Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange

Much research has demonstrated the existence of patterns in high-frequency equity returns, return volatility, bid-ask spreads and trading volume. In this paper, we employ a new test for detecting periodicities based on a signal coherence function. The technique is applied to the returns, bid-ask spreads, and trading volume of thirty stocks traded on the NYSE. We are able to confirm previous findings of an inverse J-shaped pattern in spreads and volume through the day. We also demonstrate that such intraday effects dominate day of the week seasonalities in spreads and volumes, while there are virtually no significant periodicities in the returns data. Our approach can also leads to a natural method for forecasting the time series, and we find that, particularly in the case of the volume series, the predictions are considerably more accurate than those from naïve methods.spectral analysis, peridocities, seasonality, intraday paterns, bid-ask spread, trading volume

A Spatial Model of Leftist Ideological Shifts in Arab Politics

In this paper we use a Downsian spatial model to explain the political motivation behind the choice of Marxist/Leninist ideology by a number of non-communist leftist parties in the Arab nationalist movement. We assume that the attempts of these parties to distinguish their position from the strict M/L position generates perceptual ambiguities in the minds of the people. Given our assumptions about citizen utility functions, we derive the result that leftist parties gains supporters as they move towards the M/L position

An Investigation of the Cycle Extraction Properties of Several Bandpass Filters Used to Identify Business Cycles

The purpose of this article is to investigate the ability of bandpass filters commonly used in economics to extract a known periodicity. The specific bandpass filters investigated include a Discrete Fourier Transform (DFT) filter, together with those proposed by Hodrick and Prescott (1997) and Baxter and King (1999). Our focus on the cycle extraction properties of these filters reflects the lack of attention that has been given to this issue in the literature, when compared, for example, to studies of the trend removal properties of some of these filters. The artificial data series we use are designed so that one periodicity deliberately falls within the passband while another falls outside. The objective of a filter is to admit the ‘bandpass’ periodicity while excluding the periodicity that falls outside the passband range. We find that the DFT filter has the best extraction properties. The filtered data series produced by both the Hodrick-Prescott and Baxter-King filters are found to admit low frequency components that should have been excluded

Semicosimplicial DGLAs in deformation theory

We identify Cech cocycles in nonabelian (formal) group cohomology with Maurer-Cartan elements in a suitable L-infinity algebra. Applications to deformation theory are described.Comment: Largely rewritten. Abstract modified. 15 pages, Latex, uses xy-pi

Lectures on mathematical aspects of (twisted) supersymmetric gauge theories

Supersymmetric gauge theories have played a central role in applications of quantum field theory to mathematics. Topologically twisted supersymmetric gauge theories often admit a rigorous mathematical description: for example, the Donaldson invariants of a 4-manifold can be interpreted as the correlation functions of a topologically twisted N=2 gauge theory. The aim of these lectures is to describe a mathematical formulation of partially-twisted supersymmetric gauge theories (in perturbation theory). These partially twisted theories are intermediate in complexity between the physical theory and the topologically twisted theories. Moreover, we will sketch how the operators of such a theory form a two complex dimensional analog of a vertex algebra. Finally, we will consider a deformation of the N=1 theory and discuss its relation to the Yangian, as explained in arXiv:1308.0370 and arXiv:1303.2632.Comment: Notes from a lecture series by the first author at the Les Houches Winter School on Mathematical Physics in 2012. To appear in the proceedings of this conference. Related to papers arXiv:1308.0370, arXiv:1303.2632, and arXiv:1111.423

An algebraic proof of Bogomolov-Tian-Todorov theorem

We give a completely algebraic proof of the Bogomolov-Tian-Todorov theorem. More precisely, we shall prove that if X is a smooth projective variety with trivial canonical bundle defined over an algebraically closed field of characteristic 0, then the L-infinity algebra governing infinitesimal deformations of X is quasi-isomorphic to an abelian differential graded Lie algebra.Comment: 20 pages, amspro

Interval total colorings of graphs

A total coloring of a graph $G$ is a coloring of its vertices and edges such that no adjacent vertices, edges, and no incident vertices and edges obtain the same color. An \emph{interval total $t$-coloring} of a graph $G$ is a total coloring of $G$ with colors $1,2,\...,t$ such that at least one vertex or edge of $G$ is colored by $i$, $i=1,2,\...,t$, and the edges incident to each vertex $v$ together with $v$ are colored by $d_{G}(v)+1$ consecutive colors, where $d_{G}(v)$ is the degree of the vertex $v$ in $G$. In this paper we investigate some properties of interval total colorings. We also determine exact values of the least and the greatest possible number of colors in such colorings for some classes of graphs.Comment: 23 pages, 1 figur

A Spatial Model of Leftist Ideological Shifts in Arab Politics

In this paper we use a Downsian spatial model to explain the political motivation behind the choice of Marxist/Leninist ideology by a number of non-communist leftist parties in the Arab nationalist movement. We assume that the attempts of these parties to distinguish their position from the strict M/L position generates perceptual ambiguities in the minds of the people. Given our assumptions about citizen utility functions, we derive the result that leftist parties gains supporters as they move towards the M/L position

Testing for non-linearity in daily sterling exchange rates

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure

Discrete Model of Ideological Struggle Accounting for Migration

A discrete in time model of ideological competition is formulated taking into account population migration. The model is based on interactions between global populations of non-believers and followers of different ideologies. The complex dynamics of the attracting manifolds is investigated. Conversion from one ideology to another by means of (i) mass media influence and (ii) interpersonal relations is considered. Moreover a different birth rate is assumed for different ideologies, the rate being assumed to be positive for the reference population, made of initially non-believers. Ideological competition can happen in one or several regions in space. In the latter case, migration of non-believers and adepts is allowed; this leads to an enrichment of the ideological dynamics. Finally, the current ideological situation in the Arab countries and China is commented upon from the point of view of the presently developed mathematical model. The massive forced conversion by Ottoman Turks in the Balkans is briefly discussed.Comment: 24 pages, with 5 figures and 52 refs.; prepared for a Special issue of Advances in Complex System