Optimal execution strategies in limit order books with general shape functions

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for modeling the resilience of the LOB after a large market order: the exponential recovery of the number of limit orders, i.e., of the volume of the LOB, or the exponential recovery of the bid-ask spread. We consider both of these resilience modes and, in each case, derive explicit optimal execution strategies in discrete time. Applying our results to a block-shaped LOB, we obtain a new closed-form representation for the optimal strategy, which explicitly solves the recursive scheme given in Obizhaeva and Wang (2005). We also provide some evidence for the robustness of optimal strategies with respect to the choice of the shape function and the resilience-type

The Berlin Exoplanet Search Telescope II. Catalog of Variable Stars. I. Characterization of Three Southern Target Fields

A photometric survey of three Southern target fields with BEST II yielded the detection of 2,406 previously unknown variable stars and an additional 617 stars with suspected variability. This study presents a catalog including their coordinates, magnitudes, light curves, ephemerides, amplitudes, and type of variability. In addition, the variability of 17 known objects is confirmed, thus validating the results. The catalog contains a number of known and new variables that are of interest for further astrophysical investigations, in order to, e.g., search for additional bodies in eclipsing binary systems, or to test stellar interior models. Altogether, 209,070 stars were monitored with BEST II during a total of 128 nights in 2009/2010. The overall variability fraction of 1.2-1.5% in these target fields is well comparable to similar ground-based photometric surveys. Within the main magnitude range of $R\in\left[11,17\right]$, we identify 0.67(3)% of all stars to be eclipsing binaries, which indicates a completeness of about one third for this particular type in comparison to space surveys.Comment: accepted to A

Variability survey in the CoRoT SRa01 field: Implications of eclipsing binary distribution on cluster formation in NGC 2264

Time-series photometry of the CoRoT field SRa01 was carried out with the Berlin Exoplanet Search Telescope II (BEST II) in 2008/2009. A total of 1,161 variable stars were detected, of which 241 were previously known and 920 are newly found. Several new, variable young stellar objects have been discovered. The study of the spatial distribution of eclipsing binaries revealed the higher relative frequency of Algols toward the center of the young open cluster NGC 2264. In general Algol frequency obeys an isotropic distribution of their angular momentum vectors, except inside the cluster, where a specific orientation of the inclinations is the case. We suggest that we see the orbital plane of the binaries almost edge-on.Comment: 18 pages, 8 figures, accepted for publication in Ap

Periodic variable stars in CoRoT field LRa02 observed with BEST II

The Berlin Exoplanet Search Telescope II (BEST II) is a small wide field-of-view photometric survey telescope system located at the Observatorio Cerro Armazones, Chile. The high duty cycle combined with excellent observing conditions and millimagnitude photometric precision makes this instrument suitable for ground based support observations for the CoRoT space mission. Photometric data of the CoRoT LRa02 target field collected between November 2008 and March 2009 were analysed for stellar variability. The presented results will help in the future analysis of the CoRoT data, particularly in additional science programs related to variable stars. BEST II observes selected CoRoT target fields ahead of the space mission. The photometric data acquired are searched for stellar variability, periodic variable stars are identified with time series analysis of the obtained stellar light curves. We obtained the light curves of 104335 stars in the CoRoT LRa02 field over 41 nights. Variability was detected in light curves of 3726 stars of which 350 showed a regular period. These stars are, with the exception of 5 previously known variable stars, new discoveries.Comment: The figures with light curves can be find in the A&A journal as online onl

Derivative based global sensitivity measures

The method of derivative based global sensitivity measures (DGSM) has recently become popular among practitioners. It has a strong link with the Morris screening method and Sobol' sensitivity indices and has several advantages over them. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is generally much lower than that for estimation of Sobol' sensitivity indices. This paper presents a survey of recent advances in DGSM concerning lower and upper bounds on the values of Sobol' total sensitivity indices $S\_{i}^{tot}$. Using these bounds it is possible in most cases to get a good practical estimation of the values of $S\_{i}^{tot}$. Several examples are used to illustrate an application of DGSM

