Stock-ADR Arbitrage: Microstructure Risk

This paper is the first to highlight that the stock-ADR arbitrage pair trading found by Alsayed and McGroarty (2012) is directly influenced by the market microstructure of ADRs. In Alsayed and McGroarty (2012) they are the first to demonstrate that arbitrage opportunities exist between stocks and their ADRs, through convergence pairs trading. Given that such arbitrage opportunities exist, we pose the question as to why such pair trades occur, rather than be eliminated by the law of one price? Using high frequency data over a 3 year sample period, with over 3.7 million 1-min observations, we investigate stock-ADR arbitrage pair trading. In this paper, we find pair trading returns exhibit substantial asymmetry in returns: pair trades involving ADR shorts (compared to stock shorts) have significantly less probability of loss, substantially higher returns but higher convergence risk. The asymmetric results are consistent with the market microstructure of ADR trading, specifically the sourcing of ADRs. Whilst long and short stocks can be easily sourced from the relevant markets, long and short ADR sourcing is less viable due to the market microstructure, but also, ADR’s microstructure directly impacts the stock’s price. We test our microstructure hypothesis further for robustness, with respect to specific investor types (such as retail traders), as well as during different market conditions (before, during and after the commencement of the global financial crisis), and find our results are consistent with our ADR microstructure hypothesis. This is also supported by CFD (contracts for difference) and ADR pairs trading results. Our results also confirm the results of Alsayed and McGroarty (2012) by conducting trades over a substantially longer and more varied trading period. Our results have implications for ADR markets, as well as market microstructures upon financial innovations such as exchange traded funds

Dimers, Effective Interactions, and Pauli Blocking Effects in a Bilayer of Cold Fermionic Polar Molecules

We consider a bilayer setup with two parallel planes of cold fermionic polar molecules when the dipole moments are oriented perpendicular to the planes. The binding energy of two-body states with one polar molecule in each layer is determined and compared to various analytic approximation schemes in both coordinate- and momentum-space. The effective interaction of two bound dimers is obtained by integrating out the internal dimer bound state wave function and its robustness under analytical approximations is studied. Furthermore, we consider the effect of the background of other fermions on the dimer state through Pauli blocking, and discuss implications for the zero-temperature many-body phase diagram of this experimentally realizable system.Comment: 18 pages, 10 figures, accepted versio

Search for W' bosons decaying to an electron and a neutrino with the D0 detector

This Letter describes the search for a new heavy charged gauge boson W' decaying into an electron and a neutrino. The data were collected with the D0 detector at the Fermilab Tevatron proton-antiproton Collider at a center-of-mass energy of 1.96 TeV, and correspond to an integrated luminosity of about 1 inverse femtobarn. Lacking any significant excess in the data in comparison with known processes, an upper limit is set on the production cross section times branching fraction, and a W' boson with mass below 1.00 TeV can be excluded at the 95% C.L., assuming standard-model-like couplings to fermions. This result significantly improves upon previous limits, and is the most stringent to date.Comment: submitted to Phys. Rev. Let

Search for Higgs bosons decaying to tautau pairs in ppbar collisions at sqrt(s) = 1.96 TeV

We present a search for the production of neutral Higgs bosons decaying into tautau pairs in ppbar collisions at a center-of-mass energy of 1.96 TeV. The data, corresponding to an integrated luminosity of 5.4 fb-1, were collected by the D0 experiment at the Fermilab Tevatron Collider. We set upper limits at the 95% C.L. on the product of production cross section and branching ratio for a scalar resonance decaying into tautau pairs, and we then interpret these limits as limits on the production of Higgs bosons in the minimal supersymmetric standard model (MSSM) and as constraints in the MSSM parameter space.Comment: 7 pages, 5 figures, submitted to PL

Measurement of the photon+b+b-jet production differential cross section in ppˉp\bar{p} collisions at \sqrt{s}=1.96~\TeV

We present measurements of the differential cross section dsigma/dpT_gamma for the inclusive production of a photon in association with a b-quark jet for photons with rapidities |y_gamma|< 1.0 and 30<pT_gamma <300 GeV, as well as for photons with 1.5<|y_gamma|< 2.5 and 30< pT_gamma <200 GeV, where pT_gamma is the photon transverse momentum. The b-quark jets are required to have pT>15 GeV and rapidity |y_jet| < 1.5. The results are based on data corresponding to an integrated luminosity of 8.7 fb^-1, recorded with the D0 detector at the Fermilab Tevatron $p\bar{p}$ Collider at sqrt(s)=1.96 TeV. The measured cross sections are compared with next-to-leading order perturbative QCD calculations using different sets of parton distribution functions as well as to predictions based on the kT-factorization QCD approach, and those from the Sherpa and Pythia Monte Carlo event generators.Comment: 10 pages, 9 figures, submitted to Phys. Lett.

