Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Almost optimal asynchronous rendezvous in infinite multidimensional grids

Two anonymous mobile agents (robots) moving in an asynchronous manner have to meet in an infinite grid of dimension δ> 0, starting from two arbitrary positions at distance at most d. Since the problem is clearly infeasible in such general setting, we assume that the grid is embedded in a δ-dimensional Euclidean space and that each agent knows the Cartesian coordinates of its own initial position (but not the one of the other agent). We design an algorithm permitting the agents to meet after traversing a trajectory of length O(d δ polylog d). This bound for the case of 2d-grids subsumes the main result of [12]. The algorithm is almost optimal, since the Ω(d δ) lower bound is straightforward. Further, we apply our rendezvous method to the following network design problem. The ports of the δ-dimensional grid have to be set such that two anonymous agents starting at distance at most d from each other will always meet, moving in an asynchronous manner, after traversing a O(d δ polylog d) length trajectory. We can also apply our method to a version of the geometric rendezvous problem. Two anonymous agents move asynchronously in the δ-dimensional Euclidean space. The agents have the radii of visibility of r1 and r2, respectively. Each agent knows only its own initial position and its own radius of visibility. The agents meet when one agent is visible to the other one. We propose an algorithm designing the trajectory of each agent, so that they always meet after traveling a total distance of O( ( d)), where r = min(r1, r2) and for r ≥ 1. r)δpolylog ( d r

Structural differentation of arable lands in Poland at voivodship level

Dokonano wyodrębnienia podzbiorów jednorodnych województw ze względu na ich zróżnicowanie strukturalne w zakresie poszczególnych rodzajów użytków rolnych. W wyniku przeprowadzonej analizy wyodrębniono trzy grupy województw o podobnych udziałach: gruntów ornych, sadów, użytków zielonych oraz pozostałych użytków rolnych (głównie odłogów).This article presents statistical analysis of structure of arable lands at voivodship level in Poland. Three homogenous groups can be distinguished. The groups can be described as follows: in the third group the partition of ploughland is on above 4/5 of total area of arable land, up to nearly 90%, and the area of pastures and meadows is below 15% of the total area of arable land, in the second group the partition of ploughland in the total area of arable land can be estimated at the level of 2/3 while meadows and pastures take about 1/3, in the first group the results are in between