Simulations of events for the LUX-ZEPLIN (LZ) dark matter experiment

The LUX-ZEPLIN dark matter search aims to achieve a sensitivity to the WIMP-nucleon spin-independent cross-section down to (1–2)×10−12 pb at a WIMP mass of 40 GeV/c2. This paper describes the simulations framework that, along with radioactivity measurements, was used to support this projection, and also to provide mock data for validating reconstruction and analysis software. Of particular note are the event generators, which allow us to model the background radiation, and the detector response physics used in the production of raw signals, which can be converted into digitized waveforms similar to data from the operational detector. Inclusion of the detector response allows us to process simulated data using the same analysis routines as developed to process the experimental data

Projected WIMP sensitivity of the LUX-ZEPLIN dark matter experiment

LUX-ZEPLIN (LZ) is a next-generation dark matter direct detection experiment that will operate 4850 feet underground at the Sanford Underground Research Facility (SURF) in Lead, South Dakota, USA. Using a two-phase xenon detector with an active mass of 7 tonnes, LZ will search primarily for low-energy interactions with weakly interacting massive particles (WIMPs), which are hypothesized to make up the dark matter in our galactic halo. In this paper, the projected WIMP sensitivity of LZ is presented based on the latest background estimates and simulations of the detector. For a 1000 live day run using a 5.6-tonne fiducial mass, LZ is projected to exclude at 90% confidence level spin-independent WIMP-nucleon cross sections above 1.4×10-48 cm2 for a 40 GeV/c2 mass WIMP. Additionally, a 5σ discovery potential is projected, reaching cross sections below the exclusion limits of recent experiments. For spin-dependent WIMP-neutron(-proton) scattering, a sensitivity of 2.3×10-43 cm2 (7.1×10-42 cm2) for a 40 GeV/c2 mass WIMP is expected. With underground installation well underway, LZ is on track for commissioning at SURF in 2020

Identification of Radiopure Titanium for the LZ Dark Matter Experiment and Future Rare Event Searches

The LUX-ZEPLIN (LZ) experiment will search for dark matter particle interactions with a detector containing a total of 10 tonnes of liquid xenon within a double-vessel cryostat. The large mass and proximity of the cryostat to the active detector volume demand the use of material with extremely low intrinsic radioactivity. We report on the radioassay campaign conducted to identify suitable metals, the determination of factors limiting radiopure production, and the selection of titanium for construction of the LZ cryostat and other detector components. This titanium has been measured with activities of $^{238}$U$_{e}$~$<$1.6~mBq/kg, $^{238}$U$_{l}$~$<$0.09~mBq/kg, $^{232}$Th$_{e}$~$=0.28\pm 0.03$~mBq/kg, $^{232}$Th$_{l}$~$=0.25\pm 0.02$~mBq/kg, $^{40}$K~$<$0.54~mBq/kg, and $^{60}$Co~$<$0.02~mBq/kg (68\% CL). Such low intrinsic activities, which are some of the lowest ever reported for titanium, enable its use for future dark matter and other rare event searches. Monte Carlo simulations have been performed to assess the expected background contribution from the LZ cryostat with this radioactivity. In 1,000 days of WIMP search exposure of a 5.6-tonne fiducial mass, the cryostat will contribute only a mean background of $0.160\pm0.001$(stat)$\pm0.030$(sys) counts.Comment: 13 pages, 3 figures, accepted for publication in Astroparticle Physic

Food Sharing across Borders

Evolutionary models consider hunting and food sharing to be milestones that paved the way from primate to human societies. Because fossil evidence is scarce, hominoid primates serve as referential models to assess our common ancestors’ capacity in terms of communal use of resources, food sharing, and other forms of cooperation. Whereas chimpanzees form male-male bonds exhibiting resource-defense polygyny with intolerance and aggression toward nonresidents, bonobos form male-female and female-female bonds resulting in relaxed relations with neighboring groups. Here we report the first known case of meat sharing between members of two bonobo communities, revealing a new dimension of social tolerance in this species. This observation testifies to the behavioral plasticity that exists in the two Pan species and contributes to scenarios concerning the traits of the last common ancestor of Pan and Homo. It also contributes to the discussion of physiological triggers of in-group/out-group behavior and allows reconsideration of the emergence of social norms in prehuman societies