Understanding the ex-ante cost of liquidity in the limit order book: a note.

El presente trabajo estima una nueva medida de coste de liquidez de los activos financieros en un mercado dirigido por órdenes. Esta medida, denominada función de liquidez, recoge el coste ex-ante de comprar y vender simultáneamente una determinada cantidad de acciones haciendo uso de toda la información ofrecida por el libro de órdenes. De esta manera se superan las dificultades que la consideración por separado de la horquilla de precios o la profundidad ocasiona sobre la caracterización de la liquidez de los diferentes activos.This paper estimates a new measure of liquidity costs in a market driven by orders. It represents the cost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.Función de liquidez; Coste de liquidez; Libro de órdenes límite; Horquilla de precios; Profundidad; liquidity function; liquidity cost; open limit order book; bid-ask spread; depth;

Right to Quality University Education

Tener acceso a la escuela es un primer paso para ejercer el derecho a la educación. Sin embargo, su pleno ejercicio exige la participación equitativa de los estudiantes en un proceso educativo de calidad capaz de promover el pleno desarrollo de sus múltiples potencialidades, más aún en la universidad, a través de aprendizajes socialmente relevantes y experiencias educativas pertinentes a las necesidades y características de los individuos, y de los contextos en los que se desenvuelven. La calidad educativa exige además equidad en los resultados de aprendizaje y un uso eficiente de los recursos.Abstract: Access to school is a first step to exercise the right to education. However, its full realization requires the equitable participation of students in an educational process quality able to promote the full development of its multiple potentialities, especially in university through learning socially relevant and appropriate educational experiences to the needs and characteristics of individuals, and the contexts in which they operate. The quality of education also requires equity in learning outcomes and efficient use of resources

Understanding the ex-ante cost of liquidity in the limit order book: a note

El presente trabajo estima una nueva medida de coste de liquidez de los activos financieros en un mercado dirigido por órdenes. Esta medida, denominada función de liquidez, recoge el coste ex-ante de comprar y vender simultáneamente una determinada cantidad de acciones haciendo uso de toda la información ofrecida por el libro de órdenes. De esta manera se superan las dificultades que la consideración por separado de la horquilla de precios o la profundidad ocasiona sobre la caracterización de la liquidez de los diferentes activos.This paper estimates a new measure of liquidity costs in a market driven by orders. It represents the cost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.Publicad

A Hemispherical Contact Model for Simplifying 3D Occlusal Surfaces

Statement of problem Currently, dental articulators can recreate mandibular movements and occlusal contacts. However, whether virtual articulators can also provide information about occluding dental surfaces, functional movements, and the mandibular condyles is unclear. Purpose The purpose of this in vitro study was to evaluate the occluding surfaces on dental casts obtained from a patient and approximate them to a hemispherical contact model. Both models were tested by digitizing the Dentatus ARL dental articulator. Material and methods A combination of photogrammetry and structure from motion methods were used to scan a Dentatus ARL articulator and representative dental casts. Using computer-aided engineering and finite element analysis, contact points and action vectors to the forces on occluding surfaces and condyles were obtained for cast and hemispherical models. This experiment was performed using centric occlusion and 3 different condylar inclinations. The Kruskal-Wallis 1-way analysis of variance on ranks test was used to allow all pairwise comparisons between condylar inclination and mechanical action vector values in each location (α=.05). Results Action vectors from the cast model and each location of the hemispherical model were calculated to show the mechanical consequences and the similarity among models. Overall, no significant differences were observed for action vectors (A20 versus A40 versus A60) at each location (dental cast/hemisphere, right condylar, and left condylar) in the analysis of dental casts and the hemisphere model (.382≤P≤.999). Conclusions This study provided graphical information that may assist the dental professional in determining which occlusal contacts should be modified to attain condylar and balanced centric occlusion

Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross sectionally with betas estimated relative to three competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2003), is associated with the temporary price fluctuation reversals induced by the order flow. Our market-wide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid–ask spread and returns with low sensitivities to those changes. Finally, the aggregate ratio of absolute stock returns to euro volume, as suggested by Amihud [J. Financ. Mark. 5 (2002) 31], is also employed. Our empirical results show that systematic liquidity risk is significantly priced in the Spanish stock market exclusively when betas are measured relative to the illiquidity risk factor based on the price response to one euro of trading volume on either unconditional or conditional versions of liquidity-based asset pricing models.Publicad

Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market.

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross sectionally with betas estimated relative to three competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2003), is associated with the temporary price fluctuation reversals induced by the order flow. Our market-wide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid–ask spread and returns with low sensitivities to those changes. Finally, the aggregate ratio of absolute stock returns to euro volume, as suggested by Amihud [J. Financ. Mark. 5 (2002) 31], is also employed. Our empirical results show that systematic liquidity risk is significantly priced in the Spanish stock market exclusively when betas are measured relative to the illiquidity risk factor based on the price response to one euro of trading volume on either unconditional or conditional versions of liquidity-based asset pricing models.Systematic liquidity risk; Expected returns; Bid–ask spread; Order flow; Trading volume;

Asset Pricing and Systematic Liquidity Risk: an Empirical Investigation of the Spanish Stock Market

XI Foro de Finanzas del Nuevo Milenio. Alicante, 13 - 14 de noviembre, 2003.Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.Publicad

The Liquidity Premium in Equity Pricing under a Continuous Auction System

The paper shows that the cost of illiquidity is not (positively) priced over all months in the Spanish continuous auction system, where liquidity is provideh in the absence of market makers. Two distinct approaches are employed. Both the two-step traditional cross-sectional method and the pooled cross-section time series analysis tend to indicate that the liquidity premium is negative during months other than January. Morever, the liquidity premium in January is positive (although not significant) and at the 10% level it seems to be significantly higher than the liquidity premium over the rest of the year. Therefore, given the previous results for the US market, we conclude that, independently of the market trading mechanism with the exception of NASDAQ, the behaviour of the relationship between the bid-ask spread and stock returns is rather similar.Publicad