Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Publicad

Electronic Properties of Ultra-Thin Aluminum Nanowires

We have carried out first principles electronic structure and total energy calculations for a series of ultrathin aluminum nanowires, based on structures obtained by relaxing the model wires of Gulseren et al. The number of conducting channels is followed as the wires radius is increased. The results suggest that pentagonal wires should be detectable, as the only ones who can yield a channel number between 8 and 10.Comment: 9 pages + 3 figures, to appear on Surface Scienc

Foeniculum sanguineum Triano y A. Pujadas (Apiaceae) nueva especie del suroeste de la Región Mediterránea

Foeniculum sanguineum Triano & A. Pujadas, sp. nov., from the south western Mediterranean Region (Spain & Morocco) is described. Its characterization and a comparative study with the related species Foeniculum vulgare Mill., has been carried out through morphological, cytological, chemical and molecular analysis. F. sanguineum is distinguished primarily for its red petals, pink pollen in fresh, and red stylopod. It is a diploid species (2n= 22). A high proportion of limonene and piperitenone oxide (absent in F. vulgare) has been found in the essential oil composition of the dry fruits of F. sanguineum and a high amount (about 50 %) of α-phellandrene in its roots and stems. Phylogenetic analyses were performed using the internal transcribed spacer sequences of nuclear ribosomal DNA (ITS) and the chloroplast rbcL gene sequences. ITS analysis supports the existence of the new species, while revealing sequence divergence both at the intraspecific and at the interspecific levels. A Single-nucleotide-polymorphism (SNP) sequence divergence found in the slow evolving chloroplast gene provided additional support for the novel species characterization, for which the name Foeniculum sanguineum is proposed

Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context

This paper measures the adverse selection costs associated to a given trade by estimating its permanent impact on market quotes. This estimation depends on observable trade features and market conditions, and it is given by the impulse-response function of a generalization of the Hasbrouck's (1991a,b) VAR model. It is evidenced that microstructure structural models of quote formation may introduce a downward bias in the estimation of adverse selection costs by assuming that trades only have an immediate impact on prices. Moreover, it is observed that the market behavior, in terms of liquidity and activity, in the short-term period after a trade depends on the information-asymmetry risk associated to that trade

The Puzzling Stability of Monatomic Gold Wires

We have examined theoretically the spontaneous thinning process of tip-suspended nanowires, and subsequently studied the structure and stability of the monatomic gold wires recently observed by Transmission Electron Microscopy (TEM). The methods used include thermodynamics, classical many-body force simulations, Local Density (LDA) and Generalized Gradient (GGA) electronic structure calculations as well as ab-initio simulations including the two tips. The wire thinning is well explained in terms of a thermodynamic tip suction driving migration of surface atoms from the wire to the tips. For the same reason the monatomic wire becomes progressively stretched. Surprisingly, however, all calculations so far indicate that the stretched monatomic gold wire should be unstable against breaking, contrary to the apparent experimental stability. The possible reasons for the observed stability are discussed.Comment: 4 figure

On the bi-dimensionality of liquidity

Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is characterized using an instantaneous time-varying elasticity concept. Several bi-dimensional liquidity measures that cope with the ambiguity problem are constructed. First, it is shown that bi-dimensional measures are superior since commonalities in overall liquidity cannot be fully explained by the common factors in one-dimensional proxies of liquidity. Second, it is shown that an infinitesimal variation in either market volatility or trading activity augments the probability of observing an unambiguous liquidity adjustment. Ambiguity strongly depends on the expected (deterministic) component of volatility.Publicad

Synchro-curvature emitting regions in high-energy pulsar models

The detected high-energy pulsars' population is growing in number, and thus, having agile and physically relevant codes to analyze it consistently is important. Here, we update our existing synchro-curvature radiation model by including a better treatment of the particle injection, particularly where the large pitch angle particles dominate the spectra, and by implementing a fast and accurate minimization technique. The latter allows a large improvement in computational cost, needed to test model enhancements and to apply the model to a larger pulsar population. We successfully fit the sample of pulsars with X-ray and $\gamma$-ray data. Our results indicate that, for every emitting particle, the spatial extent of their trajectory where the pitch angle is large and most of the detected X-ray radiation is produced is a small fraction of the light cylinder. We also confirm with this new approach that synchrotron radiation is not negligible for most of the gamma-ray pulsars detected. In addition, with the results obtained, we argue that J0357+3205 and J2055+2539 are MeV-pulsar candidates and are suggested for exhaustive observations in this energy band.Comment: 12 pages, 7 figures. Accepted for publication in Monthly Notices of the Royal Astronomical Societ

