On information and competition in private value auctions

How much information does an auctioneer want bidders to have in a private value environment? We address this question using a novel approach to ordering information structures based on the property that in private value settings more information leads to a more disperse distribution of buyers’ updated expected valuations. We define the class of precision criteria following this approach and different notions of dispersion, and relate them to existing criteria of informativeness. Using supermodular precision, we obtain three results: (1) a more precise information structure yields a more efficient allocation; (2) the auctioneer provides less than the efficient level of information since more information increases bidder informational rents; (3) there is a strategic complementarity between information and competition, so that both the socially efficient and the auctioneer’s optimal choice of precision increase with the number of bidders, and both converge as the number of bidders goes to infinity.Auctions, Competition, Private Values, Informativeness Criteria

The Governance of Perpetual Financial Intermediaries

In this paper we re-examine the risk sharing potential of inter- generational financial intermediaries taking into account their governance structure. We argue that asset buffers of perpetual institutions are limited by the temptation of the living stakeholders to renegotiate contributions and distributions. We characterize the renegotiation constraint and show that it severely limits intergenerational risk sharing. Without renegotiation frictions, intermediaries cannot provide higher welfare than a market. The existence of (self-imposed) renegotiation costs relaxes the constraint. By forming a single monopolist intermediary, agents can further improve welfare

Where is the value in high frequency trading?

Analizamos el impacto de las operaciones que se realizan en mercados financieros a gran velocidad utilizando un modelo con tres tipos de operadores: consumidores de liquidez, creadores de mercado y operadores de alta frecuencia. Nuestros cuatro resultados principales son: i) el impacto de las operaciones de liquidez sobre los precios es mayor cuando hay operadores de alta velocidad y este efecto adicional aumenta con el tamaño de la operacion. En concreto, demostramos que la presencia de operadores de alta frecuencia reducen (aumentan) los precios que los consumidores de liquidez reciben cuando venden (adquieren) sus participaciones en Bolsa. ii) Aunque los creadores de mercado tambien pierden ingresos en sus operaciones con operadores de alta frecuencia, estas perdidas se ven compensadas por un mayor descuento de liquidez. iii) Las operaciones a gran velocidad aumentan la volatilidad en los precios. iv) El volumen de negocio se dobla ya que el operador de alta frecuencia intermedia en todas las transacciones entre consumidores de liquidez y creadores de mercad

Information disclosure in optimal auctions

This paper analyzes a situation in which the seller controls the accuracy of what potential buyers learn about their valu- ation of a go o d to b e sold. This setting is related to many real situations such as home sales, antique auctions, and digital platforms such as Google and Facebook selling online adver- tising slots. Two important questions arise: what is the op- timal selling mechanism, and what is the optimal disclosure policy of the seller. Under the assumption of private values, a simple auction with a reserve price is the optimal mechanism. What we show is that the amount of (costly) information pro- vided increases with the numb er of p otential bidders when using the optimal mechanism and is greater than when the object is always sold. Because information changes the distri- bution of a bidder’s expected valuations, the optimal reserve price also changes, so that the number of bidders (indirectly)Juan-José Ganuza gratefully acknowledges the support of the Barcelona GSE Research, the government of Catalonia, and the Agencia Estatal de Investigación through project ECO2017-89240-P (AEI/FEDER, UE). Jose Penalva acknowledges the support of the Ministerio de Economía, Industria y Competitividad through project ECO 2012–36559 and 2016/00118/001 (MINECO/FEDER, UE), and the Comunidad de Madrid S2015/HUM-3353 (EARLYFIN-CM)

Ultra-Fast Activity and Intraday Market Quality

This paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and lower depth). This effect is economically significant, and robust to different specifications, endogeneity tests, and alternative measures of UFA. Our results hold after controlling for volatility, periods of unusually high UFA (a proxy for quote stuffing), and periods where UFA is primarily driven by fleeting orders inside the spread (a proxy for spoofing and competition between liquidity providers)José Penalva acknowledges financial support from the Fundacin BBVA (Ayuda Fundación BBVA a Investigadores y Creadores Culturales 2015, beca Leonardo) and the Ministerio de Ciencia y Teconología grant ECO2012-36559 and ECO2015-69205-P (with Mikel Tapia)

BK virus associated meningoencephalitis in an AIDS patient treated with HAART

A severely immune-suppressed AIDS patient was suspected of suffering from BK virus (BKV) meningoencephalitis, after being studied for common causes of neurological complications of co-infectious origin. Polymerase chain reaction (PCR) and sequence analysis of cerebrospinal fluid and brain samples, confirmed the presence of BKV. His clinical condition improved along with the regression of brain lesions, after modifications on his antiretroviral regime. Five months after discharge, the patient was readmitted because of frequent headaches, and a marked inflammatory reaction was evidenced by a new magnetic resonance imaging (MRI). The symptoms paralleled a rising CD4+ lymphocyte count, and immune reconstitution syndrome was suspected. This is the first non-postmortem report of BKV meningoencephalitis in an AIDS patient, showing clinical and radiographic improvement solely under HAART

HERV-W/MRSV envelope transcripts detection\ud in blood of multiple sclerosis patients after\ud Natalizumab treatment

FAPESP 2010/10619-