPI) in the UK. The paper explains how MPPI has increased in importance over the last decade due to the government stating that Income Support for Mortgage Interest (ISMI) has crowded–out MPPI. A theoretical model of the mortgage protection insurance decision is developed which takes account of the welfare system. The model is estimated using logit analysis on 1995 Glasgow and Bristol data. Elasticities of the probability of take–up with respect to a variety of arguments are calculated, including the level of ISMI. The estimated elasticity with respect to ISMI is found to be very low, which suggests that the crowding–out motivation for the restructuring of Income Support for Mortgage Interest in October 1995 had little support in the data available at the time of the policy decision, and explains the continued low take–up rates since the 1995 restructuring.     

On the ‘Steady State’ Properties of Financial Ratios

This paper uses the methods of continuous time stochastic calculus to investigate the ‘steady state’ properties of financial ratios. Basing our analysis on previous work in the area, we show that, if a financial ratio can be characterised as a diffusion process which possesses an asymptotic equilibrium, then the Fokker-Kolmogorov-Planck forward equation may be used to ‘retrieve’ its probability density. The approach is ‘flexible’ enough to incorporate a wide variety of density functions, many of which have not been investigated in the literature. We demonstrate the procedures which may be used to derive both the cross-sectional and time series tests implied by these distributions. The paper also includes a section dealing with the methods which may be used for parameter estimation, once the underlying distribution has been determined.     

Purpose, development and use of injury indicators

Injury indicators can be used to give policy makers an estimate of the scale of injuries and their long-term effects. They can help compare injury levels in different areas and countries and can be used to help measure the effectiveness of interventions. Work on severity related indicators is promising. However there are no perfect indicators to date as many are hampered with difficulties in case definition and under reporting. For example, mortality rates are affected by improvements in care even if the incidence of an injury remains the same, the abbreviated injury scale (AIS) takes 10-20 minutes to code and so is not used in health service databases, surveys have problems with recall bias, definition of injury and response rates. If we accept that we need to make the best out of imperfect indicators and imperfect data then we should use multiple sources of data and accept that no one indicator can be used universally but needs to be selected for the purpose. For example, one possible new indicator of the incidence of non-fatal injury might be fracture data in the emergency department. Fractures are painful and so nearly always end up with a hospital attendance. This might give a means to compare incidence of non-fatal injury in different areas and countries. In conclusion, we need injury indicators to progress in injury prevention. Imperfect indicators can be used for targeting and evaluating interventions as long as we know and adjust for their limitations.     

Modelling the Impact of Community Engagement on Local Democracy

English local authorities are expected to promote 'effective community engagement'. The ways in which they can do this are various, ranging from the provision of information to direct involvement in decision-making. This paper focuses on the impact of adopting different types of community engagement strategy on local democracy. Two principal types of community engagement strategy are identified: consumerist and participatory, and their potential for encouraging effective engagement is discussed, before their implications for local democracy are modelled. The paper argues that the relative priority accorded to different types of community engagement are likely to cause local democracy to evolve towards consumer, stakeholder, radical or citizen-centred democracy.     

The role of private information in return volatility,bid–ask spreads and price levels in the foreign exchange market

Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these two variables into proxies for private information and examine their relationships with bid–ask spreads and return volatility. We use a unique and unusually rich high-frequency intraday dataset from the world's largest financial market, namely, the electronic inter-dealer spot foreign exchange market. Our analysis takes account of institutional features peculiar to this order-driven market. Our empirical results strongly affirm our theoretical understanding of how these markets work. They also reveal how the structure of the inter-dealer spot FX market affects exchange rate volatility. Finally, we also explore how private information contributes to the evolution of prices.     

Submarket Dynamics of Time to Sale

We argue that the rush to apply multiple regression estimation to time on the market (TOM) durations may have led to important details and idiosyncrasies in local housing market dynamics being overlooked. What is needed is a more careful examination of the fundamental properties of time to sale data. The approach promoted and presented here, therefore, is to provide an examination of housing sale dynamics using a step-by-step approach. We present three hypotheses about TOM: (i) there is nonmonotonic duration dependence in the hazard of sale, (ii) the hazard curve will vary both over time and across intra-urban areas providing evidence of the existence of submarkets and (iii) institutional idiosyncrasies can have a profound effect on the shape and position of the hazard curve. We apply life tables, kernel-smoothed hazard functions and likelihood ratio tests for homogeneity to a large Scottish data set to investigate these hypotheses. Our findings have important implications for TOM analysis.     

The european motor industry

The removal of tariff barriers within the European Economic Community has presented manufacturing industry with the opportunity to plan for and to supply a greatly Increased home market. This paper Is directed at showing how the motor Industry, and especially certain firms within it, are In the vanguard of European integration.