50,794 research outputs found
Behind the price: on the role of agent's reflexivity in financial market microstructure
In this chapter we review some recent results on the dynamics of price
formation in financial markets and its relations with the efficient market
hypothesis. Specifically, we present the limit order book mechanism for markets
and we introduce the concepts of market impact and order flow, presenting their
recently discovered empirical properties and discussing some possible
interpretation in terms of agent's strategies. Our analysis confirms that
quantitative analysis of data is crucial to validate qualitative hypothesis on
investors' behavior in the regulated environment of order placement and to
connect these micro-structural behaviors to the properties of the collective
dynamics of the system as a whole, such for instance market efficiency. Finally
we discuss the relation between some of the described properties and the theory
of reflexivity proposing that in the process of price formation positive and
negative feedback loops between the cognitive and manipulative function of
agents are present.Comment: 12 pages, 1 figur
The Collapse of the Soviet Union and the Productivity of American Mathematicians
It has been difficult to open up the black box of knowledge production. We use unique international data on the publications, citations, and affiliations of mathematicians to examine the impact of a large post-1992 influx of Soviet mathematicians on the productivity of their American counterparts. We find a negative productivity effect on those mathematicians whose research overlapped with that of the Soviets. We also document an increased mobility rate (to lower-quality institutions and out of active publishing) and a reduced likelihood of producing âhome runâ papers. Although the total product of the pre-existing American mathematicians shrank, the Soviet contribution to American mathematics filled in the gap. However, there is no evidence that the Soviets greatly increased the size of the âmathematics pie.â Finally, we find that there are significant international differences in the productivity effects of the collapse of the Soviet Union, and that these international differences can be explained by both differences in the size of the Ă©migrĂ© flow into the various countries and in how connected each country is to the global market for mathematical publications.
Detector Efficiency Limits on Quantum Improvement
Although the National Institute of Standards and Technology has measured the
intrinsic quantum efficiency of Si and InGaAs APD materials to be above 98 % by
building an efficient compound detector, commercially available devices have
efficiencies ranging between 15 % and 75 %. This means bandwidth, dark current,
cost, and other factors are more important than quantum efficiency for existing
applications. This paper systematically examines the generic detection process,
lays out the considerations needed for designing detectors for non-classical
applications, and identifies the ultimate physical limits on quantum
efficiency.Comment: LaTeX, 7 pages, 3 figure
On the Limited Communication Analysis and Design for Decentralized Estimation
This paper pertains to the analysis and design of decentralized estimation
schemes that make use of limited communication. Briefly, these schemes equip
the sensors with scalar states that iteratively merge the measurements and the
state of other sensors to be used for state estimation. Contrarily to commonly
used distributed estimation schemes, the only information being exchanged are
scalars, there is only one common time-scale for communication and estimation,
and the retrieval of the state of the system and sensors is achieved in
finite-time. We extend previous work to a more general setup and provide
necessary and sufficient conditions required for the communication between the
sensors that enable the use of limited communication decentralized
estimation~schemes. Additionally, we discuss the cases where the sensors are
memoryless, and where the sensors might not have the capacity to discern the
contributions of other sensors. Based on these conditions and the fact that
communication channels incur a cost, we cast the problem of finding the minimum
cost communication graph that enables limited communication decentralized
estimation schemes as an integer programming problem.Comment: Updates on the paper in CDC 201
A New Galaxy in the Local Group: the Antlia Dwarf Galaxy
We report the discovery of new member of the Local Group in the constellation
of Antlia. Optically the system appears to be a typical dwarf spheroidal galaxy
of type dE3.5 with no apparent young blue stars or unusual features. A
color-magnitude diagram in I, V-I shows the tip of the red giant branch, giving
a distance modulus of 25.3 +/- 0.2 (1.15 Mpc +/- 0.1) and a metallicity of -1.6
+/- 0.3. Although Antlia is in a relatively isolated part of the Local Group it
is only 1.2 degrees away on the sky from the Local Group dwarf NGC3109, and may
be an associated system.Comment: AJ in press, 15 pages, 7 figures, figure 2 in b/w for space saving,
full postscript version available at
http://www.ast.cam.ac.uk/~gkth/antlia-pp.htm
Polarization of the \lya Halos Around Sources Before Cosmological Reionization
In Loeb & Rybicki (1999; paper I) it was shown that before reionization, the
scattering of \lya photons from a cosmological source might lead to a fairly
compact () \lya halo around the source. Observations of such halos
could constrain the properties of the neutral intergalactic medium (IGM), and
in particular yield the cosmological density parameters of baryons and matter
on scales where the Hubble flow is unperturbed. Paper I did not treat the
polarization of this scattered radiation, but did suggest that the degree of
such polarization might be large. In this Letter we report on improved
calculations for these \lya halos, now accounting for the polarization of the
radiation field. The polarization is linear and is oriented tangentially to the
projected displacement from the center of the source. The degree of
polarization is found to be 14% at the core radius, where the intensity has
fallen to half of the central value. It rises to 32% and 45% at the radii where
the intensity has fallen to one-tenth and one-hundreth of the central
intensity, respectively. At larger radii the degree of polarization rises
further, asymptotically to 60%. Such high values of polarization should be
easily observable and provide a clear signature of the phenomenon of \lya halos
surrounding sources prior to reionization.Comment: 8 pages, 2 Postscript figures, accepted by Astrophysical Journal
Letters; some typos corrected; added two paragraphs at the end of section 3
concerning detectability of Lyman alpha halo
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