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

Brane Decay of a (4+n)-Dimensional Rotating Black Hole. II: spin-1 particles

The present works complements and expands a previous one, focused on the emission of scalar fields by a (4+n)-dimensional rotating black hole on the brane, by studying the emission of gauge fields on the brane from a similar black hole. A comprehensive analysis of the particle, energy and angular momentum emission rates is undertaken, for arbitrary angular momentum of the black hole and dimensionality of spacetime. Our analysis reveals the existence of a number of distinct features associated with the emission of spin-1 fields from a rotating black hole on the brane, such as the behaviour and magnitude of the different emission rates, the angular distribution of particles and energy, the relative enhancement compared to the scalar fields, and the magnitude of the superradiance effect. Apart from their theoretical interest, these features can comprise clear signatures of the emission of Hawking radiation from a brane-world black hole during its spin-down phase upon successful detection of this effect during an experiment.Comment: 35 pages, 19 figures, Latex fil

General Brane Geometries from Scalar Potentials: Gauged Supergravities and Accelerating Universes

We find broad classes of solutions to the field equations for d-dimensional gravity coupled to an antisymmetric tensor of arbitrary rank and a scalar field with non-vanishing potential. Our construction generates these configurations from the solution of a single nonlinear ordinary differential equation, whose form depends on the scalar potential. For an exponential potential we find solutions corresponding to brane geometries, generalizing the black p-branes and S-branes known for the case of vanishing potential. These geometries are singular at the origin with up to two (regular) horizons. Their asymptotic behaviour depends on the parameters of the model. When the singularity has negative tension or the cosmological constant is positive we find time-dependent configurations describing accelerating universes. Special cases give explicit brane geometries for (compact and non-compact) gauged supergravities in various dimensions, as well as for massive 10D supergravity, and we discuss their interrelation. Some examples lift to give new solutions to 10D supergravity. Limiting cases with a domain wall structure preserve part of the supersymmetries of the vacuum. We also consider more general potentials, including sums of exponentials. Exact solutions are found for these with up to three horizons, having potentially interesting cosmological interpretation. We give several additional examples which illustrate the power of our techniques.Comment: 54 pages, 6 figures. Uses JHEP3. Published versio

Reversible Random Sequential Adsorption of Dimers on a Triangular Lattice

We report on simulations of reversible random sequential adsorption of dimers on three different lattices: a one-dimensional lattice, a two-dimensional triangular lattice, and a two-dimensional triangular lattice with the nearest neighbors excluded. In addition to the adsorption of particles at a rate K+, we allow particles to leave the surface at a rate K-. The results from the one-dimensional lattice model agree with previous results for the continuous parking lot model. In particular, the long-time behavior is dominated by collective events involving two particles. We were able to directly confirm the importance of two-particle events in the simple two-dimensional triangular lattice. For the two-dimensional triangular lattice with the nearest neighbors excluded, the observed dynamics are consistent with this picture. The two-dimensional simulations were motivated by measurements of Ca++ binding to Langmuir monolayers. The two cases were chosen to model the effects of changing pH in the experimental system.Comment: 9 pages, 10 figure

Exo-hydrogenated Single Wall Carbon Nanotubes

An extensive first-principles study of fully exo-hydrogenated zigzag (n,0) and armchair (n,n) single wall carbon nanotubes (C$_n$H$_n$), polyhedral molecules including cubane, dodecahedrane, and C$_{60}$H$_{60}$ points to crucial differences in the electronic and atomic structures relevant to hydrogen storage and device applications. C$_n$H$_n$'s are estimated to be stable up to the radius of a (8,8) nanotube, with binding energies proportional to 1/R. Attaching a single hydrogen to any nanotube is always exothermic. Hydrogenation of zigzag nanotubes is found to be more likely than armchair nanotubes with similar radius. Our findings may have important implications for selective functionalization and finding a way of separating similar radius nanotubes from each other.Comment: 5 pages, 4 postscript figures, Revtex file, To be appear in Physical Review

The hyperon-nucleon interaction: conventional versus effective field theory approach

Hyperon-nucleon interactions are presented that are derived either in the conventional meson-exchange picture or within leading order chiral effective field theory. The chiral potential consists of one-pseudoscalar-meson exchanges and non-derivative four-baryon contact terms. With regard to meson-exchange hyperon-nucleon models we focus on the new potential of the Juelich group, whose most salient feature is that the contributions in the scalar--isoscalar (\sigma) and vector--isovector (\rho) exchange channels are constrained by a microscopic model of correlated \pi\pi and KKbar exchange.Comment: 28 pages, 8 figures, submitted to Lecture Notes in Physic

Clinical and genomic assessment of PD-L1 SP142 expression in triple-negative breast cancer

