Trade disclosure and price dispersion

This paper determines the effects of post-trade opaqueness on market performance. We find that the degree of market transparency has important effects on market equilibria. In particular, we show that dealers operating in a transparent structure set regret-free prices at each period making zero expected profits in each of the two trading rounds, whereas in the opaque market dealers invest in acquiring information at the beginning of the trading day. Moreover, we obtain that if there is no trading activity in the first period, then market makers only change their quotes in the opaque market. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning welfare of market participants, we obtain ambiguous results

Risk Aversion, Transparency, and Market Performance

Using a model of market making with inventories based on Biais (1993), we find that investors obtain more favorable execution prices, and they hence invest more, when markets are fragmented. In our model, risk-averse dealers use less aggressive price strategies in more transparent markets (centralized) because quote dissemination alleviates uncertainty about the prices quoted by other dealers and, hence, reduces the need to compete aggressively for order flow. Further, we show that the move toward greater transparency (centralization) may have detrimental effects on liquidity and welfare.Publicad

Trade disclosure and price dispersion

This paper studies the implications of trade reporting in a two-stage trade model similar to Journal of Financial Economics 14, 71–100. We find that the degree of market transparency has important effects on market equilibria. In particular, we show that dealers operating in a transparent structure set regret-free prices at each period. In contrast, dealers in an opaque market invest in acquiring information at the beginning of the trading day. Moreover, we show that in equilibrium there is price dispersion in the opaque market, whereas this is not the case if orders are reported. Additionally, we show that trade disclosure increases the informational efficiency of transaction prices and reduces volatility. Finally, concerning the welfare of market participants, we obtain ambiguous results.Publicad

Optimal Oil Taxation in a Small Open Economy

The international oil market has been very volatile over the past three decades. In industrialized economies, especially in Europe, taxes represent a large fraction of oil prices and governments do not seem to react to oil price shocks by using oil taxes strategically. The aim of this paper is to analyze optimal oil taxation in a dynamic stochastic general equilibrium model of a small open economy that imports oil. We obtain that in general it is not optimal to distort the oil price paid by firms with taxes. Extending the model in several ways this result could be reversed depending on environmental considerations and available fiscal instruments.Optimal oil taxation, general equilibrium, small open economies

Achievable DoF-delay trade-offs for the K-user MIMO interference channel with delayed CSIT

©2016 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.The degrees of freedom (DoFs) of the K-user multiple-input multiple-output (MIMO) interference channel are studied when perfect, but delayed channel state information is available at the transmitter side (delayed CSIT). Recent works have proposed schemes improving the DoF knowledge of the interference channel, but at the cost of developing transmission involving many channel uses (long delay), thus increasing the complexity at both transmitter and receiver side. This paper proposes three linear precoding strategies, limited to at most three phases, based on the concept of interference alignment, and built upon three main ingredients: delayed CSIT precoding, user scheduling, and redundancy transmission. In this respect, the interference alignment is realized by exploiting delayed CSIT to align the interference at the non-intended receivers along the space-time domain. Moreover, a new framework is proposed where the number of transmitted symbols and duration of the phases is obtained as the solution of a maximization problem, and enabling the introduction of complexity constraints, which allows deriving the achievable DoF as a function of the transmission delay, i.e., the achievable DoF-delay trade-off. Finally, the latter part of this paper settles that the assumption of time-varying channels common along all the literature on delayed CSIT is indeed unnecessary.Peer ReviewedPostprint (author's final draft

On the superiority of improper Gaussian signaling in wireless interference MIMO scenarios

