Market Power in the Spanish Electricity Auction

Published as an article in: Journal of Regulatory Economics, 2010, vol. 37, issue 1, pages 42-69.

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

This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost 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.

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 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.

Extended ageing time and temperature effects on quality of sub-primal cuts of boxed beef

[EN]Most of the information indicating ageing improves tenderness has been collected on the loin and rib-eye muscles over relatively short ageing times, assuming that all muscles will react similarly. In the present study, the effect of extended ageing times on instrumental texture (56 d) and sensory characteristics (42 d) of six different beef sub-primals [striploin (SL), inside round (IR), outside round (OR), eye of round (ER), blade eye (BE) and chuck tender (CT)] was studied. The effects of two ageing temperatures (1and 58C) were also compared. In general, ageing increased tenderness (P<0.05) of SL, BE, ER and CT sub-primals, although BE shear force increased after 42 d of ageing. On the other hand, ageing had no effect on IR tenderness (P<0.05) and resulted in a decrease in tenderness of OR (P<0.05) until day 35, with a later increase after 42 d of ageing. Increasing ageing temperature (58C) had limited effect on tenderness, but ageing time and temperature increases led to lower flavour and higher off-flavour intensity (P<0.05) of the studied sub-primals. These results suggest that cutspecific maximum ageing times and rigid adherence to temperature maximums would be of benefit to optimize postslaughter processes and meat quality

Breed effect on quality veal production in mountain areas: Emphasis on meat

This study was designed to compare the quality of veal produced from ‘Tudanca x Charolais’ cross (n=6) and Limousin (n=6) breeds when allowed to feed freely on mountain pastures and suckle naturally from birth to 7 months of age. After 80 days of age calves also had access to concentrate (maximum of 3 Kg/day), while mothers did not. At slaughter, Limousin calves were heavier (P<0.01) and provided better carcass yield (P<0.05) and conformation (P<0.001) than Tudanca calves. Tudanca beef provided higher fat content (P<0.05) was less tough (P<0.05), and was scored as more tender and juicy (P<0.1) with higher acceptability than Limousin beef (P<0.1). In general, Tudanca had a better fatty acid profile than Limousin beef, especially in terms of the content of polyunsaturated (P<0.05), long-chain polyunsaturated fatty acids (P<0.05) and their n-6/n-3 ratios (P<0.1), as well as vaccenic acid (P<0.1) and the overall trans-18:1 isomer profile.

Electronic spectroscopy of propofol, propofol homomers ad their hydratated clusters

538 p.

Sobre los errores locales y globales de la integración de Ecuaciones Diferenciales Ordinarias mediante métodos de Runge-Kutta Explícitos

161 p.

Diseño del circuito neumático de una máquina conformadora

[ES]Este trabajo de fin de grado se basa en el diseño de un circuito neumático para una máquina conformadora. El diseño se efectúa con el programa Fluidsim. Primeramente se define un esquema de los movimientos básicos que se realiza en la conformación. Para el diseño del circuito se desarrollan dos posibles soluciones. Más tarde, se verifica su funcionamiento en el panel del Laboratorio de la Escuela de Ingenieros de Bilbao y se dimensionarán los elementos del circuito para un caso concreto. Por último, se extraerán las conclusiones pertinentes de cada circuito ensayado.

Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market

[EN] The aim of this paper is to study systematic liquidity at the Euronext Lisbon Stock Exchange. The motivation for this research is provided by the growing interest in financial literature about stock liquidity and the implications of commonality in liquidity for asset pricing since it could represent a source of non-diversifiable risk. Namely, it is analysed whether there exist common factors that drive the variation in individual stock liquidity and the causes of the inter-temporal variation of aggregate liquidity. Monthly data for the period between January 1988 and December 2011 is used to compute some of the most used proxies for liquidity: bid-ask spreads, turnover rate, trading volume, proportion of zero returns and the illiquidity ratio. Following Chordia et al. (2000) methodology, some evidence of commonality in liquidity is found in the Portuguese stock market when the proportion of zero returns is used as a measure of liquidity. In relation to the factors that drive the inter-temporal variation of the Portuguese stock market liquidity, the results obtained within a VAR framework suggest that changes in real economy activity, monetary policy (proxied by changes in monetary aggregate M1) and stock market returns play an important role as determinants of commonality in liquidity.