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MAKER-TAKER FEE, LIQUIDITY COMPETITION, AND HIGH FREQUENCY TRADING

This paper analyzes how a maker-taker fee reduction affects market competition, liquidity, and high frequency trading. The purposes are threefold: 1) whether reducing the exchange maker-taker fee attracts liquidity from off-exchange venues; 2) holding the net exchange fee relatively constant, whether the components of the maker-taker fee change matter; and 3) how HFT responds to

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UNDERSTANDING CHRONIC DISEASE COMORBIDITIES FROM BASELINE NETWORKS – KNOWLEDGE DISCOVERY UTILISING ADMINISTRATIVE HEALTHCARE DATA

Hospitals routinely collect admitted patients’ data for administrative purposes and for reporting to the government and health insurers. These heterogeneous and mostly untapped data contain rich semantic information about patients’ health conditions in the form of standard disease codes. These traces of clinical information can be aggregated over patients to understand how their health progresses

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PERSONER: PERSIAN NAMED-ENTITY RECOGNITION

Named-Entity Recognition (NER) is still a challenging task for languages with low digital resources. The main difficulties arise from the scarcity of annotated corpora and the consequent problematic training of an effective NER pipeline. To abridge this gap, in this paper we target the Persian language that is spoken by a population of over a

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BIDIRECTIONAL LSTM-CRF FOR CLINICAL CONCEPT EXTRACTION

Extraction of concepts present in patient clinical records is an essential step in clinical research. The 2010 i2b2/VA Workshop on Natural Language Processing Challenges for clinical records presented concept extraction (CE) task, with aim to identify concepts (such as treatments, tests, problems) and classify them into predefined categories. State-of-the-art CE approaches heavily rely on hand

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AN INVESTIGATION OF RECURRENT NEURAL ARCHITECTURES FOR DRUG NAME RECOGNITION

Drug name recognition (DNR) is an essential step in the Pharmacovigilance (PV) pipeline. DNR aims to find drug name mentions in unstructured biomedical texts and classify them into predefined categories. State-of-the-art DNR approaches heavily rely on hand-crafted features and domain-specific resources which are difficult to collect and tune. For this reason, this paper investigates the

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WHICH INSTITUTIONAL INVESTOR TYPES ARE MOST INFORMED? EVIDENCE FROM REPORTED PORTFOLIO HOLDINGS

The funds management industry has grown rapidly over the past decades and plays a vital role in making financial market more efficient and to provide value to its investors. There are a wide variety of institutional investor types, all with different characteristics which potentially can result in a differing ability to predict future stock performance. Hedge funds

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JOINT PREDICTION OF ONSET CHRONIC CONDITIONS

Chronic conditions can be costly but also preventable as well as predictable. We develop a model to predict in the short term (2-3 years) the onset of one or more chronic conditions. Five chronic conditions are considered: heart disease, stroke, diabetes, hypertension and cancer. Predictions are made on the basis of standard demographic/socio-economic variables, risk

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WHEN “NO” MEANS “NO”: THE INFORMATION CONTENT OF ASX PRICE QUERIES

When the price of a listed security changes by an abnormal amount, the ASX typically issues a price query (PQ). There are two possible explanations for an abnormal price change: 1. It was an anomalous movement, or 2. It was driven by an investor’s information advantage. Identifying the difference between these explanations is the primary

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ANALYSIS OF LAGIC & SOLVENCY II’S IMPACT ON LIFE INSURERS

Solvency II is a European Union (EU) legislative program that introduces a harmonised insurance regulatory regime across the region. The program is one of the first insurance regulations in the world to follow the Basel Accord approach, with a 3-pillar structure that covers capital requirements, risk management and disclosure requirements. In Australia, the Life and

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PRICING AND HEDGING OF GUARANTEED MINIMUM BENEFITS IN VARIABLE ANNUITIES

The shift from defined benefit to defined contribution superannuation schemes within developed countries has correspondingly increased the importance of retirement savings and investment plans. Variable annuities (VAs) with guaranteed minimum benefits (GMBs) are gaining in popularity as products that can meet the demands of the ageing population. However, guaranteeing policyholders a minimum level of return

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