Market impact and trading profile of large trading orders in stock markets

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power-law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.Comment: 9 pages, 7 figure

Managerial family ties and employee risk bearing in family firms : evidence from Spanish car dealers

The paper argues that family firms in which the Top Management Team (TMT) is dominated by non-family managers are more likely to shift risk to employees through incentive pay schemes than family firms with TMTs dominated by family members. We also argue that this tendency is aggravated in firms of bigger size as this condition makes non-family managers more vulnerable. We further note that differences between family and non-family dominated TMTs may lessen when the sales trend is negative. The analyses conducted on a sample of 219 family controlled car dealerships in Spain confirm our expectations

Rehabilitación energética en función del grado de mejoramiento. Evaluación de la simulación frente a la realidad de las viviendas en Chile.

Homes are one of the major energy consumers and generate significant environmental impact in Chile and globally. The improvement of existing buildings or new projects is a procedure based on multidimensional simulations and the energy evaluation of housing. However, there is a lack of strategies to identify appropriate modifications. Normally, the original situation is compared with an improved scenario according to general estimates, but without analyzing the most effective alternatives, building process, economic projections or acceptability for the occupants. Based on the study of a dozen, representative dwellings in south-central Chile, in which construction records, computer models, environmental monitoring, and occupancy patterns were compared, this work presents a methodology for the effective analysis of residential environmental improvement. Considering a selection of relevant existing or projected conditions, energy simulation was carried out according to consolidated background information, and alternatives were identified according to a catalog of suitable building solutions for each type of housing studied. Thus, performance results were analyzed using a methodology known as Life-Cycle Cost Analysis (LCCA) for the financial analysis of the simulated alternatives in order to determine the most effective action packages. In this way, construction proposals were created, applied through computer simulations and implemented in reality. The purpose of this work is to compare the values of energy savings produced by improvements obtained with energy efficiency analysis programs, with the results of building monitoring.Las viviendas constituyen uno de los principales consumidores energéticos y generan un relevante impacto ambiental en Chile y a nivel global. El mejoramiento de construcciones existentes o de nuevos proyectos, es un procedimiento que se apoya en simulaciones multidimensionales y de evaluación energética de las edificaciones. Sin embargo se carece de estrategias para identificar las alternativas más apropiadas. Normalmente se compara una situación original con una mejorada según estimaciones generales, pero sin analizar las alternativas más efectivas, ejecución constructiva, proyección económica o aceptabilidad de los ocupantes. Basado en el estudio de una docena de viviendas representativas del centro sur de Chile, en que se compararon registros constructivos, modelos computacionales, monitorizaciones ambientales y patrones de ocupación, este trabajo plantea una metodología de análisis efectivo para el mejoramiento ambiental residencial. Considerando una selección de condiciones relevantes existentes o proyectadas, se elaboraron simulaciones energéticas según antecedentes consolidados, y se determinaron alternativas según un catálogo de soluciones constructivas adecuadas a cada tipología estudiada. Así, los resultados de desempeño se analizaron bajo una metodología conocida como de análisis de costos de ciclo de vida o Life-Cycle Cost Analysis (LCCA), para el estudio financiero de las alternativas simuladas, y con la finalidad de determinar los paquetes de acciones más efectivas. De esta manera, se conformaron propuestas constructivas, las que se aplicaron, a través de simulaciones informáticas y ejecutadas en la realidad. El propósito es confrontar valores de ahorro energéticos y costos asociados, producidos por mejoramientos, obtenidos de programas de análisis de eficiencia energética respecto de resultados de monitorizació

Some Open Points in Nonextensive Statistical Mechanics

We present and discuss a list of some interesting points that are currently open in nonextensive statistical mechanics. Their analytical, numerical, experimental or observational advancement would naturally be very welcome.Comment: 30 pages including 6 figures. Invited paper to appear in the International Journal of Bifurcation and Chao

Liquidity and the multiscaling properties of the volume traded on the stock market

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.Comment: 7 pages, 3 figures, submitted to Europhysics Letter

Gestión de riesgos de costes de posconstrucción en edificios residenciales en alquiler

