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

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).

Comparing and modeling land use organization in cities

The advent of geolocated ICT technologies opens the possibility of exploring how people use space in cities, bringing an important new tool for urban scientists and planners, especially for regions where data is scarce or not available. Here we apply a functional network approach to determine land use patterns from mobile phone records. The versatility of the method allows us to run a systematic comparison between Spanish cities of various sizes. The method detects four major land use types that correspond to different temporal patterns. The proportion of these types, their spatial organization and scaling show a strong similarity between all cities that breaks down at a very local scale, where land use mixing is specific to each urban area. Finally, we introduce a model inspired by Schelling's segregation, able to explain and reproduce these results with simple interaction rules between different land uses.Comment: 9 pages, 6 figures + Supplementary informatio

Evolution and recent developments of Spanish wine sector, 1950-2008

Since the 1980s the traditional European winegrowing regions have been carrying out deep changes in response to the onslaught of winegrowers in the New World. In recent years Spanish regions have been foremost in Europe in terms of change in areas turned over to wine production and distribution. This study analyses the main sequences of changes the Spanish wine industry has undergone: the evolution of consumption through the changes in consumer drinking habits; the leading role of exports in international markets; the spread of different types of marketing and business organization; the distribution in large and small sellers, and the main factors that have been involved in the chain of production and in the modernization of the wineries

Nonassociative real H*-algebras

We prove that, if A denotes a topologically simple real (non-associative) H*-algebra, then either A is a topologically simple complex H*-algebra regarded as real H*-algebra or there is a topologically simple complex H*-algebra B with *-involution r such that A = {b € B : r(b) = b*} . Using this, we obtain our main result, namely: (algebraically) isomorphic topologically simple real H*-algebras are actually * isometrically isomorphic

El estado actual de la investigación sobre la congruencia persona-ambiente. Propuesta de aplicación de un diseño experimental

En el presente trabajo se hace una revisión del estado actual de la investigación sobre la congruencia persona-ambiente, analizando los principales problemas conceptuales y metodológicos que existen en esta línea de investigación, así como las críticas que recibe uno de los modelos más representativos del momento: el modelo de la elección vocacional de Holland. Según este autor, los individuos suelen elegir profesiones que son congruentes con sus características personales, y este ajuste tiene repercusiones positivas tanto para el rendimiento como para la satisfacción en el trabajo. Además, existen otros modelos que han sido propuestos desde diferentes perspectivas (el estrés laboral, socialización laboral, ajuste laboral...). Teniendo en cuenta los inconvenientes que presentan la mayoría de los estudios empíricos realizados, se plantea la posibilidad de abordar el tema desde el paradigma experimental sugiriendo un diseño que permite solventar, o al menos minimizar, dichos problemas.The aim of this paper is to review the present state of the person-environment congruence research. We analyze the main conceptual and methodological problems that this research have and the cristicisms that one of the most representative model receives: Holland’s vocational choices model. This author suggests that the individuals tend to choose occupations that are congruent with their personal characteristics, and that this fi t (or adjustment) has positive implications both for the performance and job satisfaction. On the other hand, models from other approaches have also been proposed (work stress, work socialization, laboral fi t (or adjustment...). Taking into account the inconvenients that most of these kind of studies have, the possibility of start on this subject from an experimental paradigm suggesting a design that may solve or reduce these problems is proposed