Search for a scalar or vector particle decaying into Zgamma in ppbar collisions at sqrt(s) = 1.96 TeV

We present a search for a narrow scalar or vector resonance decaying into Zgamma with a subsequent Z decay into a pair of electrons or muons. The data for this search were collected with the D0 detector at the Fermilab Tevatron ppbar collider at a center of mass energy sqrt(s) = 1.96 TeV. Using 1.1 (1.0) fb-1 of data, we observe 49 (50) candidate events in the electron (muon) channel, in good agreement with the standard model prediction. From the combination of both channels, we derive 95% C.L. upper limits on the cross section times branching fraction (sigma x B) into Zgamma. These limits range from 0.19 (0.20) pb for a scalar (vector) resonance mass of 600 GeV/c^2 to 2.5 (3.1) pb for a mass of 140 GeV/c^2.Comment: Published by Phys. Lett.

Limits on anomalous trilinear gauge boson couplings from WW, WZ and Wgamma production in pp-bar collisions at sqrt{s}=1.96 TeV

We present final searches of the anomalous gammaWW and ZWW trilinear gauge boson couplings from WW and WZ production using lepton plus dijet final states and a combination with results from Wgamma, WW, and WZ production with leptonic final states. The analyzed data correspond to up to 8.6/fb of integrated luminosity collected by the D0 detector in pp-bar collisions at sqrt{s}=1.96 TeV. We set the most stringent limits at a hadron collider to date assuming two different relations between the anomalous coupling parameters Delta\kappa_\gamma, lambda, and Delta g_1^Z for a cutoff energy scale Lambda=2 TeV. The combined 68% C.L. limits are -0.057<Delta\kappa_\gamma<0.154, -0.015<lambda<0.028, and -0.008<Delta g_1^Z<0.054 for the LEP parameterization, and -0.007<Delta\kappa<0.081 and -0.017<lambda<0.028 for the equal couplings parameterization. We also present the most stringent limits of the W boson magnetic dipole and electric quadrupole moments.Comment: 10 pages, 5 figures, submitted to PL

Measurement of three-jet differential cross sections d sigma-3jet / d M-3jet in p anti-p collisions at sqrt(s)=1.96 TeV

We present the first measurement of the inclusive three-jet differential cross section as a function of the invariant mass of the three jets with the largest transverse momenta in an event in p anti-p collisions at sqrt(s) = 1.96 TeV. The measurement is made in different rapidity regions and for different jet transverse momentum requirements and is based on a data set corresponding to an integrated luminosity of 0.7 fb^{-1} collected with the D0 detector at the Fermilab Tevatron Collider. The results are used to test the three-jet matrix elements in perturbative QCD calculations at next-to-leading order in the strong coupling constant. The data allow discrimination between parametrizations of the parton distribution functions of the proton.Comment: 10 pages, 4 figures, 2 tables, submitted to Phys. Lett. B, corrected chi2 values for NNPD

Search for pair production of the scalar top quark in muon+tau final states

We present a search for the pair production of scalar top quarks ($\tilde{t}_{1}$), the lightest supersymmetric partners of the top quarks, in $p\bar{p}$ collisions at a center-of-mass energy of 1.96 TeV, using data corresponding to an integrated luminosity of {7.3 $fb^{-1}$} collected with the \dzero experiment at the Fermilab Tevatron Collider. Each scalar top quark is assumed to decay into a $b$ quark, a charged lepton, and a scalar neutrino ($\tilde{\nu}$). We investigate final states arising from $\tilde{t}_{1} \bar{\tilde{t}_{1}} \rightarrow b\bar{b}\mu\tau \tilde{\nu} \tilde{\nu}$ and $\tilde{t}_{1} \bar{\tilde{t}_{1}} \rightarrow b\bar{b}\tau\tau \tilde{\nu} \tilde{\nu}$. With no significant excess of events observed above the background expected from the standard model, we set exclusion limits on this production process in the ($m_{\tilde{t}_{1}}$,$m_{\tilde{\nu}}$) plane.Comment: Submitted to Phys. Lett.