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Cass students breeze to victory with business plan idea

July 6, 2011 by Cass Business School   Comments (0)

Business plan competition won by Cass Renewables Ltd for their idea of a company specialising in the service of offshore wind farms.

Eminent panel convenes to judge Onassis Prizes for 2012

July 6, 2011 by Cass Business School   Comments (0)

Number of awards expanded to three to recognise excellence in finance, shipping and international trade.

New: How Does the Market React to Your Order Flow?

July 6, 2011 by J Doyne Farmer   Comments (0)

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision - some are consistently liquidity providers while others are consistentl

REVISION: An Explanation of Universality in Growth Fluctuations

July 6, 2011 by J Doyne Farmer   Comments (0)

Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, and the scientific output of universities all show unusual but remarkably similar growth fluctuations.

The fluctuations display characteristic features, including heavy tails and anomalous power law scaling of the standard deviation as a function of size. Many theories have now been put forward to explain this, all of them based on modifications and extensions of proportional growth of s

REVISION: Supporting Information – An Explanation of Universality in Growth Fluctuations

July 6, 2011 by J Doyne Farmer   Comments (0)

Supplementary materials for "The cause of universality in growth fluctuations".

As supplementary materials we provide the following:

In Section 1 we discuss a modification to our model incorporating a constraint over the number of elements. In Section 2 we derive and discuss in detail the logarithmic growth rate distribution arising from our model. In Section 3 we discuss a modification to the model that incorporates correlations in the replication factors of elements belonging to the same gro

New: The Role of Design Complexity in Technology Improvement

July 6, 2011 by J Doyne Farmer   Comments (0)

We study a simple model for the evolution of the cost (or more generally the performance) of a technology or production process. The technology can be decomposed into n components, each of which interacts with a cluster of d-1 other, dependent components. Innovation occurs through a series of trial-and-error events, each of which consists of randomly changing the cost of each component in a cluster, and accepting the changes only if the total cost of the entire cluster is lowered. We show tha

New: An Empirical Study of the Tails of Mutual Fund Size

July 6, 2011 by J Doyne Farmer   Comments (0)

The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mutual fund size distribution. We study the distribution empirically and show that the tail is much better described by a log-normal than a power law, indicating less concentration than, for example, per

REVISION: What Drives Mutual Fund Asset Concentration?

July 6, 2011 by J Doyne Farmer   Comments (0)

Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which dictates that fund performance is size independent and fund growth is essentially random. The random process is characterized by entry, exit and growth. We present a new time-dependent solution for the standard equations used in the industrial organization liter