The Price Impact of Order Book Events

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices. Our study reveals a linear relation between order flow imbalance and price changes, with a slope inversely proportional to the market depth. These results are shown to be robust to seasonality effects, and stable across time scales and across stocks. We argue that this linear price impact model, together with a scaling argument, implies the empirically observed "square-root" relation between price changes and trading volume. However, the relation between price changes and trade volume is found to be noisy and less robust than the one based on order flow imbalance

Spin Glasses: a Perspective

A brief personal perspective is given of issues, questions, formulations, methods, some answers and selected extensions posed by the spin glass problem, showing how considerations of an apparently insignificant and practically unimportant group of metallic alloys stimulated an explosion of new insights and opportunities in the general area of complex many-body systems and still is doing soComment: For publication in the proceedings of International Conference on "Equilibrium and Dynamics of Spin Glasses" (Ascona, Switzerland: April 2004). V2 has minor changes to clarify and correct typo

A new class of highly efficient exact stochastic simulation algorithms for chemical reaction networks

We introduce an alternative formulation of the exact stochastic simulation algorithm (SSA) for sampling trajectories of the chemical master equation for a well-stirred system of coupled chemical reactions. Our formulation is based on factored-out, partial reaction propensities. This novel exact SSA, called the partial propensity direct method (PDM), is highly efficient and has a computational cost that scales at most linearly with the number of chemical species, irrespective of the degree of coupling of the reaction network. In addition, we propose a sorting variant, SPDM, which is especially efficient for multiscale reaction networks.Comment: 23 pages, 3 figures, 4 tables; accepted by J. Chem. Phy

Evolutionary Robotics: a new scientific tool for studying cognition

We survey developments in Artificial Neural Networks, in Behaviour-based Robotics and Evolutionary Algorithms that set the stage for Evolutionary Robotics in the 1990s. We examine the motivations for using ER as a scientific tool for studying minimal models of cognition, with the advantage of being capable of generating integrated sensorimotor systems with minimal (or controllable) prejudices. These systems must act as a whole in close coupling with their environments which is an essential aspect of real cognition that is often either bypassed or modelled poorly in other disciplines. We demonstrate with three example studies: homeostasis under visual inversion; the origins of learning; and the ontogenetic acquisition of entrainment

CIRCE Version 1.0: Beam Spectra for Linear Collider Physics

I describe parameterizations of realistic $e^\pm$- and $\gamma$-beam spectra at future linear $e^+e^-$-colliders. Emphasis is put on simplicity and reproducibility of the parameterizations, supporting reproducible physics simulations. The parameterizations are implemented in a library of distribution functions and event generators.Comment: 26 pages, LaTeX (using amsmath.sty), PostScript figures included, paper saving version formatted for A4 available from ftp://crunch.ikp.physik.th-darmstadt.de/pub/preprints/IKDA-96-13.ps.g