Price impact of block trades in the Saudi stock market

This paper examines the price impact of block trades for the 124 companies that comprise all listed firms in the Saudi stock market (SSM). We use high frequency intraday data (one minute intervals) for the period 2005-2008 to provide out of sample evidence of the determinants of price impact. We find an asymmetric price impact of 0.5% for block purchases and -0.38% for block sales. We document a price continuation post block trades and a price reversal after block sales. Sellers of block trades in the Saudi market pay higher liquidity premiums than buyers of block trades. However, on average, the price effect of a block trade is small and short-lived suggesting that resiliency is high in the market. Moreover, we find a direct relationship between the size of the trades and the level of information asymmetry in the market. Despite the structural differences of the SSM, the intraday pattern of price impacts is similar to patterns documented in other markets, namely an inverse J-shaped pattern. Finally, sophisticated traders can gain abnormal profits in the SSM through “free riding”, a trader can benefit from the overreaction before the block trade and price reversal after the block trade

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 n the price impact of large trades

Optical-radar imaging of scale models for studies in asteroid astronomy

During the past five years, delay-Doppler radar has become the primary technique for studying the structure of Earth-crossing asteroids. None of these objects has yet been visited by spacecraft, so ground-truth test cases are lacking. A laboratory system is described that provides optical-radar images at 0.1-mm resolution. These data are analogous to the highest-resolution asteroid radar images currently available and provided realistic test cases for developing signal-processing techniques. The system can be thought of as a 1/188,000 scale model of the Arecibo radar, or a 1/52,800 scale model of the Goldstone radar

Maximum-Likelihood Comparisons of Tully-Fisher and Redshift Data: Constraints on Omega and Biasing

We compare Tully-Fisher (TF) data for 838 galaxies within cz=3000 km/sec from the Mark III catalog to the peculiar velocity and density fields predicted from the 1.2 Jy IRAS redshift survey. Our goal is to test the relation between the galaxy density and velocity fields predicted by gravitational instability theory and linear biasing, and thereby to estimate $\beta_I = \Omega^{0.6}/b_I,$ where $b_I$ is the linear bias parameter for IRAS galaxies. Adopting the IRAS velocity and density fields as a prior model, we maximize the likelihood of the raw TF observables, taking into account the full range of selection effects and properly treating triple-valued zones in the redshift-distance relation. Extensive tests with realistic simulated galaxy catalogs demonstrate that the method produces unbiased estimates of $\beta_I$ and its error. When we apply the method to the real data, we model the presence of a small but significant velocity quadrupole residual (~3.3% of Hubble flow), which we argue is due to density fluctuations incompletely sampled by IRAS. The method then yields a maximum likelihood estimate $\beta_I=0.49\pm 0.07$ (1-sigma error). We discuss the constraints on $\Omega$ and biasing that follow if we assume a COBE-normalized CDM power spectrum. Our model also yields the 1-D noise noise in the velocity field, including IRAS prediction errors, which we find to be be 125 +/- 20 km/sec.Comment: 53 pages, 20 encapsulated figures, two tables. Submitted to the Astrophysical Journal. Also available at http://astro.stanford.edu/jeff

Gene-history correlation and population structure

Correlation of gene histories in the human genome determines the patterns of genetic variation (haplotype structure) and is crucial to understanding genetic factors in common diseases. We derive closed analytical expressions for the correlation of gene histories in established demographic models for genetic evolution and show how to extend the analysis to more realistic (but more complicated) models of demographic structure. We identify two contributions to the correlation of gene histories in divergent populations: linkage disequilibrium, and differences in the demographic history of individuals in the sample. These two factors contribute to correlations at different length scales: the former at small, and the latter at large scales. We show that recent mixing events in divergent populations limit the range of correlations and compare our findings to empirical results on the correlation of gene histories in the human genome.Comment: Revised and extended version: 26 pages, 5 figures, 1 tabl

The Velocity Field from Type Ia Supernovae Matches the Gravity Field from Galaxy Surveys

We compare the peculiar velocities of nearby SNe Ia with those predicted by the gravity fields of full sky galaxy catalogs. The method provides a powerful test of the gravitational instability paradigm and strong constraints on the density parameter beta = Omega^0.6/b. For 24 SNe Ia within 10,000 km/s we find the observed SNe Ia peculiar velocities are well modeled by the predictions derived from the 1.2 Jy IRAS survey and the Optical Redshift Survey (ORS). Our best $\beta$ is 0.4 from IRAS, and 0.3 from the ORS, with beta>0.7 and beta<0.15 ruled out at 95% confidence levels from the IRAS comparison. Bootstrap resampling tests show these results to be robust in the mean and in its error. The precision of this technique will improve as additional nearby SNe Ia are discovered and monitored.Comment: 16 pages (LaTex), 3 postscript figure

Bridging k- and q- Space in the Cuprates: Comparing ARPES and STM Results

A critical comparison is made between the ARPES-derived spectral function and STM studies of Friedel-like oscillations in Bi_2Sr_2CaCu_2O_{8+delta} (Bi2212). The data can be made approximately consistent, provided that (a) the elastic scattering seen in ARPES is predominantly small-angle scattering and (b) the `peak' feature seen in ARPES is really a dispersive `bright spot', smeared into a line by limited energy resolution; these are the `bright spots' which control the quasiparticle interferences. However, there is no indication of bilayer splitting in the STM data.Comment: 6 eps figures, revte

Modeling radiation belt radial diffusion in ULF wave fields: 2. Estimating rates of radial diffusion using combined MHD and particle codes

[1] Quantifying radial transport of radiation belt electrons in ULF wave fields is essential for understanding the variability of the trapped relativistic electrons. To estimate the radial diffusion coefficients (DLL), we follow MeV electrons in realistic magnetospheric configurations and wave fields calculated from a global MHD code. We create idealized pressure-driven MHD simulations for controlled solar wind velocities (hereafter referred to as pressure-driven Vx simulations) with ULF waves that are comparable to GOES data under similar conditions, by driving the MHD code with synthetic pressure profiles that mimic the pressure variations of a particular solar wind velocity. The ULF wave amplitude, in both magnetic and electric fields, increases at larger radial distance and during intervals with higher solar wind velocity and pressure fluctuations. To calculate DLL as a function of solar wind velocity (Vx = 400 and 600 km/s), we follow 90 degree pitch angle electrons in magnetic and electric fields of the pressure-driven Vx simulations. DLL is higher at larger radial distance and for the case with higher solar wind velocity and pressure variations. Our simulated DLL values are relatively small compared to previous studies which used larger wave fields in their estimations. For comparison, we scale our DLL values to match the wave amplitudes of the previous studies with those of the idealized MHD simulations. After the scaling, our DLL values for Vx = 600 km/s are comparable to theDLL values derived from Polar measurements during nonstorm intervals. This demonstrates the use of MHD models to quantify the effect of pressure-driven ULF waves on radiation belt electrons and thus to differentiate the radial diffusive process from other mechanisms