Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics

Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill asymmetries. We show that certain properties of the conditional dynamics at a single time scale such as a characteristic shape of an asymmetry generating component of the conditional probability distribution result in the "elementary" market mill pattern. This asymmetry generating component matches the empirical distribution obtained from the market data. We discuss these properties as a mixture of trend-preserving and contrarian strategies used by market agents. Three basic types of asymmetry patterns characterizing individual stocks are outlined. Multiple time scale considerations make the resulting "composite" mill similar to the empirical market mill patterns. Multiscale model also reflects a multi-agent nature of the market.Comment: Typo's correcte

Open Access eXchange (OAeX): an economic model and platform for fundraising open scholarship services

This article describes the Open Access eXchange (OAeX) project, a pragmatic and comprehensive economic model and fundraising platform for open scholarship initiatives. OAeX connects bidders with funders at scale and right across the open scholarship spectrum through crowdfunding: financial expenditure is regulated by a market of freely competing providers and financial transactions and transparency are assured by a clearing-house entity. Specifically, OAeX seeks to facilitate open access publishing without the barrier of article processing charges (APCs), as well as contribute to solving challenges of transparency and economic sustainability in open scholarship projects in the broader sense

Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution

Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the bivariate probability distribution P(x,y) [1,2,3,4]. There are two properties, the market mill asymmetries of P(x,y) and predictability due to nonzero z-shaped mean conditional response, that are of special importance. Main goal of the present paper is to put together a model reproducing both the z-shaped mean conditional response and the market mill asymmetry of P(x,y) with respect to the axis y=0. We develop a probabilistic model based on a multi-component ansatz for conditional distribution P(y|x) with push-dependent weights and means describing both properties. A relationship between the market mill asymmetry and predictability is discussed. A possible connection of the model to agent-based picture is outlined

Theory of pairing symmetry inside the Abrikosov vortex core

We show that the Cooper pair wave function at the center of an Abrikosov vortex with vorticity m has different parity with respect to frequency from that in the bulk if m is an odd number and has the same parity if m is an even number. As a result, in a conventional vortex with m=1, the local density of states at the Fermi energy has a maximum (minimum) at the center of the vortex core in even(odd)-frequency superconductor. We propose a scanning tunneling microscope experiment using a superconducting tip to explore odd-frequency superconductivity.Comment: 5 pages, 3 figure