Realtime market microstructure analysis: online Transaction Cost Analysis

Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading performance. It also gives theoretical foundations to a generic framework for real-time trading analysis. Academic literature provides different ways to formalize these algorithms and show how optimal they can be from a mean-variance, a stochastic control, an impulse control or a statistical learning viewpoint. This paper is agnostic about the way the algorithm has been built and provides a theoretical formalism to identify in real-time the market conditions that influenced its efficiency or inefficiency. For a given set of characteristics describing the market context, selected by a practitioner, we first show how a set of additional derived explanatory factors, called anomaly detectors, can be created for each market order. We then will present an online methodology to quantify how this extended set of factors, at any given time, predicts which of the orders are underperforming while calculating the predictive power of this explanatory factor set. Armed with this information, which we call influence analysis, we intend to empower the order monitoring user to take appropriate action on any affected orders by re-calibrating the trading algorithms working the order through new parameters, pausing their execution or taking over more direct trading control. Also we intend that use of this method in the post trade analysis of algorithms can be taken advantage of to automatically adjust their trading action.Comment: 33 pages, 12 figure

Simple Methods to Represent Shapes with Sample Spheres

Representing complex shapes with simple primitives in high accuracy is important for a variety of applications in computer graphics and geometry processing. Existing solutions may produce suboptimal samples or are complex to implement. We present methods to approximate given shapes with user-tunable number of spheres to balance between accuracy and simplicity: touching medial/scale-axis polar balls and k-means smallest enclosing circles. Our methods are easy to implement, run efficiently, and can approach quality similar to manual construction.Comment: SIGGRAPH Asia 2020 Technical Communication

Measurement of the double-differential inclusive jet cross section in proton-proton collisions at s\sqrt{s} = 5.02 TeV

International audienceThe inclusive jet cross section is measured as a function of jet transverse momentum $p_\mathrm{T}$ and rapidity $y$. The measurement is performed using proton-proton collision data at $\sqrt{s}$ = 5.02 TeV, recorded by the CMS experiment at the LHC, corresponding to an integrated luminosity of 27.4 pb$^{-1}$. The jets are reconstructed with the anti-$k_\mathrm{T}$ algorithm using a distance parameter of $R$ = 0.4, within the rapidity interval $\lvert y\rvert$$\lt$ 2, and across the kinematic range 0.06 $\lt$$p_\mathrm{T}$$\lt$ 1 TeV. The jet cross section is unfolded from detector to particle level using the determined jet response and resolution. The results are compared to predictions of perturbative quantum chromodynamics, calculated at both next-to-leading order and next-to-next-to-leading order. The predictions are corrected for nonperturbative effects, and presented for a variety of parton distribution functions and choices of the renormalization/factorization scales and the strong coupling $\alpha_\mathrm{S}$

Measurement of the double-differential inclusive jet cross section in proton-proton collisions at s\sqrt{s} = 5.02 TeV

International audienceThe inclusive jet cross section is measured as a function of jet transverse momentum $p_\mathrm{T}$ and rapidity $y$. The measurement is performed using proton-proton collision data at $\sqrt{s}$ = 5.02 TeV, recorded by the CMS experiment at the LHC, corresponding to an integrated luminosity of 27.4 pb$^{-1}$. The jets are reconstructed with the anti-$k_\mathrm{T}$ algorithm using a distance parameter of $R$ = 0.4, within the rapidity interval $\lvert y\rvert$$\lt$ 2, and across the kinematic range 0.06 $\lt$$p_\mathrm{T}$$\lt$ 1 TeV. The jet cross section is unfolded from detector to particle level using the determined jet response and resolution. The results are compared to predictions of perturbative quantum chromodynamics, calculated at both next-to-leading order and next-to-next-to-leading order. The predictions are corrected for nonperturbative effects, and presented for a variety of parton distribution functions and choices of the renormalization/factorization scales and the strong coupling $\alpha_\mathrm{S}$

Measurement of the double-differential inclusive jet cross section in proton-proton collisions at s= \sqrt{s} = 5.02 TeV

The inclusive jet cross section is measured as a function of jet transverse momentum $p_{\mathrm{T}}$ and rapidity $y$. The measurement is performed using proton-proton collision data at $\sqrt{s} =$ 5.02 TeV, recorded by the CMS experiment at the LHC, corresponding to an integrated luminosity of 27.4$\,\text{pb}^{-1}$. The jets are reconstructed with the anti-$k_{\mathrm{T}}$ algorithm using a distance parameter of $R=$ 0.4, within the rapidity interval $|y| <$ 2, and across the kinematic range 0.06 $< p_{\mathrm{T}} <$ 1 TeV. The jet cross section is unfolded from detector to particle level using the determined jet response and resolution. The results are compared to predictions of perturbative quantum chromodynamics, calculated at both next-to-leading order and next-to-next-to-leading order. The predictions are corrected for nonperturbative effects, and presented for a variety of parton distribution functions and choices of the renormalization/factorization scales and the strong coupling $\alpha_\mathrm{S}$.The inclusive jet cross section is measured as a function of jet transverse momentum $p_\mathrm{T}$ and rapidity $y$. The measurement is performed using proton-proton collision data at $\sqrt{s}$ = 5.02 TeV, recorded by the CMS experiment at the LHC, corresponding to an integrated luminosity of 27.4 pb$^{-1}$. The jets are reconstructed with the anti-$k_\mathrm{T}$ algorithm using a distance parameter of $R$ = 0.4, within the rapidity interval $\lvert y\rvert$$\lt$ 2, and across the kinematic range 0.06 $\lt$$p_\mathrm{T}$$\lt$ 1 TeV. The jet cross section is unfolded from detector to particle level using the determined jet response and resolution. The results are compared to predictions of perturbative quantum chromodynamics, calculated at both next-to-leading order and next-to-next-to-leading order. The predictions are corrected for nonperturbative effects, and presented for a variety of parton distribution functions and choices of the renormalization/factorization scales and the strong coupling $\alpha_\mathrm{S}$

