High Frequency Trading and Mini Flash Crashes

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity

Improving predictability of time series using maximum entropy methods

We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampling. It is shown that, at least in low dimension, there exists a subset of the space of stochastic matrices for which the MaxEnt method is more efficient than sampling, in the sense that shorter historical samples have to be considered to reach the same accuracy. Considering short samples is of particular interest when modelling smoothly non-stationary processes, for then it provides, under some conditions, a powerful forecasting tool. The method is illustrated for a discretized empirical series of exchange rates.Comment: 4 pages, 4 figure

Basic Singular Spectrum Analysis and Forecasting with R

Singular Spectrum Analysis (SSA) as a tool for analysis and forecasting of time series is considered. The main features of the Rssa package, which implements the SSA algorithms and methodology in R, are described and examples of its use are presented. Analysis, forecasting and parameter estimation are demonstrated by means of case study with an accompanying code in R

Physiological modeling of isoprene dynamics in exhaled breath

Human breath contains a myriad of endogenous volatile organic compounds (VOCs) which are reflective of ongoing metabolic or physiological processes. While research into the diagnostic potential and general medical relevance of these trace gases is conducted on a considerable scale, little focus has been given so far to a sound analysis of the quantitative relationships between breath levels and the underlying systemic concentrations. This paper is devoted to a thorough modeling study of the end-tidal breath dynamics associated with isoprene, which serves as a paradigmatic example for the class of low-soluble, blood-borne VOCs. Real-time measurements of exhaled breath under an ergometer challenge reveal characteristic changes of isoprene output in response to variations in ventilation and perfusion. Here, a valid compartmental description of these profiles is developed. By comparison with experimental data it is inferred that the major part of breath isoprene variability during exercise conditions can be attributed to an increased fractional perfusion of potential storage and production sites, leading to higher levels of mixed venous blood concentrations at the onset of physical activity. In this context, various lines of supportive evidence for an extrahepatic tissue source of isoprene are presented. Our model is a first step towards new guidelines for the breath gas analysis of isoprene and is expected to aid further investigations regarding the exhalation, storage, transport and biotransformation processes associated with this important compound.Comment: 14 page

A mathematical model for breath gas analysis of volatile organic compounds with special emphasis on acetone

Recommended standardized procedures for determining exhaled lower respiratory nitric oxide and nasal nitric oxide have been developed by task forces of the European Respiratory Society and the American Thoracic Society. These recommendations have paved the way for the measurement of nitric oxide to become a diagnostic tool for specific clinical applications. It would be desirable to develop similar guidelines for the sampling of other trace gases in exhaled breath, especially volatile organic compounds (VOCs) which reflect ongoing metabolism. The concentrations of water-soluble, blood-borne substances in exhaled breath are influenced by: (i) breathing patterns affecting gas exchange in the conducting airways; (ii) the concentrations in the tracheo-bronchial lining fluid; (iii) the alveolar and systemic concentrations of the compound. The classical Farhi equation takes only the alveolar concentrations into account. Real-time measurements of acetone in end-tidal breath under an ergometer challenge show characteristics which cannot be explained within the Farhi setting. Here we develop a compartment model that reliably captures these profiles and is capable of relating breath to the systemic concentrations of acetone. By comparison with experimental data it is inferred that the major part of variability in breath acetone concentrations (e.g., in response to moderate exercise or altered breathing patterns) can be attributed to airway gas exchange, with minimal changes of the underlying blood and tissue concentrations. Moreover, it is deduced that measured end-tidal breath concentrations of acetone determined during resting conditions and free breathing will be rather poor indicators for endogenous levels. Particularly, the current formulation includes the classical Farhi and the Scheid series inhomogeneity model as special limiting cases.Comment: 38 page

The neutron and its role in cosmology and particle physics

Experiments with cold and ultracold neutrons have reached a level of precision such that problems far beyond the scale of the present Standard Model of particle physics become accessible to experimental investigation. Due to the close links between particle physics and cosmology, these studies also permit a deep look into the very first instances of our universe. First addressed in this article, both in theory and experiment, is the problem of baryogenesis ... The question how baryogenesis could have happened is open to experimental tests, and it turns out that this problem can be curbed by the very stringent limits on an electric dipole moment of the neutron, a quantity that also has deep implications for particle physics. Then we discuss the recent spectacular observation of neutron quantization in the earth's gravitational field and of resonance transitions between such gravitational energy states. These measurements, together with new evaluations of neutron scattering data, set new constraints on deviations from Newton's gravitational law at the picometer scale. Such deviations are predicted in modern theories with extra-dimensions that propose unification of the Planck scale with the scale of the Standard Model ... Another main topic is the weak-interaction parameters in various fields of physics and astrophysics that must all be derived from measured neutron decay data. Up to now, about 10 different neutron decay observables have been measured, much more than needed in the electroweak Standard Model. This allows various precise tests for new physics beyond the Standard Model, competing with or surpassing similar tests at high-energy. The review ends with a discussion of neutron and nuclear data required in the synthesis of the elements during the "first three minutes" and later on in stellar nucleosynthesis.Comment: 91 pages, 30 figures, accepted by Reviews of Modern Physic