Information transmission around block trades on the Spanish stock market

Current fmancial research is placing increasing attention on the effects of large transactions, or Block Trades (BT), on the fmancial markets. In order to analyze whether BT transmit information, we assume that information can be better reflected by changes in asset true value, proxied by the midpoint of bid-ask best quotes, instead of transactions prices or returns. Moreover, following market microstructure literature, we also look at changes in relative spread and in their adverse selection component. The Madrid Stock Exchange offers us a particularly appropriate testing ground for examining these issues, since this topic has not been facilitated as in other markets till 1998. We analyze 195 BT, classified according with trading volume, the side of the market initiating the BT (buyer, seller or indeterminate initiated), its type (inside the spread, sweeping or not classified) and if they change or not the asset true value. The main result of the paper is that it seems that there is BT information transmission when we look at adverse selection spread component in the different subsample classification, but there is no significant permanent effect in returns. We also observe changes in liquidity around BTs but the effect is related with temporary spread component

Correlated multipartite quantum states

We investigate quantum states that possess both maximum entanglement and maximum discord between the pertinent parties. Since entanglement (discord) is defined only for bipartite (two-qubit) systems, we use an appropriate sum over all bipartitions as the associated measure. The ensuing definition - not new for entanglement - is thus extended here to quantum discord. Also, additional dimensions within the parties are considered (qudits). We also discuss quantum correlations that induce Mermin's Bell-inequality violation for all multiqubit systems. One finds some differences when quantum mechanics is defined over the field of real or of complex numbers. © 2013 American Physical Society.Fil: Batle, J.. Universitat de Les Illes Balears; EspañaFil: Casas, M.. Universitat de Les Illes Balears; España. Universitat de Les Illes Balears;Fil: Plastino, Ángel Luis. Universitat de Les Illes Balears; España. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Instituto de Física La Plata. Universidad Nacional de La Plata. Facultad de Ciencias Exactas. Instituto de Física La Plata; Argentin

International business cycles, financial markets and household production

This paper investigates the properties of an international real business cycle model with household production. We show that a model with disturbances to both market and household technologies reproduces the main regularities of the data and improves existing models in matching international consumption, investment and output correlations without irrealistic assumptions on the structure of international financial markets. Sensitivity analysis shows the robustness of the results to alternative specifications of the stochastic processes for the disturbances and to variations of unmeasured parameters within a reasonable range.Household production, international business cycles, taste shocks, consumption correlations

Efficient memory management in video on demand servers

In this article we present, analyse and evaluate a new memory management technique for video-on-demand servers. Our proposal, Memory Reservation Per Storage Device (MRPSD), relies on the allocation of a fixed, small number of memory buffers per storage device. Selecting adequate scheduling algorithms, information storage strategies and admission control mechanisms, we demonstrate that MRPSD is suited for the deterministic service of variable bit rate streams to intolerant clients. MRPSD allows large memory savings compared to traditional memory management techniques, based on the allocation of a certain amount of memory per client served, without a significant performance penaltyPublicad

Information Transmission around Block Trades on the Spanish Stock Market.

This study investigates the informational effects of large transactions, or Block Trades (BT), in the Spanish Stock Exchange (SSE). In the open market period, this topic was not facilitated in the SSE as it was in other markets until 1998. The SSE thus provides a special environment for analysing the information transmission of these specific transactions. It is assumed that information can be better reflected by changes in true asset value, proxied by the midpoint of bid-ask best quotes. Therefore, we will look at changing true asset value orders instead of trades. Three different effects are studied around BTs: price, liquidity and information transmission. To capture them, three different endogenous variables are considered: true asset returns, relative spreads and adverse selection spread component. With this approach, no clear effects of BTs are found. The main result of the study is that there seems to be an increase in information asymmetries when one looks at the adverse selection spread component in some of the different subsample classifications (buyer, seller and sweeping BT), but there is no significant permanent effect on returns. This result could be related to insiders trading in the market. In sharp contrast with adverse selection evidence, a temporary decrease in bid/ask spread around BTs is also observed. These changes reflect temporary liquidity effects related to other spread components (order processing costs and inventory costs).

How wide is the gap? An investigation of gender wage differences using quantile regression

In this paper we examine the determinants of wages and decompose the observed differences across genders into the "explained by different characteristics" and "explained by different returns components" using a sample of Spanish workers. Apart from the conditional expectation of wages, we estimate the conditional quantile functions for men and women and find that both the absolute wage gap and the part attributed to different returns at each of the quantiles, far from being well represented by their counterparts at the mean, are greater as we move up in the wage range.Gender wage gap, quantile regression, education

Effects of the second virial coefficient on the adiabatic lapse rate of dry atmospheres

We study the effect of the second virial coefficient on the adiabatic lapse rate of a dry atmosphere. To this end, we compute the corresponding adiabatic curves, the internal energy, and the heat capacity, among other thermodynamic parameters. We apply these results to Earth, Mars, Venus, Titan, and the exoplanet G1 851d, considering three physically relevant virial coefficients in each case: the hard-sphere, van der Waals, and the square-well potential. These examples illustrate under which atmospheric conditions the effect of the second virial coefficient is relevant. Taking the latter into account yields corrections towards the experimental values of the lapse rates of Venus and Titan in some instances.Comment: 12 pages, 8 figures. Comments are welcom