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 “home run” 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 “mathematics pie.” 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 émigré 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 ($\sim 15''$) \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