The post-construction cost of the buildings represents an essential part of its life cycle cost and therefore its control is fundamental to achieve the economic sustainability of a building. The present research proposes a model to identify, analyse and assess the risk of increases of post-construction cost in residential buildings for rental. To develop it, we turn to experts´ assessments and the experimentation of the model in different buildings. We use the semi-structured interview (a total of 83) as well as the Delphi method: in this last one, inquiry forms are replaced with interviews, so data quality are increased. The model proposes a scale to adjust the building risk level, which is between a minimum of 36 and a maximum of 109. The research results reveal that from the value of 75, the risk level is considered unacceptable.El coste de posconstrucción de los edificios representa una parte fundamental del coste en su ciclo de vida, por tanto su control es fundamental para lograr la sostenibilidad económica de un inmueble. Esta investigación propone un modelo para identificar, analizar y evaluar el riesgo de incrementos de coste de posconstrucción en edificios residenciales destinados al alquiler. Para su desarrollo recurrimos a valoraciones de expertos y a la experimentación del modelo en diferentes inmuebles. Empleamos las técnicas de entrevista semiestructurada (83 en total) y método Delphi, con la particularidad en este último de sustituir los formularios de consulta por entrevistas, incrementando así la calidad de los datos. El modelo propone una escala para graduar el nivel de riesgo del edificio, comprendido entre mínimo-máximo de 36 a 109. Los resultados de la investigación ponen de manifiesto que a partir del valor 75 el nivel de riesgo se considera inasumible

Quantitative features of multifractal subtleties in time series

Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian distribution, both uncorrelated and correlated in time, are used. For the uncorrelated series at the border (q=5/3) between the Gaussian and the Levy basins of attraction asymptotically we find a phase-like transition between monofractal and bifractal characteristics. This indicates that these may solely be the specific nonlinear temporal correlations that organize the series into a genuine multifractal hierarchy. For analyzing various features of multifractality due to such correlations, we use the model series generated from the binomial cascade as well as empirical series. Then, within the temporal ranges of well developed power-law correlations we find a fast convergence in all multifractal measures. Besides of its practical significance this fact may reflect another manifestation of a conjectured q-generalized Central Limit Theorem

Socioemotional Wealth and Business Risks in Family-controlled Firms: Evidence from Spanish Olive Oil Mills

In this paper, we bring structural holes theory to different cultural contexts by studying the effect of structural holes in four high-tech companies in China and assessing whether they confer the benefits to individuals occupying the brokering position in a career network that have been found in Western contexts. On the level of national culture, we propose that the typical collectivistic culture of China will dampen the effects of structural holes. On the organizational level, we propose that in organizations that foster a high-commitment culture--a culture that emphasizes mutual investment between people--the control benefits of structural holes are dissonant with the dominant spirit of cooperation ,and the information benefits of structural holes cannot materialize due to the communal-sharing values in such organizations. Empirical results of network surveys confirm our hypotheses, and interview data add depth to our explanations. Brokers do not fit with the collectivistic values of China. Further, the more an organization possesses a clan-like, high-commitment culture, the more detrimental are structural holes for employees' career achievements such as salary or bonus, even after controlling for a host of other factors that may influence these career outcomes. In high commitment organizations, the "integrators" who bring people together to fill structural holes enjoy greater career benefits.Publicad

Activity/inactivity circadian rhythm shows high similarities between young obesity-induced rats and old rats

The objective of the present study was to compare differences between elderly rats and young obesity-induced rats in their activity/inactivity circadian rhythm. The investigation was motivated by the differences reported previously for the circadian rhythms of both obese and elderly humans (and other animals), and those of healthy, young or mature individuals. Three groups of rats were formed: a young control group which was fed a standard chow for rodents; a young obesity-induced group which was fed a high-fat diet for four months; and an elderly control group with rats aged 2.5 years that was fed a standard chow for rodents. Activity/inactivity data were registered through actimetry using infrared actimeter systems in each cage to detect activity. Data were logged on a computer and chronobiological analysis were performed. The results showed diurnal activity (sleep time), nocturnal activity (awake time), amplitude, acrophase, and interdaily stability to be similar between the young obesity-induced group and the elderly control group, but different in the young control group. We have concluded that obesity leads to a chronodisruption status in the body similar to the circadian rhythm degradation observed in the elderly