Survey of Bayesian Networks Applications to Intelligent Autonomous Vehicles

This article reviews the applications of Bayesian Networks to Intelligent Autonomous Vehicles (IAV) from the decision making point of view, which represents the final step for fully Autonomous Vehicles (currently under discussion). Until now, when it comes making high level decisions for Autonomous Vehicles (AVs), humans have the last word. Based on the works cited in this article and analysis done here, the modules of a general decision making framework and its variables are inferred. Many efforts have been made in the labs showing Bayesian Networks as a promising computer model for decision making. Further research should go into the direction of testing Bayesian Network models in real situations. In addition to the applications, Bayesian Network fundamentals are introduced as elements to consider when developing IAVs with the potential of making high level judgement calls.Comment: 34 pages, 2 figures, 3 table

Análisis bibliométrico de las principales publicaciones científicas sobre e-Health indexadas en PubMed (2012-2016)

Cartel presentado en el 3er Congreso Internacional de Comunicación en Salud (3ICHC), celebrado los días 19 y 20 de octubre de 2017 en la Universidad Carlos III de Madrid.El objetivo de este estudio es identificar la evolución de la producción científica sobre e-Health indexada en PubMed (2012-2016) y mostrar las revistas especializadas del campo para que puedan ser referentes de consulta y de futuras investigaciones

Neoplàsia de colon a les comarques del sud de Catalunya. Seguiment endoscòpic del colon operat durant un període de 20 anys i anàlisi de la supervivència.

