Limit order book as a market for liquidity

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium types are obtained - the type is determined by three parameters: the degree of impatience of the patient traders, which we interpret as the cost of execution delay in providing liquidity; their proportion in the population, which is the cost of the minimal price improvement. Despite its simplicity, the model generates a rich set empirical predictions on the relation between market parameters, time to execution, and spreads. We argue that the economic intuition of this model is robust, thus its main results will remain in more general models.limit and market orders; time-to-execution; market quality

The Cost of Uncertainty in Curing Epidemics

Motivated by the study of controlling (curing) epidemics, we consider the spread of an SI process on a known graph, where we have a limited budget to use to transition infected nodes back to the susceptible state (i.e., to cure nodes). Recent work has demonstrated that under perfect and instantaneous information (which nodes are/are not infected), the budget required for curing a graph precisely depends on a combinatorial property called the CutWidth. We show that this assumption is in fact necessary: even a minor degradation of perfect information, e.g., a diagnostic test that is 99% accurate, drastically alters the landscape. Infections that could previously be cured in sublinear time now may require exponential time, or orderwise larger budget to cure. The crux of the issue comes down to a tension not present in the full information case: if a node is suspected (but not certain) to be infected, do we risk wasting our budget to try to cure an uninfected node, or increase our certainty by longer observation, at the risk that the infection spreads further? Our results present fundamental, algorithm-independent bounds that tradeoff budget required vs. uncertainty.Comment: 35 pages, 3 figure

On the type of partial t-spreads in finite projective spaces

AbstractA partial t-spread in a projective space P is a set of mutually skew t-dimensional subspaces of P. In this paper, we deal with the question, how many elements of a partial spread L can be contained in a given d-dimensional subspace of P. Our main results run as follows. If any d-dimensional subspace of P contains at least one element of L, then the dimension of P has the upper bound d−1+(d/t). The same conclusion holds, if no d-dimensional subspace contains precisely one element of L. If any d-dimensional subspace has the same number m>0 of elements of L, then L is necessarily a total t-spread. Finally, the ‘type’ of the so-called geometric t-spreads is determined explicitely

Partial ovoids and partial spreads in finite classical polar spaces

We survey the main results on ovoids and spreads, large maximal partial ovoids and large maximal partial spreads, and on small maximal partial ovoids and small maximal partial spreads in classical finite polar spaces. We also discuss the main results on the spectrum problem on maximal partial ovoids and maximal partial spreads in classical finite polar spaces

Maximal partial line spreads of non-singular quadrics

For n >= 9 , we construct maximal partial line spreads for non-singular quadrics of for every size between approximately and , for some small constants and . These results are similar to spectrum results on maximal partial line spreads in finite projective spaces by Heden, and by Gacs and SzAnyi. These results also extend spectrum results on maximal partial line spreads in the finite generalized quadrangles and by Pepe, Roing and Storme

Localized shocks

We study products of precursors of spatially local operators, $W_{x_{n}}(t_{n}) ... W_{x_1}(t_1)$, where $W_x(t) = e^{-iHt} W_x e^{iHt}$. Using chaotic spin-chain numerics and gauge/gravity duality, we show that a single precursor fills a spatial region that grows linearly in $t$. In a lattice system, products of such operators can be represented using tensor networks. In gauge/gravity duality, they are related to Einstein-Rosen bridges supported by localized shock waves. We find a geometrical correspondence between these two descriptions, generalizing earlier work in the spatially homogeneous case.Comment: 23 pages plus appendices, 12 figures. v2: minor error in Appendix B corrected. v3: figure added to the introduction comparing the butterfly effect cone with the standard light con

A spectrum result on maximal partial ovoids of the generalized quadrangle Q(4,q), q odd

In this article, we prove a spectrum result on maximal partial ovoids of the generalized quadrangle Q(4, q), q odd, i.e. for every integer k in the interval [a, b], where a approximate to q2 and b approximate to 9/10q2, there exists a maximal partial ovoid of Q(4, q), q odd, of size k. Since the generalized quadrangle IN(q) defined by a symplectic polarity of PG(3, q) is isomorphic to the dual of the generalized quadrangle Q(4, q), the same result is obtained for maximal partial spreads of 1N(q), q odd. This article concludes a series of articles on spectrum results on maximal partial ovoids of Q(4, q), on spectrum results on maximal partial spreads of VV(q), on spectrum results on maximal partial 1-systems of Q(+)(5,q), and on spectrum results on minimal blocking sets with respect to the planes of PG(3, q). We conclude this article with the tables summarizing the results

Pattern forming pulled fronts: bounds and universal convergence

We analyze the dynamics of pattern forming fronts which propagate into an unstable state, and whose dynamics is of the pulled type, so that their asymptotic speed is equal to the linear spreading speed v^*. We discuss a method that allows to derive bounds on the front velocity, and which hence can be used to prove for, among others, the Swift-Hohenberg equation, the Extended Fisher-Kolmogorov equation and the cubic Complex Ginzburg-Landau equation, that the dynamically relevant fronts are of the pulled type. In addition, we generalize the derivation of the universal power law convergence of the dynamics of uniformly translating pulled fronts to both coherent and incoherent pattern forming fronts. The analysis is based on a matching analysis of the dynamics in the leading edge of the front, to the behavior imposed by the nonlinear region behind it. Numerical simulations of fronts in the Swift-Hohenberg equation are in full accord with our analytical predictions.Comment: 27 pages, 9 figure