Pro-rata matching and one-tick futures markets

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets´ offered depths at the quotes on average exceed mean market order size by two orders of magnitude, and their order cancellation rates (the probability of any given offered lot being cancelled) are significantly over 96 per cent. We develop a simple theoretical model to ex- plain these facts, where strategic complementarities in the choice of limit order size cause traders to risk overtrading by submitting over-sized limit orders, most of which they expect to cancel

An architecture for efficient gravitational wave parameter estimation with multimodal linear surrogate models

The recent direct observation of gravitational waves has further emphasized the desire for fast, low-cost, and accurate methods to infer the parameters of gravitational wave sources. Due to expense in waveform generation and data handling, the cost of evaluating the likelihood function limits the computational performance of these calculations. Building on recently developed surrogate models and a novel parameter estimation pipeline, we show how to quickly generate the likelihood function as an analytic, closed-form expression. Using a straightforward variant of a production-scale parameter estimation code, we demonstrate our method using surrogate models of effective-one-body and numerical relativity waveforms. Our study is the first time these models have been used for parameter estimation and one of the first ever parameter estimation calculations with multi-modal numerical relativity waveforms, which include all l <= 4 modes. Our grid-free method enables rapid parameter estimation for any waveform with a suitable reduced-order model. The methods described in this paper may also find use in other data analysis studies, such as vetting coincident events or the computation of the coalescing-compact-binary detection statistic.Comment: 10 pages, 3 figures, and 1 tabl

Extracting information from the signature of a financial data stream

Market events such as order placement and order cancellation are examples of the complex and substantial flow of data that surrounds a modern financial engineer. New mathematical techniques, developed to describe the interactions of complex oscillatory systems (known as the theory of rough paths) provides new tools for analysing and describing these data streams and extracting the vital information. In this paper we illustrate how a very small number of coefficients obtained from the signature of financial data can be sufficient to classify this data for subtle underlying features and make useful predictions. This paper presents financial examples in which we learn from data and then proceed to classify fresh streams. The classification is based on features of streams that are specified through the coordinates of the signature of the path. At a mathematical level the signature is a faithful transform of a multidimensional time series. (Ben Hambly and Terry Lyons \cite{uniqueSig}), Hao Ni and Terry Lyons \cite{NiLyons} introduced the possibility of its use to understand financial data and pointed to the potential this approach has for machine learning and prediction. We evaluate and refine these theoretical suggestions against practical examples of interest and present a few motivating experiments which demonstrate information the signature can easily capture in a non-parametric way avoiding traditional statistical modelling of the data. In the first experiment we identify atypical market behaviour across standard 30-minute time buckets sampled from the WTI crude oil future market (NYMEX). The second and third experiments aim to characterise the market "impact" of and distinguish between parent orders generated by two different trade execution algorithms on the FTSE 100 Index futures market listed on NYSE Liffe

Higgs Phenomenology in the Standard Model and Beyond

The way in which the electroweak symmetry is broken in nature is currently unknown. The electroweak symmetry is theoretically broken in the Standard Model by the Higgs mechanism which generates masses for the particle content and introduces a single scalar to the particle spectrum, the Higgs boson. This particle has not yet been observed and the value of it mass is a free parameter in the Standard Model. The observation of one (or more) Higgs bosons would confirm our understanding of the Standard Model. In this thesis, we study the phenomenology of the Standard Model Higgs boson and compare its production observables to those of the Pseudoscalar Higgs boson and the lightest scalar Higgs boson of the Minimally Supersymmetric Standard Model. We study the production at both the Fermilab Tevatron and the future CERN Large Hadron Collider (LHC). In the first part of the thesis, we present the results of our calculations in the framework of perturbative QCD. In the second part, we present our resummed calculations

Errands into the Metropolis: New England Dissidents in Revolutionary London

Errands into the Metropolis offers a dramatic new interpretation of the texts and contexts of early New England literature. Jonathan Beecher Field inverts the familiar paradigm of colonization as an errand into the wilderness to demonstrate, instead, that New England was shaped and re-shaped by a series of return trips to a metropolitan London convulsed with political turmoil. In London, dissidents and their more orthodox antagonists contended for colonial power through competing narratives of their experiences in the New World. Dissidents showed a greater willingness to construct their narratives in terms that were legible to a metropolitan reader than did Massachusetts Bay\u27s apologists. As a result, representatives of a variety of marginal religious groups were able to secure a remarkable level of political autonomy, visible in the survival of Rhode Island as an independent colony.Through chapters focusing on John Cotton, Roger Williams, Samuel Gorton, John Clarke, and the Quaker martyrs, Field traces an evolving discourse on the past, present, and future of colonial New England that revises the canon of colonial New England literature and the contours of New England history. In the broader field of early American studies, Field\u27s work demonstrates the benefits of an Atlantic perspective on the material cultures of print. In the context of religious freedom, Errands into the Metropolis shows Rhode Island\u27s famous culture of toleration emerging as a pragmatic response to the conditions of colonial life, rather than as an idealistic principle. Errands into the Metropolis offers new understanding of familiar texts and events from colonial New England, and reveals the significance of less familiar texts and events