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.

Stability and Limit Oscillations of a Control Event-Based Sampling Criterion

This paper investigates the presence of limit oscillations in an adaptive sampling system. The basic sampling criterion operates in the sense that each next sampling occurs when the absolute difference of the signal amplitude with respect to its currently sampled signal equalizes a prescribed threshold amplitude. The sampling criterion is extended involving a prescribed set of amplitudes. The limit oscillations might be interpreted through the equivalence of the adaptive sampling and hold device with a nonlinear one consisting of a relay with multiple hysteresis whose parameterization is, in general, dependent on the initial conditions of the dynamic system. The performed study is performed on the time domain.

Crystal structure and phase transition studies in perovskite-type oxides using powder-diffraction techniques and symmetry-mode analysis : SrLnMRuO6 (Ln=La,Pr,Nd; M=Zn,Co,Mg,Ni,Fe) and ALn2CuTi2O9 (A=Ca,Ba; Ln=La,Pr,Nd,Sm)

La tesis se ha centrado en la síntesis y caracterización estructural de materiales tipo perovskita: SrLnMRuO6 (Ln=La,Pr,Nd; M=Zn,Co,Mg,Ni,Fe) y ALn2CuTi2O9 (A=Ca,Ba; Ln=La,Pr,Nd,Sm). El estudio de las estructuras de los materiales se ha realizado mediante el análisis de los patrones de difracción en polvo de rayos-X, sincrotrón y/o neutrones. En el refinamiento por el método de Rietveld de las estructuras se han sustituido las coordenadas atómicas (el método más común), por coordenadas colectivas: las amplitudes de los modos que describen la distorsión de la fase prototipo. Los resultados generales para la serie SrLnMRuO6 (Ln=La,Pr,Nd; M=Zn,Co,Mg,Ni) a temperatura ambiente se ha recogido en un diagrama en el que se han indicado las amplitudes de los modos que transforman de acuerdo a las irreps en función del factor de tolerancia, ya que todos ellos cristalizan en la misma fase monoclínica (P21/n); y a temperaturas altas se ha construido un diagrama de fase. Los materiales SrLnFeRuO6 ( Ln=La,Pr,Nd) y CaLn2CuTi2O9 cristalizan en la fase ortorrómbica Pbnm a temperatura ambiente; mientras que BaLn2CuTi2O9 tienen una estructura más simétrica, I4/mcm. A altas temperaturas se han identificado las transiciones de fase inducidas por el cambio de temperatura.A temperaturas bajas se han analizado las estructuras magnéticas de algunos de los compuestos mediante difracción de neutrones.

Study of crystal structure and phase transition studies in perovskite-type oxides using powder-diffraction techniques and symmetry-mode analysis.

251 p.