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

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

Aspects of Track-Assisted Mass

Track-assisted mass is a proxy for jet mass that only uses direction information from charged particles, allowing it to be measured at the Large Hadron Collider with very fine angular resolution. In this paper, we introduce a generalization of track-assisted mass and analyze its performance in both parton shower generators and resummed calculations. For the original track-assisted mass, the track-only mass is rescaled by the charged energy fraction of the jet. In our generalization, the rescaling factor includes both per-jet and ensemble-averaged information, facilitating a closer correspondence to ordinary jet mass. Using the track function formalism in electron-positron collisions, we calculate the spectrum of generalized track-assisted mass to next-to-leading-logarithmic order with leading-order matching. These resummed calculations provide theoretical insight into the close correspondence between track-assisted mass and ordinary jet mass. With the growing importance of jet grooming algorithms, we also calculate track-assisted mass on soft-drop groomed jets.Comment: 35+17 pages, 22 figures; v3: improvements to calculation and presentation to appear in JHE

Fully-Unintegrated Parton Distribution and Fragmentation Functions at Perturbative k_T

We define and study the properties of generalized beam functions (BFs) and fragmenting jet functions (FJFs), which are fully-unintegrated parton distribution functions (PDFs) and fragmentation functions (FFs) for perturbative k_T. We calculate at one loop the coefficients for matching them onto standard PDFs and FFs, correcting previous results for the BFs in the literature. Technical subtleties when measuring transverse momentum in dimensional regularization are clarified, and this enables us to renormalize in momentum space. Generalized BFs describe the distribution in the full four-momentum k_mu of a colliding parton taken out of an initial-state hadron, and therefore characterize the collinear initial-state radiation. We illustrate their importance through a factorization theorem for pp -> l^+ l^- + 0 jets, where the transverse momentum of the lepton pair is measured. Generalized FJFs are relevant for the analysis of semi-inclusive processes where the full momentum of a hadron, fragmenting from a jet with constrained invariant mass, is measured. Their significance is shown for the example of e^+ e^- -> dijet+h, where the perpendicular momentum of the fragmenting hadron with respect to the thrust axis is measured.Comment: Journal versio