75,234 research outputs found
A Tour Into Dark Pools
No full textDark pools are alternative trading venues that obscure much information about trades. Initially used by institutional investors to execute large orders discreetly, various types of dark pools exist today for different purposes beyond reducing price impact. This paper provides a historical overview of dark pools, inquiring about the reasons for their existence as well as their impact on financial markets. We also discuss the ethical and moral implications, including fairness and transparency
Optimal convergence trading with unobservable pricing errors
No full textWe study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced ones with the expectation that their prices converge in the future. We build on the model of Liu and Timmermann (Rev Financ Stud 26(4):1048-1086, 2013) and extend it by incorporating unobservable Markov-modulated pricing errors into the price dynamics of two co-integrated assets. We characterize the optimal portfolio strategies in full and partial information settings under the assumption of unrestricted and beta-neutral strategies. By using the innovations approach, we provide the filtering equation which is essential for solving the optimization problem under partial information. Finally, in order to illustrate the model capabilities, we provide an example with a two-state Markov chain
PAIRS TRADING under DRIFT UNCERTAINTY and RISK PENALIZATION
No full textIn this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics. The relationship between pairs, called a spread, is modeled by a Gaussian mean-reverting process whose drift rate is modulated by an unobservable continuous-time, finite-state Markov chain. Using the classical stochastic filtering theory, we reduce this problem with partial information to an equivalent one with full information and solve it for the logarithmic utility function, where the terminal wealth is penalized by the riskiness of the portfolio according to the realized volatility of the wealth process. We characterize optimal dollar-neutral strategies as well as optimal value functions under full and partial information and show that the certainty equivalence principle holds for the optimal portfolio strategy. Finally, we provide a numerical analysis for a toy example with a two-state Markov chain
Alternative, high-yield synthesis of (E)-4-oxonon-2-enoic acid from 2-methoxyfuran
No full textAlkylation of 2-methoxyfuran, followed by in situ TPP-sensitized photooxygenation of 2-methoxy-5-pentylfuran in the presence of Me2S, gave methyl (Z)-4-oxonon-2-enoate. Hydrolysis of methyl (Z)-4-oxonon-2-enoate afforded (E)-4-oxonon-2-enoic acid in three steps and in 79% overall yield
P–T path, zircon U–Pb ages and tectonic implications of Devonian pelitic granulites in the southern Chinese Altay orogen
No full textThe Chinese Altay orogen is an important part of the giant Central Asian Orogenic Belt. However, its tectono–metamorphic evolution is still a matter of debate. Here, we report Devonian pelitic granulites at the Wuqiagou area in the southern Chinese Altay orogen. They are characterized by an assemblage of garnet + orthopyroxene + cordierite ± spinel + biotite + plagioclase ± K–feldspar + quartz + Fe–Ti oxides. Based on petrographic features and P–T estimates, together with phase equilibrium modeling in the NCKFMASHTO system, three metamorphic stages can be distinguished as follows: (1) pre–peak prograde (M1) stage, with small biotite–plagioclase– or spinel–bearing assemblages preserved as inclusions in garnets and P–T conditions of <4.0 kbar and 700–770 °C; (2) peak metamorphic (M2) stage, with an garnet–orthopyroxene–cordierite–bearing assemblage and P–T conditions of 4.2–5.2 kbar and 780–830 °C; and (3) post–peak retrograde (M3) stage, with the biotite–plagioclase–bearing intergrowth ..
