Impact of Stock Market Structure on Intertrade Time and Price Dynamics

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies'' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing patterns in price prediction and risk management optimization on different stock markets.     

Commodification and Human Interests

In Markets Without Limits and a series of related papers, Jason Brennan and Peter Jaworski argue that it is morally permissible to buy and sell anything that it is morally permissible to possess and exchange outside of the market. Accordingly, we should (Brennan and Jaworski argue) open markets in “contested commodities” including blood, gametes, surrogacy services, and transplantable organs. This paper clarifies some important aspects of the case for market boundaries and in so doing shows why there are in fact moral limits to the market. I argue that the case for restricting the scope of the market does not (as Brennan and Jaworski assume) turn on the idea that some things are constitutively non-market goods; it turns instead on the idea that treating some things according to market norms would threaten the realization of particular kinds of human interests.     

Short and Long Term Investor Synchronization Caused by Decoupling

The dynamics of collective decision making is not yet well understood. Its practical relevance however can be of utmost importance, as experienced by people who lost their fortunes in turbulent moments of financial markets. In this paper we show how spontaneous collective “moods” or “biases” emerge dynamically among human participants playing a trading game in a simple model of the stock market. Applying theory and computer simulations to the experimental data generated by humans, we are able to predict the onset of such moments before they actually happen.     

WORK INJURY—A Second Look at the Doctor's First Report

Injured employees require medical care and, if disabled, compensation payments for subsistence. The law requires that the employer or insurance carrier supply these benefits promptly. In the absence of prompt and adequate information from the attending physician, these benefits are withheld. The necessary information required to process employee''s claim is that called for on the standard accident report form, commonly called the “pink slip.” Not to supply this minimum information may constitute a hardship on the employee. By supplying more elaborate information than that called for, the physician may be increasing his load of “paper work” immeasurably.     

The Value of Learning about Natural History in Biodiversity Markets

Markets for biodiversity have generated much controversy because of the often unstated and untested assumptions included in transactions rules. Simple trading rules are favored to reduce transaction costs, but others have argued that this leads to markets that favor development and erode biodiversity. Here, I describe how embracing complexity and uncertainty within a tradable credit system for the Red-cockaded Woodpecker (Picoides borealis) creates opportunities to achieve financial and conservation goals simultaneously. Reversing the effects of habitat fragmentation is one of the main reasons for developing markets. I include uncertainty in habitat fragmentation effects by evaluating market transactions using five alternative dispersal models that were able to approximate observed patterns of occupancy and movement. Further, because dispersal habitat is often not included in market transactions, I contrast how changes in breeding versus dispersal habitat affect credit values. I use an individually-based, spatially-explicit population model for the Red-cockaded Woodpecker (Picoides borealis) to predict spatial- and temporal- influences of landscape change on species occurrence and genetic diversity. Results indicated that the probability of no net loss of abundance and genetic diversity responded differently to the transient dynamics in breeding and dispersal habitat. Trades that do not violate the abundance cap may simultaneously violate the cap for the erosion of genetic diversity. To highlight how economic incentives may help reduce uncertainty, I demonstrate tradeoffs between the value of tradable credits and the value of information needed to predict the influence of habitat trades on population viability. For the trade with the greatest uncertainty regarding the change in habitat fragmentation, I estimate that the value of using 13-years of data to reduce uncertainty in dispersal behaviors is $6.2 million. Future guidance for biodiversity markets should at least encourage the use of spatially- and temporally-explicit techniques that include population genetic estimates and the influence of uncertainty.     

High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility

Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying how news of all possible types (geopolitical, environmental, social, financial, economic, etc.) affects trading and the pricing of firms in organized stock markets. In this article, we seek to address this issue by performing an analysis of more than 24 million news records provided by Thompson Reuters and of their relationship with trading activity for 206 major stocks in the S&P US stock index. We show that the whole landscape of news that affects stock price movements can be automatically summarized via simple regularized regressions between trading activity and news information pieces decomposed, with the help of simple topic modeling techniques, into their “thematic” features. Using these methods, we are able to estimate and quantify the impacts of news on trading. We introduce network-based visualization techniques to represent the whole landscape of news information associated with a basket of stocks. The examination of the words that are representative of the topic distributions confirms that our method is able to extract the significant pieces of information influencing the stock market. Our results show that one of the most puzzling stylized facts in financial economies, namely that at certain times trading volumes appear to be “abnormally large,” can be partially explained by the flow of news. In this sense, our results prove that there is no “excess trading,” when restricting to times when news is genuinely novel and provides relevant financial information.     

