The Price Impact of Order Book Events

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices. Our study reveals a linear relation between order flow imbalance and price changes, with a slope inversely proportional to the market depth. These results are shown to be robust to seasonality effects, and stable across time scales and across stocks. We argue that this linear price impact model, together with a scaling argument, implies the empirically observed "square-root" relation between price changes and trading volume. However, the relation between price changes and trade volume is found to be noisy and less robust than the one based on order flow imbalance

Coherent states, constraint classes, and area operators in the new spin-foam models

Recently, two new spin-foam models have appeared in the literature, both motivated by a desire to modify the Barrett-Crane model in such a way that the imposition of certain second class constraints, called cross-simplicity constraints, are weakened. We refer to these two models as the FKLS model, and the flipped model. Both of these models are based on a reformulation of the cross-simplicity constraints. This paper has two main parts. First, we clarify the structure of the reformulated cross-simplicity constraints and the nature of their quantum imposition in the new models. In particular we show that in the FKLS model, quantum cross-simplicity implies no restriction on states. The deeper reason for this is that, with the symplectic structure relevant for FKLS, the reformulated cross-simplicity constraints, in a certain relevant sense, are now \emph{first class}, and this causes the coherent state method of imposing the constraints, key in the FKLS model, to fail to give any restriction on states. Nevertheless, the cross-simplicity can still be seen as implemented via suppression of intertwiner degrees of freedom in the dynamical propagation. In the second part of the paper, we investigate area spectra in the models. The results of these two investigations will highlight how, in the flipped model, the Hilbert space of states, as well as the spectra of area operators exactly match those of loop quantum gravity, whereas in the FKLS (and Barrett-Crane) models, the boundary Hilbert spaces and area spectra are different.Comment: 21 pages; statements about gamma limits made more precise, and minor phrasing change

Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomena is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.Comment: 8 pages; 2 figures; paper presented in APFA 6 conferenc

Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Dissociable brain mechanisms for inhibitory control: Effects of interference content and working memory capacity

In this study, event-related fMRI was used to examine whether the resolution of interference arising from two different information contents activates the same or different neuronal circuitries. In addition, we examined the extent to which these inhibitory control mechanisms are modulated by individual differences in working memory capacity. Two groups of participants with high and low working memory capacity [high span (HS) and low span (LS) participants, respectively] performed two versions of an item recognition task with familiar letters and abstract objects as stimulus materials. Interference costs were examined by means of the recent negative probe technique with otherwise identical testing conditions across both tasks. While the behavioral interference costs were of similar magnitude in both tasks, the underlying brain activation pattern differed between tasks: The object task interference-effects (higher activation in interference trials than in control trials) were restricted to the anterior intraparietal sulcus (IPS). Interference effects for familiar letters were obtained in the anterior IPS, the left postero-ventral and the right dorsolateral prefrontal cortex (PFC) as well as the precuneus. As the letters were more discernible than the objects, the results suggest that the critical feature for PFC and precuneus involvement in interference resolution is the saliency of stimulus-response mappings. The interference effects in the letter task were modulated by working memory capacity: LS participants showed enhanced activation for interference trials only, whereas for HS participants, who showed better performance and also lower interference costs in the letter task, the above-mentioned neuronal circuitry was activated for interference and control trials, thereby attenuating the interference effects. The latter results support the view that HS individuals allocate more attentional resources for the maintenance of task goals in the face of interfering information from preceding trials with familiar stimulus materials

Multipole Moments of Isolated Horizons

To every axi-symmetric isolated horizon we associate two sets of numbers, $M_n$ and $J_n$ with $n = 0, 1, 2, ...$, representing its mass and angular momentum multipoles. They provide a diffeomorphism invariant characterization of the horizon geometry. Physically, they can be thought of as the `source multipoles' of black holes in equilibrium. These structures have a variety of potential applications ranging from equations of motion of black holes and numerical relativity to quantum gravity.Comment: 25 pages, 1 figure. Minor typos corrected, reference adde

Black hole entropy from an SU(2)-invariant formulation of Type I isolated horizons

A detailed analysis of the spherically symmetric isolated horizon system is performed in terms of the connection formulation of general relativity. The system is shown to admit a manifestly SU(2) invariant formulation where the (effective) horizon degrees of freedom are described by an SU(2) Chern-Simons theory. This leads to a more transparent description of the quantum theory in the context of loop quantum gravity and modifications of the form of the horizon entropy.Comment: 30 pages, 1 figur

Generic isolated horizons in loop quantum gravity

Isolated horizons model equilibrium states of classical black holes. A detailed quantization, starting from a classical phase space restricted to spherically symmetric horizons, exists in the literature and has since been extended to axisymmetry. This paper extends the quantum theory to horizons of arbitrary shape. Surprisingly, the Hilbert space obtained by quantizing the full phase space of \textit{all} generic horizons with a fixed area is identical to that originally found in spherical symmetry. The entropy of a large horizon remains one quarter its area, with the Barbero-Immirzi parameter retaining its value from symmetric analyses. These results suggest a reinterpretation of the intrinsic quantum geometry of the horizon surface.Comment: 13 page

The Gibbs paradox, Black hole entropy and the thermodynamics of isolated horizons

This letter presents a new, solely thermodynamical argument for considering the states of the quantum isolated horizon of a black hole as distinguishable. We claim that only if the states are distinguishable, the thermodynamic entropy is an extensive quantity and can be well-defined. To show this, we make a comparison with a classical ideal gas system whose statistical description makes only sense if an additional 1/N!-factor is included in the state counting in order to cure the Gibbs paradox. The case of the statistical description of a quantum isolated horizon is elaborated, to make the claim evident.Comment: 8 pages, closest to the published version; taken from the author's diploma thesi