Order flow dynamics around extreme price changes on an emerging stock market

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid-ask spread, and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak. The volume of buy market orders increases faster and the corresponding peak appears earlier than for sell market orders around positive events, while the volume peak of sell market orders leads buy market orders in the magnitude and time around negative events. When orders are divided into four groups according to their aggressiveness, we find that the behaviors of order volume and order number are similar, except for buy limit orders and canceled orders that the peak of order number postpones two minutes later after the peak of order volume, implying that investors placing large orders are more informed and play a central role in large price fluctuations. We also study the relative rates of different types of orders and find differences in the dynamics of relative rates between buy orders and sell orders and between individual investors and institutional investors. There is evidence showing that institutions behave very differently from individuals and that they have more aggressive strategies. Combing these findings, we conclude that institutional investors are more informed and play a more influential role in driving large price fluctuations.Comment: 22 page

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the "$q$-Gamma" function for fitting the distribution by the Cram\'{e}r-von Mises criterion. The empirical PDFs of trading volumes at different timescales $\Delta{t}$ ranging from 1 min to 240 min can be well modeled. The applicability of the $q$-Gamma functions for multiple trades is restricted to the transaction numbers $\Delta{n}\leqslant8$. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents $\alpha$ of the distribution of trade sizes and trading volumes, we get $\alpha>2$, well outside the L{\'e}vy regime.Comment: 7 pages, 5 figures and 4 table

Research of the active reflector antenna using laser angle metrology system

Active reflector is one of the key technologies for constructing large telescopes, especially for the millimeter/sub-millimeter radio telescopes. This article introduces a new efficient laser angle metrology system for the active reflector antenna of the large radio telescopes, with a plenty of active reflector experiments mainly about the detecting precisions and the maintaining of the surface shape in real time, on the 65-meter radio telescope prototype constructed by Nanjing Institute of Astronomical Optics and Technology (NIAOT). The test results indicate that the accuracy of the surface shape segmenting and maintaining is up to micron dimension, and the time-response can be of the order of minutes. Therefore, it is proved to be workable for the sub-millimeter radio telescopes.Comment: 10 pages, 15 figure

Learning to Generate Posters of Scientific Papers

Researchers often summarize their work in the form of posters. Posters provide a coherent and efficient way to convey core ideas from scientific papers. Generating a good scientific poster, however, is a complex and time consuming cognitive task, since such posters need to be readable, informative, and visually aesthetic. In this paper, for the first time, we study the challenging problem of learning to generate posters from scientific papers. To this end, a data-driven framework, that utilizes graphical models, is proposed. Specifically, given content to display, the key elements of a good poster, including panel layout and attributes of each panel, are learned and inferred from data. Then, given inferred layout and attributes, composition of graphical elements within each panel is synthesized. To learn and validate our model, we collect and make public a Poster-Paper dataset, which consists of scientific papers and corresponding posters with exhaustively labelled panels and attributes. Qualitative and quantitative results indicate the effectiveness of our approach.Comment: in Proceedings of the 30th AAAI Conference on Artificial Intelligence (AAAI'16), Phoenix, AZ, 201

Reevaluation of the density dependence of nucleon radius and mass in the global color symmetry model of QCD

With the global color symmetry model (GCM) at finite chemical potential, the density dependence of the bag constant, the total energy and the radius of a nucleon in nuclear matter is investigated. A relation between the nuclear matter density and the chemical potential with the action of QCD being taken into account is obtained. A maximal nuclear matter density for the existence of the bag with three quarks confined within is given. The calculated results indicate that, before the maximal density is reached, the bag constant and the total energy of a nucleon decrease, and the radius of a nucleon increases slowly, with the increasing of the nuclear matter density. As the maximal nuclear matter density is reached, the mass of the nucleon vanishes and the radius becomes infinite suddenly. It manifests that a phase transition from nucleons to quarks takes place.Comment: 18 pages, 3 figure

Study on separation characteristics of two-phase flow in double helical separator

The helical separator plays an important role in improving the working efficiency of electric submersible pump. Separation efficiency of two-phase flow in double helical separator is studied by numerical simulation and theoretical calculation. It is found that the separation efficiency of helical separator increases with the increase of gas-liquid ratio and flow rate. At the same time, under the condition of constant helical number and gas-liquid ratio, the separation efficiency is best when the even difference of pitch is 10 mm