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.

Adaptive image sequence coding based on global and local compensability analysis

Our study of a novel technique for adaptive image sequence coding is reported. The number of reference frames and the intervals between them are adjusted to improve the temporal compensability of the input video. The bits are distributed more efficiently on different frame types according to temporal and spatial complexity of the image scene. Experimental results show that this dynamic group-of-picture (GOP) structure coding scheme is not only feasible but also better than the conventional fixed GOP method in terms of perceptual quality and SNR. (C) 1996 Society of Photo-Optical Instrumentation Engineers.

Superresolution by three-zone pure phase plate with 0, pi, 0 phase variation

Superresolution is very important in imaging and optical storage systems, and has attracted much attention. In this article, concentric three-zone phase plate with 0, pi, 0 phase variation has been investigated numerically to show that this kind of phase plate can be used to obtain three-dimensional superresolution. In addition, the number of intensity maximum, focal depth, focal shift, full-width half-maximum, and relative intensity of side lobe are listed for different radii of the phase zones, which paves the way for design of the phase plate. Therefore, one can choose values of radii for desired intensity distribution in focal region, such as for the purpose of radial superresolution with high focal depth in optical storage. (c) 2006 Elsevier Ltd. All rights reserved.

Insight on how fishing bats discern prey and adjust their mechanic and sensorial features during the attack sequence

Several insectivorous bats have included fish in their diet, yet little is known about the processes underlying this trophic shift. We performed three field experiments with wild fishing bats to address how they manage to discern fish from insects and adapt their hunting technique to capture fish. We show that bats react only to targets protruding above the water and discern fish from insects based on prey disappearance patterns. Stationary fish trigger short and shallow dips and a terminal echolocation pattern with an important component of the narrowband and low frequency calls. When the fish disappears during the attack process, bats regulate their attack increasing the number of broadband and high frequency calls in the last phase of the echolocation as well as by lengthening and deepening their dips. These adjustments may allow bats to obtain more valuable sensorial information and to perform dips adjusted to the level of uncertainty on the location of the submerged prey. The observed ultrafast regulation may be essential for enabling fishing to become cost-effective in bats, and demonstrates the ability of bats to rapidly modify and synchronise their sensorial and motor features as a response to last minute stimulus variations.

Variation saisonniere des structures hydrologique et dynamique du plateau continental ivoirien (VASPI I, II, III)

This data report contains all the meteorological, hydrological and dynamic data gathered during the VASPI cruises (I : from December 8th to December 13th 1982, II : from March 5th to March 9th 1983, and III : from October 6th to October 10th 1983) carried out along the continental shelf of Ivory Coast by the oceanographic ship "Andre NIZERY". These cruises, which represent a part of a coastal programme, are included in the more general scientific program FOCAL, whose main scientific objective is the study of the thermal context of the intertropical atlantic area.

Variation des bio-volumes des zooplancton du plateau continental entre le Cap des Palmes et le Cap des Trois Pointes

Three years of weekly sampling from a coastal station and 29 monthly cruises over the whole continental shelf were studied for zooplankton quantitative variation. Settled volumes were preferred to displacement volumes. At the coastal station, near Abidjan, a negative correlation was found between the log2 of zooplankton volume and the preceding fortnight temperature. On the whole shelf, the differences between the 6 considered areas were tested by the variance analysis. There were significative differences in shallow waters only (20 m). During the main cold season, the upwelling of Tabou causes a very important enrichment 30 to 60 nautical miles to the east. Eastwards the plankton drifts and decreases in abundance. The zooplankton maximum is not always inshore, but often in the middle of the shelf and sometimes over the slope. During the little cold season the enrichments caused by coastal upwelling are less abundant and restricted to smaller areas. During the warm season, the waters are uniformly poor. During the cold season, over the 60m depths, the zooplankton maximum lies between 10 and 20 m and seems to sink in deeper waters. In warm season the vertical repartition is rather homogeneous in the first 40 meters. The diel vertical migrations show a very consistent rhythm, varying with the season.

Computational study of the vortex path variation with the VG height

An extensive range of conventional, vane-type, passive vortex generators (VGs) are in use for successful applications of flow separation control. In most cases, the VG height is designed with the same thickness as the local boundary layer at the VG position. However, in some applications, these conventional VGs may produce excess residual drag. The so-called low-profile VGs can reduce the parasitic drag associated to this kind of passive control devices. As suggested by many authors, low-profile VGs can provide enough momentum transfer over a region several times their own height for effective flow-separation control with much lower drag. The main objective of this work is to study the variation of the path and the development of the primary vortex generated by a rectangular VG mounted on a flat plate with five different device heights h = delta, h(1) = 0.8 delta, h(2) = 0.6 delta, h(3) = 0.4 delta and h(4) = 0.2 delta, where delta is the local boundary layer thickness. For this purpose, computational simulations have been carried out at Reynolds number Re = 1350 based on the height of the conventional VG h = 0.25m with the angle of attack of the vane to the oncoming flow beta = 18.5 degrees. The results show that the VG scaling significantly affects the vortex trajectory and the peak vorticity generated by the primary vortex.

Phenotypic variation in Calandrinia galapagosa (Portulacaceae)

Calandrinia galapagosa St. John is found only on San Cristóbal Island in the Galápagos archipelago, where it is severely threatened by feral goats. A population at Cerro Colorado is protected by an exclosure constructed for this purpose in 1993. Individuals of this population have white or pinkish white flowers with a green stem, whereas the population at La Galapaguera, has pinkish white flowers with a purple stem.