©2016 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.Recent results have elucidated the benefits of using improper Gaussian signaling (IGS) as compared to conventional proper Gaussian signaling (PGS) in terms of achievable rate for interference-limited conditions. This paper exploits majorization theory tools to formally quantify the gains of IGS along with widely linear transceivers for MIMO systems in interferencelimited scenarios. The MIMO point-to-point channel with interference (P2P-I) is analyzed, assuming that received interference can be either proper or improper, and we demonstrate that the use of the optimal IGS when received interference is improper strictly outperforms (in terms of achievable rate and mean square error) the use of the optimal PGS when interference is proper. Then, these results are extended to two practical situations. First, the MIMO Z-interference channel (Z-IC) is investigated, where a trade-off arises: with IGS we could increase the achievable rate of the interfered user while gracefully degrading the rate of the non-interfered user. Second, these concepts are applied to a two-tier heterogeneous cellular network (HCN) where macrocells and smallcells coexist and multiple MIMO Z-IC appear.Peer ReviewedPostprint (author's final draft

Performance analysis of feedback-free collision resolution NDMA protocol

To support communications of a large number of deployed devices while guaranteeing limited signaling load, low energy consumption, and high reliability, future cellular systems require efficient random access protocols. However, how to address the collision resolution at the receiver is still the main bottleneck of these protocols. The network-assisted diversity multiple access (NDMA) protocol solves the issue and attains the highest potential throughput at the cost of keeping devices active to acquire feedback and repeating transmissions until successful decoding. In contrast, another potential approach is the feedback-free NDMA (FF-NDMA) protocol, in which devices do repeat packets in a pre-defined number of consecutive time slots without waiting for feedback associated with repetitions. Here, we investigate the FF-NDMA protocol from a cellular network perspective in order to elucidate under what circumstances this scheme is more energy efficient than NDMA. We characterize analytically the FF-NDMA protocol along with the multipacket reception model and a finite Markov chain. Analytic expressions for throughput, delay, capture probability, energy, and energy efficiency are derived. Then, clues for system design are established according to the different trade-offs studied. Simulation results show that FF-NDMA is more energy efficient than classical NDMA and HARQ-NDMA at low signal-to-noise ratio (SNR) and at medium SNR when the load increases.Peer ReviewedPostprint (published version

Domain specific traits predict achievement in music and multipotentiality

Previous research shows that individuals choose careers based on the relative strengths of various traits. More debated however, is how specific combinations of traits predict individual differences in professional achievements. General intelligence is often proposed to be the best predictor of eminence, but some studies suggest that more specific traits can be relatively important when performance depends on specific skills and expertise. Here we identified a comprehensive set of variables relevant for music achievement (intelligence, auditory ability, absolute pitch, Big-five personality traits, psychosis proneness, music flow proneness, childhood environment and music practice), and tested how they predicted level of musicianship (non-musicians vs. amateur musicians vs. professional musicians) and number of achievements among professional musicians. We used web survey data from a total of 2150 individuals, and generalized additive models that can also reveal non-linear relationships. The results largely confirmed our three main hypotheses: (i) non-musicians, amateur musicians, and professional musicians are best differentiated by domain specific abilities, personality traits, and childhood factors; (ii) largely the same significant predictors are also associated with the number of creative achievements within professional musicians; (iii) individuals who reach a professional level in two domains (here science and music) possess the union of the relevant traits of both domains. In addition, many of the associations between predictors and achievement were non-linear. This study confirms that in music, and potentially in other occupational fields where performance relies on specific competences, domain relevant characteristics may be better predictors of engagement and creative achievement than broad traits

Hemisphere Mixing: a Fully Data-Driven Model of QCD Multijet Backgrounds for LHC Searches

A novel method is proposed here to precisely model the multi-dimensional features of QCD multi-jet events in hadron collisions. The method relies on the schematization of high-pT QCD processes as 2->2 reactions made complex by sub-leading effects. The construction of libraries of hemispheres from experimental data and the definition of a suitable nearest-neighbor-based association map allow for the generation of artificial events that reproduce with surprising accuracy the kinematics of the QCD component of original data, while remaining insensitive to small signal contaminations. The method is succinctly described and its performance is tested in the case of the search for the hh->bbbb process at the LHC.Comment: 4 pages plus header, 1 figure, proceedings of EPS 2017 Venic

Security prices and market transparency: The role of prior information

This paper analyzes the role of traders´priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardles of how priors are modelled. In contrast, the comparison of market ligquidity and volatility in the two market structures are affected by prior specification