The Benefits of Social Influence in Optimized Cultural Markets

Social influence has been shown to create significant unpredictability in cultural markets, providing one potential explanation why experts routinely fail at predicting commercial success of cultural products. As a result, social influence is often presented in a negative light. Here, we show the benefits of social influence for cultural markets. We present a policy that uses product quality, appeal, position bias and social influence to maximize expected profits in the market. Our computational experiments show that our profit-maximizing policy leverages social influence to produce significant performance benefits for the market, while our theoretical analysis proves that our policy outperforms in expectation any policy not displaying social signals. Our results contrast with earlier work which focused on showing the unpredictability and inequalities created by social influence. Not only do we show for the first time that, under our policy, dynamically showing consumers positive social signals increases the expected profit of the seller in cultural markets. We also show that, in reasonable settings, our profit-maximizing policy does not introduce significant unpredictability and identifies “blockbusters”. Overall, these results shed new light on the nature of social influence and how it can be leveraged for the benefits of the market.     

ON THE MORALITY OF GUINEA‐PIG RECRUITMENT

Can it be wrong to conduct medical research on human subjects even with their informed consent and even when the transaction between the subjects and researchers is expected to be mutually beneficial? This question is especially pressing today in light of the rise of a semi‐professional class of ‘guinea pigs’– human research subjects that sell researchers a right of access to their bodies in exchange for money. Can these exchanges be morally problematic even when they are consensual and mutually beneficial? I argue that there are two general kinds of concern one can have about such transactions – concerns about the nature of what is sold and concerns about the conditions in which the selling occurs. The former involves worries about degradation and the possible wrongness of selling a right of access to one's body. These worries, I argue, are not very serious. The latter involves worries about coercion, exploitation, and undue influence – about how, by virtue of their ignorance, impulsiveness, or desperation, guinea pigs can be taken advantage of by medical researchers. These worries are quite serious but I argue that, at least in cases where the exchange between guinea pigs and researchers is consensual and mutually beneficial, they do not raise insurmountable moral problems.     

Cross-Sectional Study on Antibiotic Usage in Pigs in Germany

To be able to analyze the relationship between the level of resistance and the use of antimicrobials, it is necessary to collect detailed data on antimicrobial usage. For this reason, data on antimicrobial use on 495 pig farms from entire Germany were collected and analyzed. In Germany, each application and dispensing of medicines to food-producing animals is documented in detail obligatorily by the veterinarian. This information was collected retrospectively for the year 2011. The analyses undertook separate examinations on the age groups sow, piglet, weaner and fattening pig; both the route of administration and indication per active ingredient, and active ingredient class, were evaluated. In total, 20,374 kg of antimicrobial substances were used in the study population. Tetracyclines were used in highest amounts, followed by beta-lactams, trimethoprim-sulfonamides and macrolides. Concerning the frequency of using an active substance per animal, polypeptides were most commonly administered. In all age groups, respiratory infections were the main indication for using antimicrobials, followed by intestinal diseases in piglets, weaners and fattening pigs and diseases of reproductive organs in sows. Over a period of 100 days, the median number of treatment days with one antimicrobial substance for piglets was 15 days, for weaners about 6 days, for fattening pigs about 4 days and for sows about 1 day. A multifactorial ANOVA was conducted to investigate which factors are associated with the treatment frequency. The factors “veterinarian” and “age group” were related to the treatment frequency, just as the interaction between “veterinarian” and “farm size” as well as the interaction between “veterinarian” and “age group”.     

Money Walks: Implicit Mobility Behavior and Financial Well-Being

Traditional financial decision systems (e.g. credit) had to rely on explicit individual traits like age, gender, job type, and marital status, while being oblivious to spatio-temporal mobility or the habits of the individual involved. Emerging trends in geo-aware and mobile payment systems, and the resulting “big data,” present an opportunity to study human consumption patterns across space and time. Taking inspiration from animal behavior studies that have reported significant interconnections between animal spatio-temporal “foraging” behavior and their life outcomes, we analyzed a corpus of hundreds of thousands of human economic transactions and found that financial outcomes for individuals are intricately linked with their spatio-temporal traits like exploration, engagement, and elasticity. Such features yield models that are 30% to 49% better at predicting future financial difficulties than the comparable demographic models.     