Introducció. El carcinoma colorectal (CCR) és una de les neoplàsies més freqüents als països desenvolupats, amb un índex de supervivència inferior al 50% als 5 anys. A l'estat espanyol es diagnostiquen més d'11.000 casos/any. A la demarcació de Tarragona presenta un increment anual del 3,5% als homes i un 2,7% a les dones. Un dels aspectes més importants per millorar la supervivència és l'establiment de programes de seguiment que intentin detectar el més precoçment possible les recidives i l'aparició de lesions preneoplàsiques o neoplàsiques en un estadi curable. Hipòtesi. El seguiment intensiu del CCR operat amb pretensió curativa pot contribuir a millorar la supervivència.Objectius. 1. Estudi de prevalença, incidència, tendència i mortalitat del CCR a les comarques del sud de Catalunya. 2. Analitzar i comparar els resultats de la supervivència dels malalts operats amb pretensió radical en funció de l'acompliment d'un programa de seguiment estricte (intensiu vs no intensiu). Material i Mètode. En base a la hipòtesi de treball i objectius, els pacients van quedar distribuïts en dos grups:-estudi de prevalença i incidència-estudi de supervivènciaEl primer inclou els malalts diagnosticats de CCR durant el període objecte de l'estudi (1982-2001). L'anàlisi és de tipus observacional i descriptiu. Pel segon estudi, es va efectuar un tall longitudinal que s'inicia l'1 de gener de 1989 i perllongant-se fins el 31 de desembre de 1996. El tall va establir una mostra de 334 pacients. D'aquests, 275 van ser intervinguts amb intenció radical. Es va dissenyar un programa empíric de seguiment intensiu, assignant-se els malalts al grup de seguiment intensiu o no intensiu (control) en funció de l'acompliment estricte del programa. Els valors d'odds ratio i de risc relatiu s'han aplicat per determinar l'eficàcia dels tractaments i tipus de seguiment. Corbes de supervivència de Kaplan-Meier. Anàlisis de regressió per avaluar l'impacte de les diverses variables sobre el risc d'aparició de recidives i sobre la supervivència a llarg termini.Resultats.Incidència i prevalença: 4697 CCR diagnosticats amb una mortalitat de 2591 pacients (55,2%). El càncer de colon presenta una taxa ajustada 21,9 als homes, i de 17,8 les dones. Per la neoplàsia de recte, 12,8 pels homes, i 6,5 les dones. L'anàlisi de la tendència sobre la incidència mostra un increment anual notable ambdós sexes, sobre tot pel respecte al càncer de colon, en que s'evidencia un augment de la taxa ajustada en un 11% als homes i un 9% en les dones. La neoplàsia de recte mostra un increment moderat al sexe masculí (3,1%), mentre que pel femení, hi ha una certa tendència a la baixa (-1,4%). L'edat mitjana del diagnòstic se situa en els 68 anys en els homes i 70 en les dones. S'observa una millora progressiva en la supervivència. Als 5 anys, la supervivència ha passat del 42% al 49% en els malalts diagnosticats entre els períodes 1985-89 i 1990-94.Estudi de supervivència. L'estadiatge (Dukes) dels 334 malalts era: estadi A: 4,5%, B1: 13,2%, B2: 308%, C1: 9,3%, C2: 25,5%, D: 14,1%. En 9 (2,7%) casos no es va poder determinar. Dels 275 intervinguts amb intenció radical s'ha pogut efectuar el seguiment de 256, que van ser distribuïts segons el tipus de seguiment efectuat. No hi havia diferències en quant a la homogeneitat (P=NS). S'observa una més baixa expressió de l'antígen carcinoembrionari (CEA) en les dones (P=0,018), diferències que es van traduir significativament en la supervivència. En el grup de malalts amb CEA basal elevat, la supervivència era significativament més alta en el sexe femení (P=0,043) mentre que no hi havien diferències si el CEA basal era normal (P=0,132). La normalització del CEA desprès de la cirurgia es relaciona amb un índex més baix de patir una recidiva local o locorregional (P=0,004, RR 3,1) o de desenvolupar metàstasi (P=0,005, RR 4,2). La supervivència dels que basalment tenien el CEA normal vers els que el tenien elevat es altament significativa (P=0,007). Entre un 23,2 i un 70% dels malalts van presentar una recidiva. La recaiguda a nivell local anastomòtic i l'aparició de metàstasi a distància van constituir les més freqüents. La comparació de l'aparició de recidives en funció de l'afectació ganglionar i/o el grau de penetració tumoral no va demostrar significació estadística (P=0,319). Vint-i-un malalts sotmesos a seguiment intensiu van fer una recidiva local endoscòpica i van poder ser reintervinguts radicalment un 61,9%, mentre que dels no seguits intensivament només ho van ser un 25%, (PConclusions. 1.La supervivència per CCR a la demarcació augmenta progressivament, passant del 42 al 49%.2. La neoplàsia més freqüent és la de sigma (37,7%), seguida de la rectal (34,1%).3. El símptoma de debut de la malaltia que es relaciona amb un millor resultat referit a la supervivència és el canvi de ritme deposicional.4. El CEA va tenir valor estadístic en relació a la supervivència. (P=0,018)5. En la sèrie analitzada hi ha un elevat índex de pacients intervinguts amb pretensió radical (82,3%).6. L'estadi més freqüent va ser el B2, fet que es relaciona amb un diagnòstic en estadis menys avançats.7. El seguiment endoscòpic intensiu va permetre detectar recidives que es van poder beneficiar d'una resecció amb pretensió curativa en un 61,9%, mentre que els no seguits intensivament només ho van ser un 25% (P8. El seguiment intensiu es relaciona significativament amb una millor supervivència (PHipothesis. From the set out data, we can establish as a work hipothesis that intensive follow-up of CR operated with curative pretense can contribute to improve survival.Objectives. 