Análisis de las motivaciones para la participación en la comunidad

En este artículo se describen y se analizan los tipos de motivación que conducen a los integrantes de una comunidad a participar en sus asociaciones. De una muestra de 274 estudiantes universitarios, 138 manifestaron pertenecer al menos a una asociación. Los participantes indicaron el nombre de la(s) asociación(es) y las incluyeron en diferentes categorías (política, cultural, asistencial, religiosa, deportiva, de ocio y otras). Cada participante expresó sus motivos para pertenecer a ella(s). Se realizó un análisis de contenido con sus respuestas, utilizando los diez tipos motivacionales de la teoría de los valores de Schwartz como categorías de codificación. Los resultados indican una diferente orientación por género para participar en las asociaciones. En general, los motivos colectivistas están más representados en la participación en la comunidad que los motivos individualistas.This paper aims to describe the motivation types driving people of a community to participate in its associations. Out of a sample of 274 university students, 138 reported they belonged to at least one association. Participants reported the name of the association(s) and included it/them in different categories (political, cultural, assistencial, religious, sporting, leisure and others). Every participant expressed his/her motives to participate there. A content analysis was made on their answers, using the ten motivational types of Schwartz's theory of values as coding categories. Results show a differential gender orientation to participate in different types of associations. In general, collectivist motives are more represented in community participation than individualist motives

Use of SEVIRI images and derived products in a WMO Sand and Dust Storm Warning System

The Visible/IR images of SEVIRI (Spinning Enhanced Visible and Infrared Imager), on board Meteosat Second Generation (MSG) satellites, are used to monitor dust events. Satellite-based detection of dust is a difficult problem due in part to the observing-system limitations. The main difficulty is that the dust can be confused with water/ice clouds. SEVIRI is not as optimal for the viewing of dust as SEAWIFS or MODIS, due to the fact that both of them count with additional short-wavelength channels. However, the SEVIRI 15-minute loop images can detect small dust plumes as well as subtle changes from one image to the next. A description of how the AEMET, former INM, is developing the environment to support MSG satellite imagery to the WMO/GEO Sand and Dust Storm Warning System (SDS WS) for Europe, Africa and Middle East Regional Centre will be briefly presented, together with some on-going operational developments to best monitor dust events

A novel wavelet-based filtering strategy to remove powerline interference from electrocardiograms with atrial fibrillation

This is an author-created, un-copyedited versíon of an article published in Physiological Measurement. IOP Publishing Ltd is not responsíble for any errors or omissíons in this versíon of the manuscript or any versíon derived from it. The Versíon of Record is available online at http://doi.org/10.1088/1361-6579/aae8b1[EN] Objective: The electrocardiogram (ECG) is currently the most widely used recording to diagnose cardiac disorders, including the most common supraventricular arrhythmia, such as atrial fibrillation (AF). However, different types of electrical disturbances, in which power-line interference (PLI) is a major problem, can mask and distort the original ECG morphology. This is a significant issue in the context of AF, because accurate characterization of fibrillatory waves (f-waves) is unavoidably required to improve current knowledge about its mechanisms. This work introduces a new algorithm able to reduce high levels of PLI and preserve, simultaneously, the original ECG morphology. Approach: The method is based on stationary wavelet transform shrinking and makes use of a new thresholding function designed to work successfully in a wide variety of scenarios. In fact, it has been validated in a general context with 48 ECG recordings obtained from pathological and non-pathological conditions, as well as in the particular context of AF, where 380 synthesized and 20 long-term real ECG recordings were analyzed. Main results: In both situations, the algorithm has reported a notably better performance than common methods designed for the same purpose. Moreover, its effectiveness has proven to be optimal for dealing with ECG recordings affected by AF, sincef-waves remained almost intact after removing very high levels of noise. Significance: The proposed algorithm may facilitate a reliable characterization of thef-waves, preventing them from not being masked by the PLI nor distorted by an unsuitable filtering applied to ECG recordings with AF.Research supported by grants DPI2017-83952-C3 MINECO/AEI/FEDER, UE and SBPLY/17/180501/000411 from Junta de Comunidades de Castilla-La Mancha.García, M.; Martínez, M.; Ródenas, J.; Rieta, JJ.; Alcaraz, R. (2018). A novel wavelet-based filtering strategy to remove powerline interference from electrocardiograms with atrial fibrillation. Physiological Measurement. 39(11):1-15. https://doi.org/10.1088/1361-6579/aae8b1S115391