Inferring on the Intentions of Others by Hierarchical Bayesian Learning

Inferring on others'' (potentially time-varying) intentions is a fundamental problem during many social transactions. To investigate the underlying mechanisms, we applied computational modeling to behavioral data from an economic game in which 16 pairs of volunteers (randomly assigned to “player” or “adviser” roles) interacted. The player performed a probabilistic reinforcement learning task, receiving information about a binary lottery from a visual pie chart. The adviser, who received more predictive information, issued an additional recommendation. Critically, the game was structured such that the adviser''s incentives to provide helpful or misleading information varied in time. Using a meta-Bayesian modeling framework, we found that the players'' behavior was best explained by the deployment of hierarchical learning: they inferred upon the volatility of the advisers'' intentions in order to optimize their predictions about the validity of their advice. Beyond learning, volatility estimates also affected the trial-by-trial variability of decisions: participants were more likely to rely on their estimates of advice accuracy for making choices when they believed that the adviser''s intentions were presently stable. Finally, our model of the players'' inference predicted the players'' interpersonal reactivity index (IRI) scores, explicit ratings of the advisers'' helpfulness and the advisers'' self-reports on their chosen strategy. Overall, our results suggest that humans (i) employ hierarchical generative models to infer on the changing intentions of others, (ii) use volatility estimates to inform decision-making in social interactions, and (iii) integrate estimates of advice accuracy with non-social sources of information. The Bayesian framework presented here can quantify individual differences in these mechanisms from simple behavioral readouts and may prove useful in future clinical studies of maladaptive social cognition.     

“Selling” Value: The Influence of Language on Willingness-to-Accept

In behavioral economics, the “endowment effect” describes the robust finding that prices people are willing to accept (WTA) for a good exceed prices people are willing to pay (WTP) for the same good. The increase in WTA values is often explained by the sellers’ negative hedonic response to losing their item. Recent studies, however, show that subtle cues may change participants’ perspective, influencing their valuations. We hypothesized that implicit connotations of instructional language may be one of those cues. To test this hypothesis we manipulated the wording of instructions in two conditions: in the Sell condition, subjects were endowed with a set of pens and asked to select an amount of money for which they would sell the pens back and in the Take condition, subjects were endowed with the pens and asked to select an amount of money they would take for the pens. Participants in each condition also estimated the market value of the pens. Consistent with our hypothesis, WTA in the Sell condition was higher than in the Take condition, though there were no differences in market values between conditions. These findings show that instructional language does influence participant valuations. Furthermore, we suggest that those being asked to “sell” use their market estimations as the salient reference point in the transaction.     

Evaluation of four slide test kits for the detection of human chorionic gonadotropin in urine

Three “indirect-type” slide tests utilizing the principle of hemagglutination inhibition and one new “direct-type” slide test employing direct agglutination were evaluated for their sensitivity in detecting human chorionic gonadotropin (HCG) in urine. The results of positive tests in a group of woman in very early pregnancy were correlated with the “days after last menses”. In this series the direct slide test was the most accurate. A control must be used with each direct test to indicate interfering substances and when such are present a different test must be used. All tests were found to be of the relative sensitivity stated by the manufacturer.     

Evolvement of uniformity and volatility in the stressed global financial village

Background

In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep throughout the entire village.

Methodology/Principal Findings

We present a new methodology to assess and quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the market Index Cohesive Force and the meta-correlations (correlations between the intra-correlations.) We investigated the relations between six important world markets—U.S., U.K., Germany, Japan, China and India—from January 2000 until December 2010. We found that while the developed “western” markets (U.S., U.K., Germany) are highly correlated, the interdependencies between these markets and the developing “eastern” markets (India and China) are volatile and with noticeable maxima at times of global world events. The Japanese market switches “identity”—it switches between periods of high meta-correlations with the “western” markets and periods when it behaves more similarly to the “eastern” markets.

Conclusions/Significance

The methodological framework presented here provides a way to quantify the evolvement of interdependencies in the global market, evaluate a world financial network and quantify changes in the world inter market relations. Such changes can be used as precursors to the agitation of the global financial village. Hence, the new approach can help to develop a sensitive “financial seismograph” to detect early signs of global financial crises so they can be treated before they develop into worldwide events.     

