Institutional Investors and Stock Market Volatility

We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size.

Inverse Cubic Law for the Probability Distribution of Stock Price Variations

The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A sample of 40 million data points is extracted, which is substantially larger than studied hitherto. We find an asymptotic power-law behavior for the cumulative distribution with an exponent alpha approximately 3, well outside the Levy regime 0< alpha <2.Comment: 5 pages, 4 figures, RevTex 2 figures adde

A Typology for Quantum Hall Liquids

There is a close analogy between the response of a quantum Hall liquid (QHL) to a small change in the electron density and the response of a superconductor to an externally applied magnetic flux - an analogy which is made concrete in the Chern-Simons Landau-Ginzburg (CSLG) formulation of the problem. As the Types of superconductor are distinguished by this response, so too for QHLs: a typology can be introduced which is, however, richer than that in superconductors owing to the lack of any time-reversal symmetry relating positive and negative fluxes. At the boundary between Type I and Type II behavior, the CSLG action has a "Bogomol'nyi point," where the quasi-holes (vortices) are non-interacting - at the microscopic level, this corresponds to the behavior of systems governed by a set of model Hamiltonians which have been constructed to render exact a large class of QHL wavefunctions. All Types of QHLs are capable of giving rise to quantized Hall plateaux.Comment: 4 +epsilon pages, 1 figure; v2 has added references and minor changes, version published in Phys. Rev. B. (Rapid Communications

Regulation of FcεRI Signaling in Mast Cells by G Protein-Coupled Receptor Kinase 2 and its RH Domain

Agonist-induced phosphorylation of G protein-coupled receptors (GPCRs) by GPCR kinases (GRKs) promotes their desensitization and internalization. Here, we sought to determine the role of GRK2 on FcεRI signaling and mediator release in mast cells. The strategies utilized included lentiviral shRNA-mediated GRK2 knockdown, GRK2 gene deletion (GRK2flox/flox/cre recombinase) and overexpression of GRK2 and its regulator of G protein signaling homology (RH) domain (GRK2-RH). We found that silencing GRK2 expression caused ∼50% decrease in antigen-induced Ca2+ mobilization and degranulation but resulted in ablation of cytokine (IL-6 and IL-13) generation. The effect of GRK2 on cytokine generation does not require its catalytic activity but is mediated via the phosphorylation of p38 and Akt. Overexpression of GRK2 or its RH domain (GRK2-RH) enhanced antigen-induced mast cell degranulation and cytokine generation without affecting the expression levels of any of the FcεRI subunits (α, β, and γ). GRK2 or GRK2-RH had no effect on antigen-induced phosphorylation of FcεRIγ or Src but enhanced tyrosine phosphorylation of Syk. These data demonstrate that GRK2 modulates FcεRI signaling in mast cells via at leasttwomechanisms. OneinvolvesGRK2-RHand modulates tyrosine phosphorylation of Syk, and the other is mediated via the phosphorylation of p38 and Akt. © 2014 by The American Society for Biochemistry and Molecular Biology, Inc

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