The position profiles of order cancellations in an emerging stock market

Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price level in the limit-order book (LOB) and the position in the queue at each price level. We study the profiles of these two order cancellation positions through rebuilding the limit-order book using the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in the year 2003. We find that the profiles of relative price levels where cancellations occur obey a log-normal distribution. After normalizing the relative price level by removing the factor of order numbers stored at the price level, we find that the profiles exhibit a power-law scaling behavior on the right tails for both buy and sell orders. When focusing on the order cancellation positions in the queue at each price level, we find that the profiles increase rapidly in the front of the queue, and then fluctuate around a constant value till the end of the queue. These profiles are similar for different stocks. In addition, the profiles of cancellation positions can be fitted by an exponent function for both buy and sell orders. These two kinds of cancellation profiles seem universal for different stocks investigated and exhibit minor asymmetry between buy and sell orders. Our empirical findings shed new light on the order cancellation dynamics and pose constraints on the construction of order-driven stock market models.Comment: 17 pages, 6 figures and 6 table

Short-range incommensurate magnetic order near the superconducting phase boundary in Fe(1+d)Te(1-x)Se(x)

We performed elastic neutron scattering and magnetization measurements on Fe(1.07)Te(0.75)Se(0.25) and FeTe(0.7)Se(0.3). Short-range incommensurate magnetic order is observed in both samples. In the former sample with higher Fe content, a broad magnetic peak appears around (0.46,0,0.5) at low temperature, while in FeTe(0.7)Se(0.3) the broad magnetic peak is found to be closer to the antiferromagnetic (AFM) wave-vector (0.5,0,0.5). The incommensurate peaks are only observed on one side of the AFM wave-vector for both samples, which can be modeled in terms of an imbalance of ferromagnetic/antiferromagnetic correlations between nearest-neighbor spins. We also find that with higher Se (and lower Fe) concentration, the magnetic order becomes weaker while the superconducting temperature and volume increase.Comment: Version as appeared in PR

Pulsenet - A Parallel Flash Sampler and Digital Processor IC for Optical SETI

PulseNet is a full-custom IC with parallel flash ADC and digital processing that enables an all-sky optical search for extraterrestrial intelligence. It integrates 448 sense amplifiers that digitize 32 analog signals at 1GS/s, and other circuits that filter samples, store candidate signals, and perform astronomical observations. Its ~250,000 CMOS transistors (TSMC 0.25μm) dissipate 1.1W at 400MHz and 2.5V

Determinants of immediate price impacts at the trade level in an emerging order-driven market

The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence, there might be other influencing factors of immediate price impacts of trades. In this paper, through mechanical analysis of price variations before and after a trade of arbitrary size, we identify that the trade size, the bid-ask spread, the price gaps and the outstanding volumes at the bid and ask sides of the limit order book have impacts on the changes of prices. We propose two regression models to investigate the influences of these microscopic factors on the price impact of buyer-initiated partially filled trades, seller-initiated partially filled trades, buyer-initiated filled trades, and seller-initiated filled trades. We find that they have quantitatively similar explanation powers and these factors can account for up to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high liquidity at the same side and low liquidity at the opposite side will cause a large price impact. We also find that the liquidity at the opposite side has a more influencing impact than the liquidity at the same side. Our results shed new lights on the determinants of immediate price impacts.Comment: 21 IOP tex pages including 5 figures and 5 tables. Accepted for publication in New Journal of Physic

Detrended fluctuation analysis for fractals and multifractals in higher dimensions

One-dimensional detrended fluctuation analysis (1D DFA) and multifractal detrended fluctuation analysis (1D MF-DFA) are widely used in the scaling analysis of fractal and multifractal time series because of being accurate and easy to implement. In this paper we generalize the one-dimensional DFA and MF-DFA to higher-dimensional versions. The generalization works well when tested with synthetic surfaces including fractional Brownian surfaces and multifractal surfaces. The two-dimensional MF-DFA is also adopted to analyze two images from nature and experiment and nice scaling laws are unraveled.Comment: 7 Revtex pages inluding 11 eps figure

Emergence of long memory in stock volatility from a modified Mike-Farmer model

The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatility (defined by absolute return) in the MF model does not show sound long memory. We propose a modified version of the MF model by including a new ingredient, that is, long memory in the aggressiveness (quantified by the relative prices) of incoming orders, which is an important stylized fact identified by analyzing the order flows of 23 liquid Chinese stocks. Long memory emerges in the volatility synthesized from the modified MF model with the DFA scaling exponent close to 0.76, and the cubic law of returns and the diffusive behavior of prices are also produced at the same time. We also find that the long memory of order signs has no impact on the long memory property of volatility, and the memory effect of order aggressiveness has little impact on the diffusiveness of stock prices.Comment: 6 pages, 6 figures and 1 tabl

Revisiting vertical structure of neutrino-dominated accretion disks: Bernoulli parameter, neutrino trapping and other distributions

We revisit the vertical structure of neutrino dominated accretion flows (NDAFs) in spherical coordinates with a new boundary condition based on the mechanical equilibrium. The solutions show that NDAF is significantly thick. The Bernoulli parameter and neutrino trapping are determined by the mass accretion rate and the viscosity parameter. According to the distribution of the Bernoulli parameter, the possible outflow may appear in the outer region of the disk. The neutrino trapping can essentially affect the neutrino radiation luminosity. The vertical structure of NDAF is like a "sandwich", and the multilayer accretion may account for the flares in gamma-ray bursts.Comment: 7 pages, 2 figures, Accepted for publication in Astrophysics & Space Scienc

A local mechanism mediates NAD-dependent protection of axon degeneration

Axon degeneration occurs frequently in neurodegenerative diseases and peripheral neuropathies. Important insight into the mechanisms of axon degeneration arose from findings that the degeneration of transected axons is delayed in Wallerian degeneration slow (Wlds) mice with the overexpression of a fusion protein with the nicotinamide adenine dinucleotide (NAD) synthetic enzyme, nicotinamide mononucleotide adenylyltransferase (Nmnat1). Although both Wlds and Nmnat1 themselves are functional in preventing axon degeneration in neuronal cultures, the underlying mechanism for Nmnat1- and NAD-mediated axon protection remains largely unclear. We demonstrate that NAD levels decrease in degenerating axons and that preventing this axonal NAD decline efficiently protects axons from degeneration. In support of a local protective mechanism, we show that the degeneration of axonal segments that have been separated from their soma could be prevented by the exogenous application of NAD or its precursor nicotinamide. Furthermore, we provide evidence that such Nmnat1/NAD-mediated protection is primarily mediated by their effects on local bioenergetics. Together, our results suggest a novel molecular pathway for axon degeneration