Asymmetries in Bid-Ask Responses to Innovations in the Trading Process.

This paper has benefited from the support of the Spanish DGICYT project #PB98-0030 and the European Project on VPM-Improving Human Research Potential, HPRN-CT-2002-00232. The authors are grateful for the comments received from an anonymous referee and from Mikel Tapia, Ignacio Peña, Winfried Pohlmeier and the attendants to the Econometrics Research Seminar at C.O.R.E., Université Catholique de Louvain, Belgium. We also appreciate the suggestions of participants at the CAF Market Microstructure and High Frequency Data in Finance Workshop, August 2001, Sønderborg (Denmark), and the European Financial Association Meeting, August 2001, Barcelona (Spain)Market microstructure; Bid and ask time series; VEC models; Adverse-selection costs; Asymmetric dynamics;

Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis.

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Microstructure; Adverse selection costs; Trade-related information; High-frequency data;

On the bi-dimensionality of liquidity.

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is characterized using an instantaneous time-varying elasticity concept. Several bi-dimensional liquidity measures that cope with the ambiguity problem are constructed. First, it is shown that bi-dimensional measures are superior since commonalities in overall liquidity cannot be fully explained by the common factors in one-dimensional proxies of liquidity. Second, it is shown that an infinitesimal variation in either market volatility or trading activity augments the probability of observing an unambiguous liquidity adjustment. Ambiguity strongly depends on the expected (deterministic) component of volatility.liquidity; measurement; immediacy; depth; elasticity; ambiguity; bi-dimensional;

Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Publicad

The portrait of Carles II of Spain in the city council of Seville. A new iconographic model of portrait of the king

Este artículo estudia uno de los modelos iconográfi cos más peculiares, desconocidos y escasos de Carlos II, que precisamente por ello se convierte de gran valor como medio expresivo de las peculiares circunstancias históricas que determinaron su creación, en relación directa con las ideas y valores que en la época se asociaban con ciertos objetos aparentemente intrascendentes pero que, en realidad, esconden sutiles sentidos simbólicos más allá de su mero valor estético y plástico, en relación con el poder y el gobierno de la Monarquía.This article studies one of the most peculiar and stranger iconographic models of portrait of Charles II of Spain. We have tried to study it in relation to the time and the historical situation it was painted into. We think the historical and historical background determined decisive way the creation of this new iconographic model and the inclusion in it of some previously absent elements wich were deeaply meaningful propagandistically and politically

Master and disciple. New works by Alonso Cano and Pedro de Mena

The aim of this proposal is to present new works of the mentioned sculptors in relation to collecting, patronage and sculptural market both at the time of its creation and at the present time. From Alonso Cano, we can point out the recent appearance of a San Diego that must be related to franciscan sculptures by Alonso Cano himself, as well as the later models by his disciple. .Especially important is the identification of a new San Pedro de Alcántara by Pedro de Mena, which is due to the patronage of Antonio Manrique de Lara, a friend and client of the sculptor who owned five works by the artist in 1688. To these works we add some other works by Pedro Mena that extend its catalog, especially in examples of Inmaculadas.Se presentan nuevas obras de los citados escultores en relación con el coleccionismo, el mecenazgo y el mercado escultórico tanto en la época de su creación como en el momento actual. De Alonso Cano podemos señalar la reciente aparición de un San Diego que ha de ponerse en relación con las esculturas de franciscano del propio Alonso Cano, así como con los modelos posteriores de su discípulo. De Pedro de Mena es especialmente importante un nuevo San Pedro de Alcántara que se debe al encargo de Antonio Manrique de Lara, amigo y cliente del escultor que en 1688 contaba con cinco obras del granadino. Añadimos algunas otras obras de Pedro de Mena que amplían su catálogo, sobre todo en ejemplos de Inmaculadas

UAV planning, autonomous tracking, and obstacle identification and avoidance

The large growth that the civil Unmanned Aerial Vehicles (UAVs) market has experienced in the last decade is now triggering the urge of both professionals and enthusiasts to use this technology to perform tasks that would be more difficult to accomplish with their traditional procedures. However, many times these tasks require precision flight and do not allow the slightest physical contact of the UAV with its surroundings. Currently, very qualified pilots are needed since there have not been significant advancements on on-board obstacle detection technologies, and manual control is still a must. The main goal of this thesis is to develop an affordable Obstacle Alert and Collision Avoidance System (OCAS) that can be easily deployed to a wide range of UAVs. The approach followed is to embark a series of ultrasonic rangefinders to continuously monitor the minimum distance of the vehicle with its surroundings. The data provided by the sensors is then processed on an onboard computer, and control commands are sent to the main controller board in the case that an obstacle is detected and a possible collision identified. The final result is an integrable payload subsystem that would improve the situational awareness capabilities of any UAV that integrates it, reducing the risk of collision with its surroundingsIngeniería Aeroespacia

Dynamic asymmetries in bid-ask responses to innovations in the trading process

This paper proposes a flexible structural model of quote formation to jointly study the dynamics between buyer-initiated and seller-initiated trades and the posterior bid and ask quote revisions. The empirical reduced form counterpart is a vector error correction (VEC) model for bid and ask quotes, with the spread as the cointegrating vector, that extends the bivariate vector autoregresive (VAR) model introduced by Hasbrouck (1991a). The empirical results for several NYSE common stocks reveal that there are informational gains by not averaging the quote revision process through the quote midpoint. We find evidence of asymmetric behavior in the responses of both ask and bid prices to the innovations in the trading process. Under similar market conditions, the bid dynamics after an unexpected seller-initiated trade show significant deviations relative to the ask dynamics after a similar unexpected buyer-initiated trade

Going beyond Quietness: Determining the Emotionally Restorative Effect of Acoustic Environments in Urban Open Public Spaces

The capacity of natural settings to promote psychological restoration has attracted increasing research attention, especially with regards to the visual dimension. However, there is a need to extend these studies to urban settings, such as squares, parks or gardens, due to the global trend towards urbanisation, and to integrate the dimension of sound into landscape. Such was the main aim of this study, in which 53 participants assessed four public spaces in Vitoria-Gasteiz (Spain) as part of the CITI-SENSE Project (137 observations were used for analysis). A smartphone application was used to simultaneously collect objective and subjective data. The results show that at the end of the urban environmental experience, there was a statistically significant reduction in negative emotions and perceived stress, and a slight increase in positive emotions. Emotional restoration was mainly associated with prior emotional states, but also with global environmental comfort and acoustic comfort. The soundscape characteristics that contributed to greater emotional restoration and a reduction in perceived stress were pleasantness, calm, fun and naturalness. Therefore, in agreement with previous research, the findings of the present study indicate that besides contributing to the quietness of the urban environment, the urban soundscape can promote psychological restoration in users of these spaces.This research formed part of the CITI-SENSE project funded under the European Union Seventh Framework Programme for research, technological development and demonstration, grant agreement no 308524