Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock market

We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005-2008. Using a unique dataset of intraday data consisting of 2.3 million block buys and 1.9 million block sales, we find an asymmetry in the price impact of block purchases and sales. The asymmetry persists even when we account for the bidask bias in block trades, which is contrary to the previous literature. Overall, our findings suggest that in an emerging market where institutional trading is relatively scarce, market microstructure cannot explain the asymmetry in the price impact of large trades

What happens around earning announcements? An investigation of information asymmetry and trading activity in the Saudi market

This paper examines stock returns and trading activities around earnings announcements for listed companies in the Saudi stock market (SSM). Specifically, we examine the levels of stock liquidity, trading activity, volatility, bid-ask spread, asymmetric information and investor trading behaviour around earnings announcements for all firms in the market for the period 2002-2009. Abnormal price and volume reactions around earnings announcements suggest that these announcements produce highly informative contents. The magnitude of the cumulative abnormal returns around earnings announcement is induced by trading activity in the two weeks before the release date. We also show evidence of an increased adverse selection cost around earnings announcement, which is then gradually reduced in the post-announcement period, indicating that earnings announcements reduce uncertainty in the market. We also examine trading behaviour among small and large investors in the market through constructing order imbalance measures. In general, large investors are more sophisticated and show higher informed trading before earnings announcements whereas smaller investors show stronger reaction to news. Moreover, small investors show a buying pattern which is consistent with times-series based earnings surprise. They are net-buyers for good news and net-sellers for bad news portfolios

The A&A Experience With Impact Factors

There is a widespread impression that the scientific journal "Astronomy & Astrophysics" (A&A) has a smaller impact, as measured by citations to articles, than some of the other major astronomy journals. This impression was apparently supported - and probably created - by the Journal Citation Report (JCR), which is prepared annually by the Institute of Scientific Information (ISI) Web of Knowledge. The published poor impact factor of A&A was in fact wrong and was due to a serious flaw in the method used by ISI Web of Knowledge to determine it. The resulting damage inflicted upon A&A by the JCR is incalculable.Comment: 4 pages, to be published in A. Heck (ed.) "Organizations and Strategies in Astronomy, Vol. 5" (Kluwer, 2004

Theory of phase segregation in DNA assemblies containing two different base pair sequence types

Spontaneous pairing of homologous DNA sequences – a challenging subject in molecular biophysics, often referred to as ‘homology recognition’ – ha s been observed in vitro for several DNA system s a . One of th e se experiments involved liquid crystalline quasi - columnar phases formed by a mixture of two kinds of oligo mer of double stranded DNA . Both oligomer types were of the same length and identical stoichiometric base - pair composition , but the base - pairs followed a different order . Phase segregation of the two DNA types was observed in the experiments , wit h the formation of boundaries between domai ns rich in molecules of one type (order) of base pair sequence . We formulate here a modified ‘ X - Y model ’ for phase segregation in such assemblies , obtain approximate solutions of the model , compare analytical results to Monte Carlo simulations, and rationalize past experimental observations . This study, furthermore , reveals the factors that affect the degree of segregat ion . Such information c ould be used in planning new versions of similar segregation experiments , needed for deepen i ng our understanding of forces that might be involved , e.g., in gene - gene recognition

The production of a non-homogeneous classical pion field and the distribution of the neutral and charged pions

The probability distribution $dw/df$ as a function of the ratio $f=n_0/n_{tot}$ of the neutral to total multiplicities is calculated for the classical pion fields quickly varying in space and time.Comment: 6 pages, 1 .eps figure, using epsfig, submitted to Phys.Let

