D. F. Foster

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The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. This study develops a simple, parsimonious model for the market maker’s spread that accounts for the effects of price discreteness induced by minimum tick size,(More)
The human gp130 cDNA sequence was used as a query to search an expressed sequence tag database (dbEST) to identify cDNA sequences with similarity to the cytokine class I receptor family. A novel class I cytokine receptor was identified in a human infant brain cDNA library and was named WSX-1. Full-length cDNA sequences for human and murine WSX-1 were(More)
The methoxycarbonylation of terminal or internal alkenes catalysed by palladium complexes of bis-(di-tert-butylphosphinomethyl)benzene under mild conditions leads to linear esters in 99% selectivity via a hydride mechanism.
This paper provides a simple method of ranking mutual funds' probabilities of outperforming a benchmark portfolio. We show that ranking fund performance in this way is identical to ranking each fund's portfolio with a generalized entropy, equivalent to an expected generalized power utility index that uses a risk aversion coe±cient speci ̄c to that fund.(More)
In the next decade, an increasing proportion of computer power will be provided by information service networks, rather than by the tens of thousands of individual installations which now exist. This proposition is made attractive by many economies of scale, of which "Grosch's Law" is only one. Equally important are: • The reduced cost of the(More)
This paper studies the performance of the Foster-Whiteman (1999) procedure for using a Bayesian predictive distribution for the future price of an asset to compute the price of a European option on that asset. A technical contribution of the paper is the description of a sequential importance sampling procedure for implementing an informative prior that(More)
This paper investigates whether customer order flow conveys information about future foreign exchange (FX) prices. We use a unique data set from a leading Australian commercial bank that records every FX trade made by the bank in the spot Australian dollar/US dollar market between 2005 and 2010. We find little evidence in support of a cointegrating relation(More)
The disproportionation of dicobalt octacarbonyl induced by the free carbene 1,3-bis(2,4,6-trimethylphenyl)imidazol-2-ylidene (IMes) and the X-ray characterization of the cyclohexane solvate of the resulting cobalt carbonyl N-heterocyclic carbene salt, [Co(CO)3(IMes)2]+[Co(CO)4]-.1/4C6H12, is reported. The crystal structure represents the first example of a(More)