Returns, Volatility and Liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders

This paper investigates the information content of the two types of limit orders on the Australian Stock Exchange ASX: undisclosed orders (ULOs) and limit orders. Given the large order quantity contained in ULOs, we attempt to examine the impact of ULO submissions, cancellations and executions on price changes and volatility over differing intervals within a day. Motivation is generated by the ASX decision to abolish the use of ULOs in favour of iceberg orders. Intraday analysis shows that the impact of both ULO and disclosed order submissions are no longer than one day. ULO buying/selling order submissions at the best bid/ask price increase/decrease returns and price volatility significantly more than disclosed orders. The cancellations of ULOs cause significantly larger price volatility than disclosed limit order cancellations. Compared with disclosed limit order submissions, there is an increase in liquidity from the significantly reduced spread upon DLO submissions.Intraday effects, Return volatility, Undisclosed limit orders

Detection-Recovery Gap for Planted Dense Cycles

Planted dense cycles are a type of latent structure that appears in many applications, such as small-world networks in social sciences and sequence assembly in computational biology. We consider a model where a dense cycle with expected bandwidth $n \tau$ and edge density $p$ is planted in an Erd\H{o}s-R\'enyi graph $G(n,q)$. We characterize the computational thresholds for the associated detection and recovery problems for the class of low-degree polynomial algorithms. In particular, a gap exists between the two thresholds in a certain regime of parameters. For example, if $n^{-3/4} \ll \tau \ll n^{-1/2}$ and $p = C q = \Theta(1)$ for a constant $C>1$, the detection problem is computationally easy while the recovery problem is hard for low-degree algorithms.Comment: 40 pages, 1 figur

Electronic noise of warm electrons in semiconductors from first-principles

The ab-initio theory of low-field electronic transport properties such as carrier mobility in semiconductors is well-established. However, an equivalent treatment of electronic fluctuations about a non-equilibrium steady state, which are readily probed experimentally, remains less explored. Here, we report a first-principles theory of electronic noise for warm electrons in semiconductors. In contrast with typical numerical methods used for electronic noise, no adjustable parameters are required in the present formalism, with the electronic band structure and scattering rates calculated from first-principles. We demonstrate the utility of our approach by applying it to GaAs and show that spectral features in AC transport properties and noise originate from the disparate time scales of momentum and energy relaxation, despite the dominance of optical phonon scattering. Our formalism enables a parameter-free approach to probe the microscopic transport processes that give rise to electronic noise in semiconductors

How to project a bipartite network?

The one-mode projecting is extensively used to compress the bipartite networks. Since the one-mode projection is always less informative than the bipartite representation, a proper weighting method is required to better retain the original information. In this article, inspired by the network-based resource-allocation dynamics, we raise a weighting method, which can be directly applied in extracting the hidden information of networks, with remarkably better performance than the widely used global ranking method as well as collaborative filtering. This work not only provides a creditable method in compressing bipartite networks, but also highlights a possible way for the better solution of a long-standing challenge in modern information science: How to do personal recommendation?Comment: 7 pages, 4 figure

Activating KRAS Mutations in Arteriovenous Malformations of the Brain: Frequency and Clinicopathologic Correlation

Arteriovenous malformations (AVM) of the brain are considered congenital. Most AVMs are presumably sporadic, however rare familial cases occur and they may be observed in certain genetic disorders. We sought to determine the frequency of KRAS mutations and their association with clinicopathologic characteristics. We searched our neuropathology database from 2014–2017 for resected AVMs of the brain or dura mater. Twenty-one AVMs were tested (12 females, 9 males; average age: 32 years). KRAS mutations were found in 6/21 cases (28.5%). Five mutations were p.G12 V, and one p.G12C. The KRAS-mutant group contained 4 females and 2 males, with an average age of 28 years, compared to 34 years in the non-mutant group (P = .54). The average AVM size in the KRAS-mutant group was 3.9 cm, compared to 3.1 cm in the non-mutant group (P = .52). There were no histologic differences between KRAS-mutant and non-mutant cases. In summary, KRAS mutations occur in almost one third of brain AVMs. KRAS p.G12 V was the most common mutation identified. We also demonstrate the first reported instance of a KRAS p.G12C mutation in a brain AVM. The mean age of patients with KRAS-mutant AVMs was lower than the non-mutant group, and the mean size larger. Histologic characteristics were equally distributed between KRAS-mutant and non-mutant groups

The Digital Life of Walkable Streets

Walkability has many health, environmental, and economic benefits. That is why web and mobile services have been offering ways of computing walkability scores of individual street segments. Those scores are generally computed from survey data and manual counting (of even trees). However, that is costly, owing to the high time, effort, and financial costs. To partly automate the computation of those scores, we explore the possibility of using the social media data of Flickr and Foursquare to automatically identify safe and walkable streets. We find that unsafe streets tend to be photographed during the day, while walkable streets are tagged with walkability-related keywords. These results open up practical opportunities (for, e.g., room booking services, urban route recommenders, and real-estate sites) and have theoretical implications for researchers who might resort to the use social media data to tackle previously unanswered questions in the area of walkability.Comment: 10 pages, 7 figures, Proceedings of International World Wide Web Conference (WWW 2015

Dipole-field-assisted charge extraction in metal-perovskite-metal back-contact solar cells

Hybrid organic-inorganic halide perovskites are low-cost solution-processable solar cell materials with photovoltaic properties that rival those of crystalline silicon. The perovskite films are typically sandwiched between thin layers of hole and electron transport materials, which efficiently extract photogenerated charges. This affords high-energy conversion efficiencies but results in significant performance and fabrication challenges. Herein we present a simple charge transport layer-free perovskite solar cell (PSC), comprising only a perovskite layer with two interdigitated gold back-contacts. Charge extraction is achieved via self-assembled molecular monolayers (SAMs) and their associated dipole fields at the metal/perovskite interface. Photovoltages of approximately 600 mV generated by SAM-modified PSCs are equivalent to the built-in potential generated by individual dipole layers. Efficient charge extraction results in photocurrents of up to 12.1 mA/cm2 under simulated sunlight, despite a large electrode spacing.Comment: 18 pages, 5 figure