A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

In this paper, we investigate the buy and sell arrivl process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data from the Australian Stock Exchange (ASX), we show that the buy-sell pressure is particularly influenced by recent market and limit orders and the current depth in the ask and bid queue. We find evidence for the hypothesis that traders use order book information in order to infer from the price setting behavior of market participants. Furthermore, our results indicate that the buy-sell pressure is clearly predictable and is a significant determinant of trade-to-trade returns and volatility.buy and sell arrival process; order book information; market depth; bivariate autoregressive intensity model; buy-sell exces intensity

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data from the Australian Stock Exchange (ASX), we show that the buy-sell pressure is particularly influenced by recent market and limit orders and the current depth in the ask and bid queue. We find evidence for the hypothesis that traders use order book information in order to infer from the price setting behavior of market participants. Furthermore, our results indicate that the buy-sell pressure is clearly predictable and is a significant determinant of trade-to-trade returns and volatility.buy and sell arrival process; order book information; market depth; bivariate autoregressive intensity model; buy-sell excess intensity

Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?

A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an otherwise centralized pool. We address the question of how this mechanism impacts trade prices and volatility, both empirically and via a new model of trading with CCLs. We find empirically that CCLs cause little impact on trade. However, our model highlights that in extreme situations, CCLs could serve to destabilize prices and thereby influence systemic risk

Plausible Expositions with Possible Expeditions

Influenced by video games and cinema, in this body of work, Plausible Expositions with Possible Expeditions, I use objects to create scenarios that suggest a narrative. The scenes are then photographed and displayed through cathode-ray tube televisions and viewers use their own knowledge and ideas about the objects to create that narrative. Each of these objects has is own data set, and the most common have a universal data set—information surrounding the object that is widely recognized, much like how a crowbar is commonly associated with crime. Similar to playing a video game, an algorithm is used when viewing my work (data) + their knowledge (data sets) = narrative (new data). When this algorithm is applied, my work promotes active viewing as opposed to passive observation

Adjudicating between face-coding models with individual-face fMRI responses.

The perceptual representation of individual faces is often explained with reference to a norm-based face space. In such spaces, individuals are encoded as vectors where identity is primarily conveyed by direction and distinctiveness by eccentricity. Here we measured human fMRI responses and psychophysical similarity judgments of individual face exemplars, which were generated as realistic 3D animations using a computer-graphics model. We developed and evaluated multiple neurobiologically plausible computational models, each of which predicts a representational distance matrix and a regional-mean activation profile for 24 face stimuli. In the fusiform face area, a face-space coding model with sigmoidal ramp tuning provided a better account of the data than one based on exemplar tuning. However, an image-processing model with weighted banks of Gabor filters performed similarly. Accounting for the data required the inclusion of a measurement-level population averaging mechanism that approximates how fMRI voxels locally average distinct neuronal tunings. Our study demonstrates the importance of comparing multiple models and of modeling the measurement process in computational neuroimaging.This work was supported by the European Research Council (261352 awarded to NK), the UK Medical Research Council (MC_A060_5PR2 awarded to NK), and a British Academy Postdoctoral Fellowship (JDC)

Conservation of regulatory elements between two species of Drosophila

BACKGROUND: One of the important goals in the post-genomic era is to determine the regulatory elements within the non-coding DNA of a given organism's genome. The identification of functional cis-regulatory modules has proven difficult since the component factor binding sites are small and the rules governing their arrangement are poorly understood. However, the genomes of suitably diverged species help to predict regulatory elements based on the generally accepted assumption that conserved blocks of genomic sequence are likely to be functional. To judge the efficacy of strategies that prefilter by sequence conservation it is important to know to what extent the converse assumption holds, namely that functional elements common to both species will fall within these conserved blocks. The recently completed sequence of a second Drosophila species provides an opportunity to test this assumption for one of the experimentally best studied regulatory networks in multicellular organisms, the body patterning of the fly embryo. RESULTS: We find that 50%–70% of known binding sites reside in conserved sequence blocks, but these percentages are not greatly enriched over what is expected by chance. Finally, a computational genome-wide search in both species for regulatory modules based on clusters of binding sites suggests that genes central to the regulatory network are consistently recovered. CONCLUSIONS: Our results indicate that binding sites remain clustered for these "core modules" while not necessarily residing in conserved blocks. This is an important clue as to how regulatory information is encoded in the genome and how modules evolve

Spring weights of some Palaearctic passerines in Ethiopia and Kenya: evidence for important migration staging areas in eastern Ethiopia

Palaearctic migrants were trapped in late April and early May at a passage site near Jijiga in eastern Ethiopia. Willow Warblers Phylloscopus trochilus and Spotted Flycatchers Muscicapa striata were predominant, while Red-backed Shrikes Lanius collurio, Sedge Warblers Acrocephalus schoenobaenus, Reed Warblers A. scirpaceus, Garden Warblers Sylvia borin and Common Whitethroats S. communis also featured prominently. Weights were high in all species, and over 70% of the birds caught were extremely fat. Spring weights and fat scores at Jijiga were compared with those found in the same species in Kenya, and the difference was striking. In Kenya, most species had mean spring weights 10–20% above lean weight; at Jijiga, species’ mean weights ranged from 30% to 55% above lean weight. Whereas the reserves of most migrants departing from Kenya would have supported flights only as far as Ethiopia, the fat loads of birds at Jijiga indicated a potential for crossing Arabia with little need to feed. This suggests important staging and fattening grounds between these two areas, perhaps in the Acacia–Commiphora bushlands drained by the upper Juba and Shebelle rivers and their tributaries

Principal infinity-bundles - General theory

The theory of principal bundles makes sense in any infinity-topos, such as that of topological, of smooth, or of otherwise geometric infinity-groupoids/infinity-stacks, and more generally in slices of these. It provides a natural geometric model for structured higher nonabelian cohomology and controls general fiber bundles in terms of associated bundles. For suitable choices of structure infinity-group G these G-principal infinity-bundles reproduce the theories of ordinary principal bundles, of bundle gerbes/principal 2-bundles and of bundle 2-gerbes and generalize these to their further higher and equivariant analogs. The induced associated infinity-bundles subsume the notions of gerbes and higher gerbes in the literature. We discuss here this general theory of principal infinity-bundles, intimately related to the axioms of Giraud, Toen-Vezzosi, Rezk and Lurie that characterize infinity-toposes. We show a natural equivalence between principal infinity-bundles and intrinsic nonabelian cocycles, implying the classification of principal infinity-bundles by nonabelian sheaf hyper-cohomology. We observe that the theory of geometric fiber infinity-bundles associated to principal infinity-bundles subsumes a theory of infinity-gerbes and of twisted infinity-bundles, with twists deriving from local coefficient infinity-bundles, which we define, relate to extensions of principal infinity-bundles and show to be classified by a corresponding notion of twisted cohomology, identified with the cohomology of a corresponding slice infinity-topos. In a companion article [NSSb] we discuss explicit presentations of this theory in categories of simplicial (pre)sheaves by hyper-Cech cohomology and by simplicial weakly-principal bundles; and in [NSSc] we discuss various examples and applications of the theory.Comment: 46 pages, published versio