2,770 research outputs found
Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?
This paper investigates the order in which new information is first reflected in the market – through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick quote data on all stocks in the Dow Jones Industrial Average. We show that indeed depths rather than spreads are first to impound new information that leads to new quote trends. Specifically, (bid and ask) depths convey information first in virtually every stock in both years, while spreads almost never convey information in 1998, and do so in only 8 out of 30 cases in 1995. Even in those 8 cases, the percentage of new information revealed by spreads ranges from 50 – 59% with the depths accounting for the rest. Our results have important implications for academic research on asymmetric information trading, for security market design, and for public policy.VECM, spreads, depths, information,
Quantum dynamics of an Ising spin-chain in a random transverse field
We consider an Ising spin-chain in a random transverse magnetic field and
compute the zero temperature wave vector and frequency dependent dynamic
structure factor numerically by using Jordan-Wigner transformation. Two types
of distributions of magnetic fields are introduced. For a rectangular
distribution, a dispersing branch is observed, and disorder tends to broaden
the dispersion peak and close the excitation gap. For a binary distribution, a
non-dispersing branch at almost zero energy is recovered. We discuss the
relationship of our work to the neutron scattering measurement in
.Comment: 4 pages and 6 eps figures; minor clarifications were made; the text
was shortened to add an additional figur
Sharp signature of DDW quantum critical point in the Hall coefficient of the cuprates
We study the behavior of the Hall coefficient, , in a system exhibiting
density-wave (DDW) order in a regime in which the carrier
concentration, , is tuned to approach a quantum critical point at which the
order is destroyed. At the mean-field level, we find that
evinces a sharp signature of the transition. There is a kink in
at the critical value of the carrier concentration, ; as the critical
point is approached from the ordered side, the slope of
diverges. Hall transport experiments in the cuprates, at high magnetic fields
sufficient to destroy superconductivity, should reveal this effect.Comment: 5 pages, 2 eps figure
Dynamical simulation of current fluctuations in a dissipative two-state system
Current fluctuations in a dissipative two-state system have been studied
using a novel quantum dynamics simulation method. After a transformation of the
path integrals, the tunneling dynamics is computed by deterministic integration
over the real-time paths under the influence of colored noise. The nature of
the transition from coherent to incoherent dynamics at low temperatures is
re-examined.Comment: 4 pages, 4 figures; to appear in Phys. Rev. Letter
Modulation of the local density of states within the -density wave theory in the underdoped cuprates
The low temperature scanning tunneling microscopy spectra in the underdoped
regime is analyzed from the perspective of coexisting -density wave and
d-wave superconducting states. The calculations are carried out in the presence
of a low concentration of unitary impurities and within the framework of the
fully self-consistent Bogoliubov-de Gennes theory, which allows local
modulations of the magnitude of the order parameters in response to the
impurities. Our theory captures the essential aspects of the experiments in the
underdoped BSCCO at very low temperatures.Comment: 4 pages, 4 eps figures, RevTex4. New added material as well as
reference
Theory of d-density wave viewed from a vertex model and its implications
The thermal disordering of the -density wave, proposed to be the origin of
the pseudogap state of high temperature superconductors, is suggested to be the
same as that of the statistical mechanical model known as the 6-vertex model.
The low temperature phase consists of a staggered order parameter of
circulating currents, while the disordered high temperature phase is a
power-law phase with no order. A special feature of this transition is the
complete lack of an observable specific heat anomaly at the transition. There
is also a transition at a even higher temperature at which the magnitude of the
order parameter collapses. These results are due to classical thermal
fluctuations and are entirely unrelated to a quantum critical point in the
ground state. The quantum mechanical ground state can be explored by
incorporating processes that causes transitions between the vertices, allowing
us to discuss quantum phase transition in the ground state as well as the
effect of quantum criticality at a finite temperature as distinct from the
power-law fluctuations in the classical regime. A generalization of the model
on a triangular lattice that leads to a 20-vertex model may shed light on the
Wigner glass picture of the metal-insulator transition in two-dimensional
electron gas. The power-law ordered high temperature phase may be generic to a
class of constrained systems and its relation to recent advances in the quantum
dimer models is noted.Comment: RevTex4, 10 pages, 11 figure
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