Studies of the limit order book around large price changes

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.Comment: 19 pages, 7 figure

Vector Meson Mixing and Charge Symmetry Violation

We discuss the consistency of the traditional vector meson dominance (VMD) model for photons coupling to matter, with the vanishing of vector meson-meson and meson-photon mixing self-energies at q^2=0. This vanishing of vector mixing has been demonstrated in the context of rho-omega mixing for a large class of effective theories. As a further constraint on such models, we here apply them to a study of photon-meson mixing and VMD. As an example we compare the predicted momentum dependence of one such model with a momentum-dependent version of VMD discussed by Sakurai in the 1960's. We find that it produces a result which is consistent with the traditional VMD phenomenology. We conclude that comparison with VMD phenomenology can provide a useful constraint on such models.Comment: 7 pages, uses epsfig.sty. Publication details added to title pag

Anatomy of Spin-Transfer Torque

Spin-transfer torques occur in magnetic heterostructures because the transverse component of a spin current that flows from a non-magnet into a ferromagnet is absorbed at the interface. We demonstrate this fact explicitly using free electron models and first principles electronic structure calculations for real material interfaces. Three distinct processes contribute to the absorption: (1) spin-dependent reflection and transmission; (2) rotation of reflected and transmitted spins; and (3) spatial precession of spins in the ferromagnet. When summed over all Fermi surface electrons, these processes reduce the transverse component of the transmitted and reflected spin currents to nearly zero for most systems of interest. Therefore, to a good approximation, the torque on the magnetization is proportional to the transverse piece of the incoming spin current.Comment: 16 pages, 8 figures, submitted to Phys. Rev.

Gaussian Tunneling Model of c-Axis Twist Josephson Junctions

We calculate the critical current density $J^J_c$ for c-axis Josephson tunneling between identical high temperature superconductors twisted an angle $\phi_0$ about the c-axis. We model the tunneling matrix element squared as a Gaussian in the change of wavevector q parallel to the junction, $<|t({\bf q})|^2>\propto\exp(-{\bf q}^2a^2/2\pi^2\sigma^2)$. The $J^J_c(\phi_0)/J^J_c(0)$ obtained for the s- and extended-s-wave order parameters (OP's) are consistent with the Bi$_2$Sr$_2$CaCu$_2$O$_{8+\delta}$ data of Li {\it et al.}, but only for strongly incoherent tunneling, $\sigma^2\ge0.25$. A $d_{x^2-y^2}$-wave OP is always inconsistent with the data. In addition, we show that the apparent conventional sum rule violation observed by Basov et al. might be understandable in terms of incoherent c-axis tunneling, provided that the OP is not $d_{x^2-y^2}$-wave.Comment: 6 pages, 6 figure

Top Squarks and Bottom Squarks in the MSSM with Complex Parameters

We present a phenomenological study of top squarks (~t_1,2) and bottom squarks (~b_1,2) in the Minimal Supersymmetric Standard Model (MSSM) with complex parameters A_t, A_b, \mu and M_1. In particular we focus on the CP phase dependence of the branching ratios of (~t_1,2) and (~b_1,2) decays. We give the formulae of the two-body decay widths and present numerical results. We find that the effect of the phases on the (~t_1,2) and (~b_1,2) decays can be quite significant in a large region of the MSSM parameter space. This could have important implications for (~t_1,2) and (~b_1,2) searches and the MSSM parameter determination in future collider experiments. We have also estimated the accuracy expected in the determination of the parameters of ~t_i and ~b_i by a global fit of the measured masses, decay branching ratios and production cross sections at e^+ e^- linear colliders with polarized beams. Analysing two scenarios, we find that the fundamental parameters apart from A_t and A_b can be determined with errors of 1% to 2%, assuming an integrated luminosity of 1 ab^-1 and a sufficiently large c.m.s. energy to produce also the heavier ~t_2 and ~b_2 states. The parameter A_t can be determined with an error of 2 - 3%, whereas the error on A_b is likely to be of the order of 50%.Comment: 31 pages, 8 figures, comments and references added, conclusions unchanged; version to appear in Phys. Rev.