Two-particle Bose-Einstein correlations and their Lévy parameters in PbPb collisions at sNN\sqrt{s_\mathrm{NN}} = 5.02 TeV

Two-particle Bose-Einstein momentum correlation functions are studied for charged-hadron pairs in lead-lead collisions at a center-of-mass energy per nucleon pair of $\sqrt{s_\mathrm{NN}}$ = 5.02 TeV. The data sample, containing 4.27$\times10^{9}$ minimum bias events corresponding to an integrated luminosity of 0.607 nb$^{-1}$, was collected by the CMS experiment in 2018. The experimental results are discussed in terms of a L\'evy-type source distribution. The parameters of this distribution are extracted as functions of particle pair average transverse mass and collision centrality. These parameters include the L\'evy index or shape parameter ($\alpha$), the L\'evy scale parameter ($R$), and the correlation strength parameter ($\lambda$). The source shape, characterized by $\alpha$, is found to be neither Cauchy nor Gaussian, implying the need for a full L\'evy analysis. Similarly to what was previously found for systems characterized by Gaussian source radii, a hydrodynamical scaling is observed for the L\'evy $R$ parameter. The $\lambda$ parameter is studied in terms of the core-halo model.Comment: Submitted to Physical Review C. All figures and tables can be found at http://cms-results.web.cern.ch/cms-results/public-results/publications/HIN-21-011 (CMS Public Pages

Measurement of the double-differential inclusive jet cross section in proton-proton collisions at s\sqrt{s} = 5.02 TeV

International audienceThe inclusive jet cross section is measured as a function of jet transverse momentum $p_\mathrm{T}$ and rapidity $y$. The measurement is performed using proton-proton collision data at $\sqrt{s}$ = 5.02 TeV, recorded by the CMS experiment at the LHC, corresponding to an integrated luminosity of 27.4 pb$^{-1}$. The jets are reconstructed with the anti-$k_\mathrm{T}$ algorithm using a distance parameter of $R$ = 0.4, within the rapidity interval $\lvert y\rvert$$\lt$ 2, and across the kinematic range 0.06 $\lt$$p_\mathrm{T}$$\lt$ 1 TeV. The jet cross section is unfolded from detector to particle level using the determined jet response and resolution. The results are compared to predictions of perturbative quantum chromodynamics, calculated at both next-to-leading order and next-to-next-to-leading order. The predictions are corrected for nonperturbative effects, and presented for a variety of parton distribution functions and choices of the renormalization/factorization scales and the strong coupling $\alpha_\mathrm{S}$

Measurement of the double-differential inclusive jet cross section in proton-proton collisions at s\sqrt{s} = 5.02 TeV

International audienceThe inclusive jet cross section is measured as a function of jet transverse momentum $p_\mathrm{T}$ and rapidity $y$. The measurement is performed using proton-proton collision data at $\sqrt{s}$ = 5.02 TeV, recorded by the CMS experiment at the LHC, corresponding to an integrated luminosity of 27.4 pb$^{-1}$. The jets are reconstructed with the anti-$k_\mathrm{T}$ algorithm using a distance parameter of $R$ = 0.4, within the rapidity interval $\lvert y\rvert$$\lt$ 2, and across the kinematic range 0.06 $\lt$$p_\mathrm{T}$$\lt$ 1 TeV. The jet cross section is unfolded from detector to particle level using the determined jet response and resolution. The results are compared to predictions of perturbative quantum chromodynamics, calculated at both next-to-leading order and next-to-next-to-leading order. The predictions are corrected for nonperturbative effects, and presented for a variety of parton distribution functions and choices of the renormalization/factorization scales and the strong coupling $\alpha_\mathrm{S}$

Search for stealth supersymmetry in final states with two photons, jets, and low missing transverse momentum in proton-proton collisions at s\sqrt{s} = 13 TeV

International audienceThe results of a search for stealth supersymmetry in final states with two photons and jets, targeting a phase space region with low missing transverse momentum ($p_\text{T}^\text{miss}$), are reported. The study is based on a sample of proton-proton collisions at $\sqrt{s}$ =13 TeV collected by the CMS experiment, corresponding to an integrated luminosity of 138 fb$^{-1}$. As LHC results continue to constrain the parameter space of the minimal supersymmetric standard model, the low $p_\text{T}^\text{miss}$ regime is increasingly valuable to explore. To estimate the backgrounds due to standard model processes in such events, we apply corrections derived from simulation to an estimate based on a control selection in data. The results are interpreted in the context of simplified stealth supersymmetry models with gluino and squark pair production. The observed data are consistent with the standard model predictions, and gluino (squark) masses of up to 2150 (1850) GeV are excluded at the 95% confidence level

Search for narrow trijet resonances in proton-proton collisions at s\sqrt{s} = 13 TeV

International audienceThe first search for narrow resonances decaying to three well-separated hadronic jets is presented. The search uses proton-proton collision data corresponding to an integrated luminosity of 138 fb$^{-1}$ at $\sqrt{s}$ = 13 TeV, collected at the CERN LHC. No significant deviations from the background predictions are observed between 1.75-9.00 TeV. The results provide the first mass limits on a right-handed boson Z$_{\mathrm{R}}$ decaying to three gluons, an excited quark decaying via a vector boson to three quarks, as well as updated limits on a Kaluza-Klein gluon decaying via a radion to three gluons