Risky business: Discourses of risk and (ir)responsibility in globalizing markets

This paper addresses aspects of 'market culture' as it is expressed in media discourse and among financial traders and corporate managers. Particular focus is placed on their perspectives on risk and responsibility. It is suggested that the ideas and actions of financial traders and corporate leaders contribute in significant ways to the structuring of market transactions across the world. They contribute to the diffusion of perspectives on markets and market actors, influence our understandings of the scope of individual action in market transactions, and play a vital role in the development and organization of contemporary markets. The paper argues that perceptions of risk and responsibility are culturally embedded in the particular contexts in which these actors operate; that they are tightly interwoven as aspects of developing global markets; and presented as forces of nature in discourses that produce not only 'truths' but also power. It is suggested that the fetishization of the market contributes to the evasion of responsibility among financial traders, whereas it presents an opportunity for corporations to position themselves as socially responsible actors. Central to the understanding of the differing conceptualizations of risk and responsibility are perceptions of agency of different actors in financial markets.     

Early Prediction of Movie Box Office Success Based on Wikipedia Activity Big Data

Use of socially generated “big data” to access information about collective states of the minds in human societies has become a new paradigm in the emerging field of computational social science. A natural application of this would be the prediction of the society''s reaction to a new product in the sense of popularity and adoption rate. However, bridging the gap between “real time monitoring” and “early predicting” remains a big challenge. Here we report on an endeavor to build a minimalistic predictive model for the financial success of movies based on collective activity data of online users. We show that the popularity of a movie can be predicted much before its release by measuring and analyzing the activity level of editors and viewers of the corresponding entry to the movie in Wikipedia, the well-known online encyclopedia.     

A Study of Communication Delays for Web Transactions

A major bottleneck in using the web for accessing data and executing transactions for e-commerce is the performance. It can take 500–1400 ms to set up the connection and download a web page. Several hundred milliseconds are taken to transmit a multimedia web image. A simple web transaction may have a response time of 2–5 s. The consistency control mechanisms can double this time. A typical electronic trading transaction may take close to 2 min. I assert that the performance is unacceptable and the main cause is the communication system. The communication delays under a variety of scenarios and their causes and remedies are the focus of this study. Mechanisms have been developed for studying the performance of the web transaction processing on the Internet. Experimental studies have been conducted to analyze and understand the behavior of web based transactions and to measure the communication delays. The developed mechanisms have been used to perform a series of experiments around the world. Experiments were conducted to measure the communication delays for different steps which includes web page downloading, access to digital library data and transaction processing. This paper presents the experimental results for a variety of cases. It concludes by suggesting directions for decreasing the communication latency and improving the performance of web transactions.     

Human Collective Intelligence under Dual Exploration-Exploitation Dilemmas

The exploration-exploitation dilemma is a recurrent adaptive problem for humans as well as non-human animals. Given a fixed time/energy budget, every individual faces a fundamental trade-off between exploring for better resources and exploiting known resources to optimize overall performance under uncertainty. Colonies of eusocial insects are known to solve this dilemma successfully via evolved coordination mechanisms that function at the collective level. For humans and other non-eusocial species, however, this dilemma operates within individuals as well as between individuals, because group members may be motivated to take excessive advantage of others'' exploratory findings through social learning. Thus, even though social learning can reduce collective exploration costs, the emergence of disproportionate “information scroungers” may severely undermine its potential benefits. We investigated experimentally whether social learning opportunities might improve the performance of human participants working on a “multi-armed bandit” problem in groups, where they could learn about each other''s past choice behaviors. Results showed that, even though information scroungers emerged frequently in groups, social learning opportunities reduced total group exploration time while increasing harvesting from better options, and consequentially improved collective performance. Surprisingly, enriching social information by allowing participants to observe others'' evaluations of chosen options (e.g., Amazon''s 5-star rating system) in addition to choice-frequency information had a detrimental impact on performance compared to the simpler situation with only the choice-frequency information. These results indicate that humans groups can handle the fundamental “dual exploration-exploitation dilemmas” successfully, and that social learning about simple choice-frequencies can help produce collective intelligence.     

Against Permitted Exploitation in Developing World Research Agreements

This paper examines the moral force of exploitation in developing world research agreements. Taking for granted that some clinical research which is conducted in the developing world but funded by developed world sponsors is exploitative, it asks whether a third party would be morally justified in enforcing limits on research agreements in order to ensure more fair and less exploitative outcomes. This question is particularly relevant when such exploitative transactions are entered into voluntarily by all relevant parties, and both research sponsors and host communities benefit from the resulting agreements. I show that defenders of the claim that exploitation ought to be permitted rely on a mischaracterization of certain forms of interference as unjustly paternalistic and two dubious empirical assumptions about the results of regulation. The view I put forward is that by evaluating a system of constraints on international research agreements, rather than individual transaction‐level interference, we can better assess the alternatives to permitting exploitative research agreements.