Relativistically invariant analysis of Δ\Delta --isobar production in deuteron electrodisintegration: e−+d→e−+Δ+N:e^-+d\to e^-+\Delta +N: general analysis of polarization effects

The differential cross section and the polarization observables for $\Delta$--isobar production in the deuteron electrodisintegration process, $e^-+d\to e^-+\Delta +N$, are calculated in a general formalism based on structure functions. The obtained expressions have a general nature, hold for one--photon--exchange, assuming P--invariance of the electromagnetic interaction and the conservation of the hadron electromagnetic current. The dependence of the differential cross section of the $e^-+d\to e^- +\Delta +N$ reaction on the vector and tensor polarizations of the deuteron target with unpolarized and longitudinally polarized electrons is considered. The general dependence of the asymmetries on two of five kinematic variables, the azimuthal angle $\phi$ and $\epsilon$ (linear polarization of the virtual photon) is calculated. A similar analysis is performed for the polarization of the nucleon produced in $\gamma ^*d \to \Delta N$ reaction provided the electron beam is unpolarized or longitudinally polarized. Polarization effects, which are due to the strong $\Delta N-$ interaction in the final state are calculated. The photoproduction of the $\Delta$--isobar on the deuteron target has been considered in detail, as a particular case. The differential cross section and various polarization observables have been derived in terms of the reaction amplitudes. The polarization observables due to the linear and circular polarizations of the photon, when the deuteron target is arbitrarily polarized have been derived in terms of the reaction amplitudes. The polarization of the final nucleon is also considered.Comment: 52 page

Phenomenology of the Lense-Thirring effect in the Solar System

Recent years have seen increasing efforts to directly measure some aspects of the general relativistic gravitomagnetic interaction in several astronomical scenarios in the solar system. After briefly overviewing the concept of gravitomagnetism from a theoretical point of view, we review the performed or proposed attempts to detect the Lense-Thirring effect affecting the orbital motions of natural and artificial bodies in the gravitational fields of the Sun, Earth, Mars and Jupiter. In particular, we will focus on the evaluation of the impact of several sources of systematic uncertainties of dynamical origin to realistically elucidate the present and future perspectives in directly measuring such an elusive relativistic effect.Comment: LaTex, 51 pages, 14 figures, 22 tables. Invited review, to appear in Astrophysics and Space Science (ApSS). Some uncited references in the text now correctly quoted. One reference added. A footnote adde

Recovering Joys Law as a Function of Solar Cycle, Hemisphere, and Longitude

Bipolar active regions in both hemispheres tend to be tilted with respect to the East West equator of the Sun in accordance with Joys law that describes the average tilt angle as a function of latitude. Mt. Wilson observatory data from 1917 to 1985 are used to analyze the active-region tilt angle as a function of solar cycle, hemisphere, and longitude, in addition to the more common dependence on latitude. Our main results are as follows: i) We recommend a revision of Joys law toward a weaker dependence on latitude (slope of 0.13 to 0.26) and without forcing the tilt to zero at the Equator. ii) We determine that the hemispheric mean tilt value of active regions varies with each solar cycle, although the noise from a stochastic process dominates and does not allow for a determination of the slope of Joys law on an 11-year time scale. iii) The hemispheric difference in mean tilt angles, 1.1 degrees + 0.27, over Cycles 16 to 21 was significant to a three-sigma level, with average tilt angles in the northern and southern hemispheres of 4.7 degrees + 0.26 and 3.6 degrees + 0.27 respectively. iv) Area-weighted mean tilt angles normalized by latitude for Cycles 15 to 21 anticorrelate with cycle strength for the southern hemisphere and whole-Sun data, confirming previous results by Dasi-Espuig, Solanki, Krivova, et al. (2010, Astron. Astrophys. 518, A7). The northern hemispheric mean tilt angles do not show a dependence on cycle strength. vi) Mean tilt angles do not show a dependence on longitude for any hemisphere or cycle. In addition, the standard deviation of the mean tilt is 29 to 31 degrees for all cycles and hemispheres indicating that the scatter is due to the same consistent process even if the mean tilt angles vary.Comment: 13 pages, 4 figures, 3 table

Evidence for a mixed mass composition at the `ankle' in the cosmic-ray spectrum

We report a first measurement for ultra-high energy cosmic rays of the correlation between the depth of shower maximum and the signal in the water Cherenkov stations of air-showers registered simultaneously by the fluorescence and the surface detectors of the Pierre Auger Observatory. Such a correlation measurement is a unique feature of a hybrid air-shower observatory with sensitivity to both the electromagnetic and muonic components. It allows an accurate determination of the spread of primary masses in the cosmic-ray flux. Up till now, constraints on the spread of primary masses have been dominated by systematic uncertainties. The present correlation measurement is not affected by systematics in the measurement of the depth of shower maximum or the signal in the water Cherenkov stations. The analysis relies on general characteristics of air showers and is thus robust also with respect to uncertainties in hadronic event generators. The observed correlation in the energy range around the `ankle' at $\lg(E/{\rm eV})=18.5-19.0$ differs significantly from expectations for pure primary cosmic-ray compositions. A light composition made up of proton and helium only is equally inconsistent with observations. The data are explained well by a mixed composition including nuclei with mass $A > 4$. Scenarios such as the proton dip model, with almost pure compositions, are thus disfavoured as the sole explanation of the ultrahigh-energy cosmic-ray flux at Earth.Comment: Published version. Added journal reference and DOI. Added Report Numbe