1.Study of prevalence, incidence and CR tendency analysis in southern Catalonia districts. 2. Analyse and compare monitoring results on survival of those patients who undergone major CR surgery with a radical purpose, as a result of the fullfilment of a strict follow up program (intensive vs. non intensive).3. Relate patient's progress in terms of the state of progress of neoplasm by the moment the diagnosis is done.4. Investigate which are the predictive factors related to CR prognosis, and that, consequently must be included in follow up programes.Material and Methode. In line with the work's hipothesis, objectives and carried out research, patients were distributed into two groups:-Study of prevalence and incidence.-Study of survival.Which have been the object of different analysis according to the objectives.The first group includes those patients diagnosed of CR during the period of the study (1982 - 2001) and that are living in Tarragona province. The analysis is an observative and descriptive type, so that it allows knowledge of the impact of the disease and its incidence, as well as to evaluate possible changes in tendency and progress of the disease. As for the second group a cross section was made, begining 01-01-1989 and going on to 31-12-1996. The section set up a sample of 334 patients. From those, 275 were operated with a radical purpose. It was designed an empiric program of intensive follow up, in which patients were attached to the intensive or non intensive (control) follow up groups according to the strict fulfilment of the program. Values of odds ratio and relative risk have been applied to determine the effectiveness of treatments and follow up systems. Kaplan-Meier survival curves. In order to evaluate the impact of those different variables over the risk of relapses turn up, and over long term survival, logistic regression analysis were fulfilled.Results.Incidence and prevalence. From those 4697 diagnosed CR's, global mortality in that period was of 2591 patients (55.2%). Colorectal cancer shows a fitted tax of 21,9% with males, while in women it is of 17.8%. As for rectum neoplasm, they are of 12,8 and 6,5% respectively. The analysis on the incidence shows us a remarkable annual increase on both sexes, particularly about cancer of the colon, in wich we notice an increase in gross tax of 11% on men and 9% on women. Rectum neoplasm gives us a more moderate increase in relation to male sex (3.1%) whilst to feminine there is some tendency to its decrease (-1.4%). The average age of colon neoplasm diagnosis is placed in 68 for men and 70 for women; As for rectum neoplasm is quite similar (69 and 70 years old respectively). Despite in our province the incidence of survival is lower than in some others, a progressive improvement is noticed. After 5 years survival has increased from 42% to 49% among patients diagnosed between the periods 1985-89.Study of survival. The stage (Dukes) of those 334 patients was: stage A:4.5%; B1: 13.2%; B2: 30.8%; C1: 9.3%; C2: 25.5%; D:14.1%). In 2.7% cases Duke's stage couldn't be determined. From those 275 patients operated with a radical purpose 256 could be followed up, being distributed according to the follow-up method used on them: intensive or non intensive. There were no differences related to homogeneity (P=NS). A lower expression of carcinoembryonic antigen (CEA) was detected in women (P=0.018), differences that were significantly translated in terms of survival. In that group of patients with an increase basal CEA, survival is meaningfuly higher on women (P=0.043) while there were no difference when basal CEA was normal (P=0.132). Settling down of CEA levels after surgery is related to a lower index of suffering a local or loco-regional relapse (RR 3.1) or developing a metastasis (RR 4.2). Survival of those patients with standard CEA in front of those with raised levels is highly significant (P=0.007). Between 23.2% and 70% of patients had a relapse. Relapse at a local anastomotic level and distant metastasis turn up as the most frequent ones. Comparison of relapses in terms of ganglionar damage and/or tumoral penetration degree didn't show a statistic meaning (P=0.319). Twenty-one patients under an intensive follow-up suffered from a local endoscopic relapse and 61.9% of them could be re-operated with a radical purpose, whilst from those patients non-intensively followed-up only 25% (PConclusions.1. Survival to CRR at the province increases progressively, from 42% to 49%.2. Sigma neoplasm is the most frequent one (37.7%), followed by rectum neoplasm (34.1%).3. The first symptom of the disease conected to a better result with regard to survival is the change of defecating rate.4. CEA had a statistic value as for survival (P=0.018).5. In the analysed section there is a high index of radical purpose operated patients.6. The most frequent stage was B2 (30.8%), a fact which is connected to a diagnosis in less developed stages.7. Intensive endoscopic follow-up is connected significantly to a higher survival (P<0.001)