title: Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets

authors: Hou, Yang (Greg)

subjects: Price Discovery

abstract: The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. So far, the loading factors have always been assumed as static. This paper is the first one to investigate the time-varying loading factors for the price discovery measurement. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive of order 1 (AR(1)) which confirms the self-dependence nature of informed trading. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in price discovery measurement compared to the static loading factor model. Overall, this research confirms the importance of autoregressive loading factors for the price discovery measurement.

text: Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. So far, the loading factors have always been assumed as static. This paper is the first one to investigate the time-varying loading factors for the price discovery measurement. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive of order 1 (AR(1)) which confirms the self-dependence nature of informed trading. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in price discovery measurement compared to the static loading factor model. Overall, this research confirms the importance of autoregressive loading factors for the price discovery measurement.

year: 2017

title: Climate Change: Where we live, how we live, and how we plan for it

authors: White, Iain

abstract: This presentation discusses that combating climate change required long-term, intergenerational planning, and political will.

text: Climate Change: Where we live, how we live, and how we plan for it This presentation discusses that combating climate change required long-term, intergenerational planning, and political will.

year: 2019

title: Cadastral reform of indigenous land information and environmental sustainability in New Zealand

authors: Jay, Grace Mairi M.

subjects: geography

abstract: New Zealand’s cadastral system has come under scrutiny in recent years, A sharp rise in the number of land claims by the country’s indigenous Maori, accompanied by historic environmental legislation, have prompted milk for cadastral reform. Although no consensus has yet emerged among experts about future cadastral reforms, land information mangers and Maori leaders generally concede the need for the overhaul of current land information management practices. However, any future reforms will have to reconcile seemingly incompatible goals, by being legally sound, culturally appropriate, and environmentally sustainable. Most of the land in New Zealand is subject to legislation enacted within the past decade, which incorporates concern for the issues of sustainability, as well as the Maori’s cultural values and ancestral rights. The presence of this legislation, and a growing capacity among Maori to be involved, both mean that Maori concepts of land management and sustainability are receiving increasing attention in New Zealand, and are likely to influence the shape of future cadastral reforms for Maori lands.

text: Cadastral reform of indigenous land information and environmental sustainability in New Zealand New Zealand’s cadastral system has come under scrutiny in recent years, A sharp rise in the number of land claims by the country’s indigenous Maori, accompanied by historic environmental legislation, have prompted milk for cadastral reform. Although no consensus has yet emerged among experts about future cadastral reforms, land information mangers and Maori leaders generally concede the need for the overhaul of current land information management practices. However, any future reforms will have to reconcile seemingly incompatible goals, by being legally sound, culturally appropriate, and environmentally sustainable. Most of the land in New Zealand is subject to legislation enacted within the past decade, which incorporates concern for the issues of sustainability, as well as the Maori’s cultural values and ancestral rights. The presence of this legislation, and a growing capacity among Maori to be involved, both mean that Maori concepts of land management and sustainability are receiving increasing attention in New Zealand, and are likely to influence the shape of future cadastral reforms for Maori lands.

year: 1997