Application of methods for central statistical monitoring in clinical trials

Background On-site source data verification is a common and expensive activity, with little evidence that it is worthwhile. Central statistical monitoring (CSM) is a cheaper alternative, where data checks are performed by the coordinating centre, avoiding the need to visit all sites. Several publications have suggested methods for CSM; however, few have described their use in real trials. Methods R-programs were created to check data at either the subject level (7 tests within 3 programs) or site level (9 tests within 8 programs) using previously described methods or new ones we developed. These aimed to find possible data errors such as outliers, incorrect dates, or anomalous data patterns; digit preference, values too close or too far from the means, unusual correlation structures, extreme variances which may indicate fraud or procedural errors and under-reporting of adverse events. The methods were applied to three trials, one of which had closed and has been published, one in follow-up, and a third to which fabricated data were added. We examined how well the methods work, discussing their strengths and limitations. Results The R-programs produced simple tables or easy-to-read figures. Few data errors were found in the first two trials, and those added to the third were easily detected. The programs were able to identify patients with outliers based on single or multiple variables. They also detected (1) fabricated patients, generated to have values too close to the multivariate mean, or with too low variances in repeated measurements, and (2) sites which had unusual correlation structures or too few adverse events. Some methods were unreliable if applied to centres with few patients or if data were fabricated in a way which did not fit the assumptions used to create the programs. Outputs from the R-programs are interpreted using examples. Limitations Detecting data errors is relatively straightforward; however, there are several limitations in the detection of fraud: some programs cannot be applied to small trials or to centres with few patients (<10) and data falsified in a manner which does not fit the program’s assumptions may not be detected. In addition, many tests require a visual assessment of the output (showing flagged participants or sites), before data queries are made or on-site visits performed. Conclusions CSM is a worthwhile alternative to on-site data checking and may be used to limit the number of site visits by targeting only sites which are picked up by the programs. We summarise the methods, show how they are implemented and that they can be easy to interpret. The methods can identify incorrect or unusual data for a trial subject, or centres where the data considered together are too different to other centres and therefore should be reviewed, possibly through an on-site visit

Improving Sampling from Generative Autoencoders with Markov Chains

We focus on generative autoencoders, such as variational or adversarial autoencoders, which jointly learn a generative model alongside an inference model. We define generative autoencoders as autoencoders which are trained to softly enforce a prior on the latent distribution learned by the model. However, the model does not necessarily learn to match the prior. We formulate a Markov chain Monte Carlo (MCMC) sampling process, equivalent to iteratively encoding and decoding, which allows us to sample from the learned latent distribution. Using this we can improve the quality of samples drawn from the model, especially when the learned distribution is far from the prior. Using MCMC sampling, we also reveal previously unseen differences between generative autoencoders trained either with or without the denoising criterion

Convergence to equilibrium for many particle systems

The goal of this paper is to give a short review of recent results of the authors concerning classical Hamiltonian many particle systems. We hope that these results support the new possible formulation of Boltzmann's ergodicity hypothesis which sounds as follows. For almost all potentials, the minimal contact with external world, through only one particle of $N$, is sufficient for ergodicity. But only if this contact has no memory. Also new results for quantum case are presented

Joint venture healthcare system as common practice in developing countries : game changing on assessing health services

To explore the essence of game changing on applying joint venture (JV) approach for healthcare system improvement in developing countries. This is cross-sectional study exploring the factors influencing the successful implementation of JV for the healthcare services in low- and middle-income countries (LMICs). The study included: Qatar Statistical Authority, CIA fact book, Ministry of Health Annual Report, Hamad Medical Corporation Annual Report, Organization for Economic Cooperation and Development information, and Qatar's healthcare system history. The research indicated that the LMIC healthcare system would benefit from affiliation with leading technology partner for healthcare reform. The findings support the view of LMIC healthcare systems' needs to incorporate joint venture approach in implementing JV concept for process improvement and knowledge transfer to contribute in country economic growth, development, and stability. Current study explored evidence supporting decision maker and management control of JV trends in different ways in comparison with developed countries. JV can also help the organization to share the risk and cost of large capital investment. The present study supports observations on expending the use of JVs as approach for improvement in LMIC healthcare system. The current study confirmed the advantages of JV which include helping businesses grow faster, increasing productivity, and generating greater profits, both parties sharing the risks and costs, accessing new markets and distribution networks. [Abstract copyright: Copyright: © 2020 International Journal of Preventive Medicine.