142 research outputs found
Tick size and price diffusion
A tick size is the smallest increment of a security price. It is clear that
at the shortest time scale on which individual orders are placed the tick size
has a major role which affects where limit orders can be placed, the bid-ask
spread, etc. This is the realm of market microstructure and there is a vast
literature on the role of tick size on market microstructure. However, tick
size can also affect price properties at longer time scales, and relatively
less is known about the effect of tick size on the statistical properties of
prices. The present paper is divided in two parts. In the first we review the
effect of tick size change on the market microstructure and the diffusion
properties of prices. The second part presents original results obtained by
investigating the tick size changes occurring at the New York Stock Exchange
(NYSE). We show that tick size change has three effects on price diffusion.
First, as already shown in the literature, tick size affects price return
distribution at an aggregate time scale. Second, reducing the tick size
typically leads to an increase of volatility clustering. We give a possible
mechanistic explanation for this effect, but clearly more investigation is
needed to understand the origin of this relation. Third, we explicitly show
that the ability of the subordination hypothesis in explaining fat tails of
returns and volatility clustering is strongly dependent on tick size. While for
large tick sizes the subordination hypothesis has significant explanatory
power, for small tick sizes we show that subordination is not the main driver
of these two important stylized facts of financial market.Comment: To be published in the "Proceedings of Econophys-Kolkata V
International Workshop on "Econophysics of Order-driven Markets" March 9-13,
2010, The New Economic Windows series of Springer-Verlag Italia
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Unbiased, optimal, and in-betweens: the trade-off in discrete finite impulse response filtering
In this survey, the authors examine the trade-off between the unbiased, optimal, and in-between solutions in finite impulse response (FIR) filtering. Specifically, they refer to linear discrete real-time invariant state-space models with zero mean noise sources having arbitrary covariances (not obligatorily delta shaped) and distributions (not obligatorily Gaussian). They systematically analyse the following batch filtering algorithms: unbiased FIR (UFIR) subject to the unbiasedness condition, optimal FIR (OFIR) which minimises the mean square error (MSE), OFIR with embedded unbiasedness (EU) which minimises the MSE subject to the unbiasedness constraint, and optimal UFIR (OUFIR) which minimises the MSE in the UFIR estimate. Based on extensive investigations of the polynomial and harmonic models, the authors show that the OFIR-EU and OUFIR filters have higher immunity against errors in the noise statistics and better robustness against temporary model uncertainties than the OFIR and Kalman filters
The Majorana Neutrino Mass Matrix with One Texture Zero and One Vanishing Eigenvalue
Possible patterns of the Majorana neutrino mass matrix with one texture
zero and one vanishing eigenvalue are classified and discussed. We find that
three one-zero textures of with and four one-zero textures of
with are compatible with current neutrino oscillation data. The
implications of these phenomenological anstze on the neutrino mass
spectrum and the neutrinoless double beta decay are also explored in some
detail.Comment: RevTex 10 pages (with 2 PS figues). More discussions and references
adde
Implications of the KamLAND Measurement on the Lepton Flavor Mixing Matrix and the Neutrino Mass Matrix
We explore some important implications of the KamLAND measurment on the
lepton flavor mixing matrix and the neutrino mass matrix . The
model-independent constraints on nine matrix elements of are obtained to a
reasonable degree of accuracy. We find that nine two-zero textures of are
compatible with current experimental data, but two of them are only marginally
allowed. Instructive predictions are given for the absolute neutrino masses,
Majorana phases of CP violation, effective masses of the tritium beta decay and
neutrinoless double beta decay.Comment: RevTex 15 pages (4 PS figures included
Vanishing Effective Mass of the Neutrinoless Double Beta Decay?
We stress that massive neutrinos may be Majorana particles even if the
effective mass of the neutrinoless double beta decay m_ee vanishes. We show
that current neutrino oscillation data do allow m_ee = 0 to hold, if the
Majorana CP-violating phases lie in two specific regions. Strong constraints on
three neutrino masses can then be obtained. We find that the neutrino mass
spectrum performs a normal hierarchy: m_1 < m_2 < m_3. A possible texture of
the neutrino mass matrix is also illustrated under the m_ee = 0 condition.Comment: RevTex 9 pages (2 PS figures included). More discussions and
references added. Results partly changed. To appear in Phys. Rev.
Radiative Corrections to Neutrino Mixing and CP Violation in the Minimal Seesaw Model with Leptogenesis
Radiative corrections to neutrino mixing and CP violation are analyzed in the
minimal seesaw model with two heavy right-handed neutrinos. We find that
textures of the effective Majorana neutrino mass matrix are essentially stable
against renormalization effects. Taking account of the
Frampton-Glashow-Yanagida ansatz for the Dirac neutrino Yukawa coupling matrix,
we calculate the running effects of light neutrino masses, lepton flavor mixing
angles and CP-violating phases for both (normal mass hierarchy) and
(inverted mass hierarchy) cases in the standard model and in its
minimal supersymmetric extension. Very instructive predictions for the
cosmological baryon number asymmetry via thermal leptogenesis are also given
with the help of low-energy neutrino mixing quantities.Comment: 21 pages, 6 figures; more references adde
Measurement of single pi0 production in neutral current neutrino interactions with water by a 1.3 GeV wide band muon neutrino beam
Neutral current single pi0 production induced by neutrinos with a mean energy
of 1.3 GeV is measured at a 1000 ton water Cherenkov detector as a near
detector of the K2K long baseline neutrino experiment. The cross section for
this process relative to the total charged current cross section is measured to
be 0.064 +- 0.001 (stat.) +- 0.007 (sys.). The momentum distribution of
produced pi0s is measured and is found to be in good agreement with an
expectation from the present knowledge of the neutrino cross sections.Comment: 6 pages, 4 figures, Submitted to Phys. Lett.
Tracking Performance of the Scintillating Fiber Detector in the K2K Experiment
The K2K long-baseline neutrino oscillation experiment uses a Scintillating
Fiber Detector (SciFi) to reconstruct charged particles produced in neutrino
interactions in the near detector. We describe the track reconstruction
algorithm and the performance of the SciFi after three years of operation.Comment: 24pages,18 figures, and 1 table. Preprint submitted to NI
Exploring flavor structure of supersymmetry breaking from rare B decays and unitarity triangle
We study effects of supersymmetric particles in various rare B decay
processes as well as in the unitarity triangle analysis. We consider three
different supersymmetric models, the minimal supergravity, SU(5) SUSY GUT with
right-handed neutrinos, and the minimal supersymmetric standard model with U(2)
flavor symmetry. In the SU(5) SUSY GUT with right-handed neutrinos, we consider
two cases of the mass matrix of the right-handed neutrinos. We calculate direct
and mixing-induced CP asymmetries in the b to s gamma decay and CP asymmetry in
B_d to phi K_S as well as the B_s--anti-B_s mixing amplitude for the unitarity
triangle analysis in these models. We show that large deviations are possible
for the SU(5) SUSY GUT and the U(2) model. The pattern and correlations of
deviations from the standard model will be useful to discriminate the different
SUSY models in future B experiments.Comment: revtex4, 36 pages, 10 figure
Search for Charmless Two-body Baryonic Decays of B Mesons
We report the results of a search for the rare baryonic decays , , and . The analysis
is based on a data set of events collected by the
Belle detector at the KEKB collider. No statistically significant
signals are found, and we set branching fraction upper limits , , and at the 90% confidence level.Comment: 6 pages, 4 figures and 1 table. Submitted to Phys. Rev. D Rapid
Communication
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