Purpose: The SP142 PD-L1 assay is a companion diagnostic for atezolizumab in metastatic triple-negative breast cancer (TNBC). We strove to understand the biological, genomic, and clinical characteristics associated with SP142 PD-L1 positivity in TNBC patients. Methods: Using 149 TNBC formalin-fixed paraffin-embedded tumor samples, tissue microarray (TMA) and gene expression microarrays were performed in parallel. The VENTANA SP142 assay was used to identify PD-L1 expression from TMA slides. We next generated a gene signature reflective of SP142 status and evaluated signature distribution according to TNBCtype and PAM50 subtypes. A SP142 gene expression signature was identified and was biologically and clinically evaluated on the TNBCs of TCGA, other cohorts, and on other malignancies treated with immune checkpoint inhibitors (ICI). Results: Using SP142, 28.9% of samples were PD-L1 protein positive. The SP142 PD-L1-positive TNBC had higher CD8+ T cell percentage, stromal tumor-infiltrating lymphocyte levels, and higher rate of the immunomodulatory TNBCtype compared to PD-L1-negative samples. The recurrence-free survival was prolonged in PD-L1-positive TNBC. The SP142-guided gene expression signature consisted of 94 immune-related genes. The SP142 signature was associated with a higher pathologic complete response rate and better survival in multiple TNBC cohorts. In the TNBC of TCGA, this signature was correlated with lymphocyte-infiltrating signature scores, but not with tumor mutational burden or total neoantigen count. In other malignancies treated with ICIs, the SP142 genomic signature was associated with improved response and survival. Conclusions: We provide multi-faceted evidence that SP142 PDL1-positive TNBC have immuno-genomic features characterized as highly lymphocyte-infiltrated and a relatively favorable survival

Flux Backgrounds in 2D String Theory

We study RR flux backgrounds in two dimensional type 0 string theories. In particular, we study the relation between the 0A matrix model and the extremal black hole in two dimensions. Using T-duality we find a dual flux background in type 0B theory and propose its matrix model description. When the Fermi level is set to zero this system remains weakly coupled and exhibits a larger symmetry related to the structure of flux vacua. Finally, we construct a two dimensional type IIB background as an orbifold of the 0B background.Comment: Harvmac, 40 pages, 6 figs, minor changes, references adde

Multi-Objective Optimization with an Adaptive Resonance Theory-Based Estimation of Distribution Algorithm: A Comparative Study

Proceedings of: 5th International Conference, LION 5, Rome, Italy, January 17-21, 2011.The introduction of learning to the search mechanisms of optimization algorithms has been nominated as one of the viable approaches when dealing with complex optimization problems, in particular with multi-objective ones. One of the forms of carrying out this hybridization process is by using multi-objective optimization estimation of distribution algorithms (MOEDAs). However, it has been pointed out that current MOEDAs have a intrinsic shortcoming in their model-building algorithms that hamper their performance. In this work we argue that error-based learning, the class of learning most commonly used in MOEDAs is responsible for current MOEDA underachievement. We present adaptive resonance theory (ART) as a suitable learning paradigm alternative and present a novel algorithm called multi-objective ART-based EDA (MARTEDA) that uses a Gaussian ART neural network for model-building and an hypervolume-based selector as described for the HypE algorithm. In order to assert the improvement obtained by combining two cutting-edge approaches to optimization an extensive set of experiments are carried out. These experiments also test the scalability of MARTEDA as the number of objective functions increases.This work was supported by projects CICYT TIN2008-06742-C02-02/TSI, CICYT TEC2008-06732-C02-02/TEC, CAM CONTEXTS (S2009/TIC-1485) and DPS2008-07029-C02-02.Publicad

Changes in synaptic transmission and protein expression in the brains of adult offspring after prenatal inhibition of the kynurenine pathway

During early brain development, N-methyl-d-aspartate (NMDA) receptors are involved in cell migration, neuritogenesis, axon guidance and synapse formation, but the mechanisms which regulate NMDA receptor density and function remain unclear. The kynurenine pathway of tryptophan metabolism includes an agonist (quinolinic acid) and an antagonist (kynurenic acid) at NMDA receptors and we have previously shown that inhibition of the pathway using the kynurenine-3-monoxygenase inhibitor Ro61-8048 in late gestation produces rapid changes in protein expression in the embryos and effects on synaptic transmission lasting until postnatal day 21 (P21). The present study sought to determine whether any of these effects are maintained into adulthood. After prenatal injections of Ro61-8048 the litter was allowed to develop to P60 when some offspring were euthanized and the brains removed for examination. Analysis of protein expression by Western blotting revealed significantly reduced expression of the GluN2A subunit (32%) and the morphogenetic protein sonic hedgehog (31%), with a 29% increase in the expression of doublecortin, a protein associated with neurogenesis. No changes were seen in mRNA abundance using quantitative real-time polymerase chain reaction. Neuronal excitability was normal in the CA1 region of hippocampal slices but paired-pulse stimulation revealed less inhibition at short interpulse intervals. The amount of long-term potentiation was decreased by 49% in treated pups and recovery after low-frequency stimulation was delayed. The results not only strengthen the view that basal, constitutive kynurenine metabolism is involved in normal brain development, but also show that changes induced prenatally can affect the brains of adult offspring and those changes are quite different from those seen previously at weaning (P21). Those changes may be mediated by altered expression of NMDAR subunits and sonic hedgehog