Low–pressure granulite–facies metamorphism in the Southern Chinese Altay orogenic belt, NW China: P–T estimates, U–Pb ages and tectonic implications
No full textThe Chinese Altay orogenic belt formed in the Paleozoic is an important part of the Central Asian Orogenic Belt (CAOB), accompanying with remarkable metamorphism. Its tectono–metamorphic evolution history is still a controversial topic. In this contribution, we investigate the petrography, metamorphic peak P–T conditions and zircon geochronology of the newly discovered garnet–absent metapelitic and felsic gneisses at Wuqiagou area in the southern Chinese Altay. They are characterized by an assemblage of orthopyroxene + biotite + plagioclase + quartz + Fe–Ti oxides ± cordierite ± K–feldspar, in which most K–feldspar grains have transformed into perthites with thin albite lamellae. The Wuqiagou garnet–absent gneisses experienced pervasive partial melting, as testified by microstructures such as mineral pseudomorphs after melt films or pockets. Phase diagram modelling constrains the peak P–T conditions to 3.5–5.5 kbar and 800–900 °C, with possible geothermal gradients of 45–75 °C/km, indicative of a prominent low–pressure granulite–facies metamorphic event in the southern Chinese Altay. SIMS zircon U–Pb dating results show a weighted mean age of 255.8 ± 1.8 Ma. This age is interpreted to represent the timing of this low–pressure granulite facies metamorphism, which is highly coeval with the timing of their hosted mafic granulite lenses (∼255 Ma) and nearby mantle–derived mafic intrusions (∼257 Ma). Based on available petrological, geochemical and chronological data, we propose that the Permian low–pressure granulite–facies metamorphic event in the southern Chinese Altay was likely associated with the intrusions of deep–derived mafic magma at a relatively shallow crustal level (12–18 km) in a post–orogenic extensional setting, with a possible link with the Tarim mantle plume activity
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information
No full textWe study a portfolio optimization problem for an investor whose actions have an indirect impact on prices. We consider a market model with a risky asset price process following a pure-jump dynamics with an intensity modulated by an unobservable continuous-time finite-state Markov regime-switching process. We assume that decisions of the investor affect the generator of the regime-switching process which results in an indirect impact on the price process. Using filtering theory, we reduce this problem with partial information to one with full information and solve it for logarithmic and power utility preferences. In particular, we apply control theory for piecewise deterministic Markov processes to derive the optimality equation. Finally, we provide an example with a two-state Markov regime-switching process and discuss how an investor's ability to control the intensity of it affects optimal portfolio strategies as well as the optimal wealth under full and partial information
The Benefits of Being Economics Professor A (and not Z)
No full textAlphabetic name ordering on multi-authored academic papers, which is the convention in the economics discipline and various other disciplines, is to the advantage of people whose last name initials are placed early in the alphabet. As it turns out, Professor A, who has been a first author more often than Professor Z, will have published more articles and experienced afaster growth rate over the course of her career as a result of reputation and visibility. Moreover, authors know that name ordering matters and indeed take ordering seriously: Several characteristics of an author group composition determine the decision to deviate from the default alphabetic name order to a significant extent.performance measurement, incentives, economists, name ordering
Final word on Jersey Dutch
No full textIn this article, William Z. Shetter compares and contrasts the dialects that developed between different Dutch colonies in the New World. He explores in-depth the nuances of Jersey Dutch, and provides theories to explain how Dutch and colonial languages blended. The article is reprinted from American Speech, December 1958, Volum XXXIII, No. 4
The late Quaternary slip-rate of the Har-Us-Nuur fault (Mongolian Altai) from cosmogenic Be-10 and luminescence dating
No full textThe Altai range (western Mongolia) accommodates NNE–SSW shortening across the northern India–Eurasia collision zone by dextral slip on faults trending NNW–SSE, and anticlockwise, vertical-axis rotations of fault-bounded blocks. However, fault slip-rates and the way in which faulting evolves over time are poorly understood, and form the motivation for this study. We focussed on the Har-Us-Nuur fault, a major transpressional fault bounding the eastern margin of the Altai. Three abandoned alluvial fan surfaces, each displaced right-laterally by the fault, were targeted for dating with cosmogenic 10Be and quartz optically stimulated luminescence (OSL). The first surface (A2) shows an exponential decrease in 10Be with increasing depth, with a significant inherited component. Modelling this profile yielded a minimum age of 74.1 ka. Material from the same sampling pit was dated at ~ 19 ka with OSL, but we consider this younger age to be incorrect, possibly due to feldspar contamination or abnormal quartz OSL characteristics. The A2 surface is displaced by 175 m, implying a (maximum) dextral slip-rate of 2.4 ± 0.4 mm yr− 1. A second fan surface (F1) was dated at ~ 6 ka with OSL and shows little variation in 10Be with depth, consistent with this young age. The inherited component is higher than for A2, indicating contrasting levels of inheritance for different periods of fan aggradation. A final surface (F2) shows scattered 10Be concentrations and lacks material suitable for OSL, so cannot be dated precisely. Using the total vertical displacement across the fault, we place the initiation of movement on the fault at ~ 2 Ma, significantly later than the late Oligocene to Miocene (28–5 Ma) onset of shortening in the Altai region. This suggests that deformation in the Altai has widened over time to incorporate new faults at the range margins (such as Har-Us-Nuur), possibly because older faults in the range interior have rotated about vertical axes into orientations that require work to be done against gravity
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