839 research outputs found

    Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

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    This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset sectors. This paper aims to address the following questions: 1. Is there statistical evidence that heavy-tailed sub-exponential volume profiles occur at different levels of the Limit Order Book on the bid and ask and if so does this happen on intra or interday time scales ? 2.In futures exchanges, are heavy tail features exchange (CBOT, CME, EUREX, SGX and COMEX) or asset class (government bonds, equities and precious metals) dependent and do they happen on ultra-high (<1sec) or mid-range (1sec -10min) high frequency data? 3.Does the presence of stochastic heavy-tailed volume profile features evolve in a manner that would inform or be indicative of market participant behaviors, such as high frequency algorithmic trading, quote stuffing and price discovery intra-daily? 4. Is there statistical evidence for a need to consider dynamic behavior of the parameters of models for Limit Order Book volume profiles on an intra-daily time scale ? Progress on aspects of each question is obtained via statistically rigorous results to verify the empirical findings for an unprecedentedly large set of futures market LOB data. The data comprises several exchanges, several futures asset classes and all trading days of 2010, using market depth (Type II) order book data to 5 levels on the bid and ask

    Vibrational Studies of Some Inorganic Solids

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    The solid state vibrational spectra of various inorganic halides and cyanides are discussed, and the advantages of single-crystal methods, particularly polarised far-i.r. reflectance spectroscopy, in determining the precise nature of solid state vibrational effects are illustrated. Single-crystal data on halogenometallates containing isolated octahedral anions demonstrate the way in which the vibrations of these ions are split under the influence of the crystal field. The relationship between the spectra and structures of cross-linked octahedral anions is discussed, and the i.r. spectra of the main types of perovskite chloride (AMCl3) structures are presented. The spectra of the AHgX3 complexes are related to the presence of molecular HgX2 units in a distorted octahedral environment. The i.r. spectra of A2MCl4 and A3MCl5 crystals show most of the predicted internal modes of the approximately tetrahedral MCl42-ions present in both. The observed splittings are used to estimate the magnitude of the static and dynamic field effects in these crystals, and to establish the relationship of the splitting of the fundamental modes of the tetrahedral anions to the degree of distortion in the various structures. The selection rules operating in the low temperature spectra of the (NMe4)2MCl4 complexes are interpreted in terms of orientational disordering of the anions. The unusually high frequency of a lattice mode in the A3MCl5 complexes is attributed to the presence of free chloride ions in these structures. A number of aquochlorometallates provide examples of interesting anions, and the spectra of some of these are investigated. A band due to the stretch of the long Cu-Cl bond in K2CuCl4. 2H2O is identified, and the validity of this assignment is discussed. Far-i.r. results are also given for K2FeCl5.H2O and some aquochloromanganates. In order to explain peculiarities in the far-i.r. spectra of some ammonium halogenometallates, an attempt is made to determine the spectroscopic effects of hydrogen bonding on the fundamental and lattice vibrations of the ammonium ion. From the results obtained, a set of simple criteria for the routine detection of hydrogen bonding in these systems is proposed. Results are presented for a number of cyanometallates, including K3Fe(CN)6. The frequencies of the bands observed in the complex low frequency region of the i.r. spectrum of this complex agree well with those calculated by a published normal coordinate analysis, and help to resolve an ambiguity in the vibrational assignments. The i.r. selection rules for the (CN) modes of hexacyanometallate ions doped in KCl crystals are used to determine the local environments of the doped ions in the lattice

    The glarma Package for Observation-Driven Time Series Regression of Counts

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    We review the theory and application of generalized linear autoregressive moving average observation-driven models for time series of counts with explanatory variables and describe the estimation of these models using the R package glarma. Forecasting, diagnostic and graphical methods are also illustrated by several examples
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