Lagrangian space consistency relation for large scale structure

Consistency relations, which relate the squeezed limit of an (N+1)-point correlation function to an N-point function, are non-perturbative symmetry statements that hold even if the associated high momentum modes are deep in the nonlinear regime and astrophysically complex. Recently, Kehagias & Riotto and Peloso & Pietroni discovered a consistency relation applicable to large scale structure. We show that this can be recast into a simple physical statement in Lagrangian space: that the squeezed correlation function (suitably normalized) vanishes. This holds regardless of whether the correlation observables are at the same time or not, and regardless of whether multiple-streaming is present. The simplicity of this statement suggests that an analytic understanding of large scale structure in the nonlinear regime may be particularly promising in Lagrangian space.Comment: 19 pages, no figure

Thoughts about Research Management Innovation in College in the Era of Knowledge Economy

This article proposes some effective approaches of research management innovation to solve the existing problems in management conception, management system and management ways and means, based on a thorough understanding of the significance of establishing research management innovation conception in the era of knowledge economy. Key words: college, research management, innovation, effective approaches Résumé: Le présent article, sur la base d’une connaissance complète sur la signifiance d’instaurer le concept d’innovation de la gestion de recherche scientifique à l’époque d’économie du savoir, analyse les problèmes existant dans les domaines de la conception de gestion, du système de gestion et du moyen de gestion, et propose des voies efficaces pour l’innovation de la gestion de recherche scientifique. Mots-clés: université, gestion de recherche scientifique, innovation, voie efficace 摘要：本文在充分認識知識經濟時代確立科研管理創新理念的意義的基礎上，針對管理觀念、管理體制、管理方法與手段上存在的問題，提出了創新科研管理工作的有效途徑。關鍵詞：高校；科研管理；創新；有效途

Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks

We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and $\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law relaxation exponent $\beta$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.Comment: 12 Elsart pages including 7 eps figure

Essays on Institutional Trading Around the World

This dissertation consists of two essays on institutional trading around the world. The first essay (Chapter 1) investigates the trading behavior of institutional investors from 28 countries around the world. During the period from 1999 to 2008, we find strong empirical evidence that institutional investors tend to move their funds out of volatile foreign equity markets and back to their home markets, particularly following the recent 2007-2008 global financial crisis. Our results also show that institutional investors prefer to hold more liquid stocks in highly volatile markets, suggesting evidence of flight to liquidity. Institutional investors are also inclined to increase the level of liquidity of their home portfolios relative to that of their foreign portfolios when there is a surge in foreign market volatility. Finally, evidence supports that the overall portfolio risk of institutional investors reduces during the financial crisis period. The second essay (Chapter 2) studies the impact of market sentiment on institutional home bias around the world. The paper explores the effects of three investor sentiment measures on institutional home bias from 1999 to 2009 for 14 institutional domiciled countries based on Factset Lionshares and Worldscope data. WE show a negative significant impact of global investor sentiment on institutional home bias. We provide the empirical evidence that global investor sentiment index reduces the institutional home bias in the international market during the past decase. Local and total market sentiment do not show the statistically significant effects on home bias. Distance and language have positive and negative effects on institutional home bias, respectively. Investor protection variables such as rule of law index and risk of expropriation index have a significant positive effect and negative effect on institutional over-weighted investment on domestic market. Our findings are robust for the sample either including or excluding the U.S. market