Order flow dynamics around extreme price changes on an emerging stock market

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid-ask spread, and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak. The volume of buy market orders increases faster and the corresponding peak appears earlier than for sell market orders around positive events, while the volume peak of sell market orders leads buy market orders in the magnitude and time around negative events. When orders are divided into four groups according to their aggressiveness, we find that the behaviors of order volume and order number are similar, except for buy limit orders and canceled orders that the peak of order number postpones two minutes later after the peak of order volume, implying that investors placing large orders are more informed and play a central role in large price fluctuations. We also study the relative rates of different types of orders and find differences in the dynamics of relative rates between buy orders and sell orders and between individual investors and institutional investors. There is evidence showing that institutions behave very differently from individuals and that they have more aggressive strategies. Combing these findings, we conclude that institutional investors are more informed and play a more influential role in driving large price fluctuations.Comment: 22 page

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the "$q$-Gamma" function for fitting the distribution by the Cram\'{e}r-von Mises criterion. The empirical PDFs of trading volumes at different timescales $\Delta{t}$ ranging from 1 min to 240 min can be well modeled. The applicability of the $q$-Gamma functions for multiple trades is restricted to the transaction numbers $\Delta{n}\leqslant8$. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents $\alpha$ of the distribution of trade sizes and trading volumes, we get $\alpha>2$, well outside the L{\'e}vy regime.Comment: 7 pages, 5 figures and 4 table

Progress on genetic polymorphism associated with diabetic retinopathy

Diabetic retinopathy(DR)is one of the most serious complications of diabetes, as the second general blindness disease in the world currently. The development of procedures for prevention and treatment of DR is one of the most important problems that should be solved currently. A lot of researches show that the development of DR is determined by genetics. The current research advance in DR relevant gene is reviewed in this article

Neutrino Masses, Lepton Flavor Mixing and Leptogenesis in the Minimal Seesaw Model

We present a review of neutrino phenomenology in the minimal seesaw model (MSM), an economical and intriguing extension of the Standard Model with only two heavy right-handed Majorana neutrinos. Given current neutrino oscillation data, the MSM can predict the neutrino mass spectrum and constrain the effective masses of the tritium beta decay and the neutrinoless double-beta decay. We outline five distinct schemes to parameterize the neutrino Yukawa-coupling matrix of the MSM. The lepton flavor mixing and baryogenesis via leptogenesis are investigated in some detail by taking account of possible texture zeros of the Dirac neutrino mass matrix. We derive an upper bound on the CP-violating asymmetry in the decay of the lighter right-handed Majorana neutrino. The effects of the renormalization-group evolution on the neutrino mixing parameters are analyzed, and the correlation between the CP-violating phenomena at low and high energies is highlighted. We show that the observed matter-antimatter asymmetry of the Universe can naturally be interpreted through the resonant leptogenesis mechanism at the TeV scale. The lepton-flavor-violating rare decays, such as $\mu \to e + \gamma$, are also discussed in the supersymmetric extension of the MSM.Comment: 50 pages, 22 EPS figures, macro file ws-ijmpe.cls included, accepted for publication in Int. J. Mod. Phys.

Information-Theoretic Measure of Genuine Multi-Qubit Entanglement

We consider pure quantum states of N qubits and study the genuine N-qubit entanglement that is shared among all the N qubits. We introduce an information-theoretic measure of genuine N-qubit entanglement based on bipartite partitions. When N is an even number, this measure is presented in a simple formula, which depends only on the purities of the partially reduced density matrices. It can be easily computed theoretically and measured experimentally. When N is an odd number, the measure can also be obtained in principle.Comment: 5 pages, 2 figure