The power of patience: A behavioral regularity in limit order placement

In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as the difference between the limit price and the best price available. Merging the data from 50 stocks, we demonstrate that for both buy and sell orders, the unconditional cumulative distribution of relative limit prices decays roughly as a power law with exponent approximately 1.5. This behavior spans more than two decades, ranging from a few ticks to about 2000 ticks. Time series of relative limit prices show interesting temporal structure, characterized by an autocorrelation function that asymptotically decays as tau^(-0.4). Furthermore, relative limit price levels are positively correlated with and are led by price volatility. This feedback may potentially contribute to clustered volatility

The Predictive Power of Zero Intelligence in Financial Markets

Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data from the London Stock Exchange to test a simple model in which zero intelligence agents place orders to trade at random. The model treats the statistical mechanics of order placement, price formation, and the accumulation of revealed supply and demand within the context of the continuous double auction, and yields simple laws relating order arrival rates to statistical properties of the market. We test the validity of these laws in explaining the cross-sectional variation for eleven stocks. The model explains 96% of the variance of the bid-ask spread, and 76% of the variance of the price diffusion rate, with only one free parameter. We also study the market impact function, describing the response of quoted prices to the arrival of new orders. The non-dimensional coordinates dictated by the model approximately collapse data from different stocks onto a single curve. This work is important from a practical point of view because it demonstrates the existence of simple laws relating prices to order flows, and in a broader context, because it suggests that there are circumstances where institutions are more important than strategic considerations

Correlations and clustering in the trading of members of the London Stock Exchange

This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are significant and persistent correlations between institutions. In addition, the correlations are structured into correlated and anti-correlated groups. Clustering techniques using the correlations as a distance metric reveal a meaningful clustering structure with two groups of institutions trading in opposite directions

A quantitative model of trading and price formation in financial markets

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure of financial risk, and the spread and price impact functions, which are the main determinants of transaction cost. Guided by dimensional analysis, simulation, and mean field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.Comment: 5 pages, 4 figure

New localities of the subendemic species Berberis croatica, Teucrium arduini and Micromeria croatica in the Dinaric Alps

New localities of three subendemic species (Berberis croatica, Teucrium arduini and Micromeria croatica) have been found in the Dinaric Alps. Berberis croatica was found at ten new locations, nine of them in Croatia and one in Bosnia and Herzegovina. Teucrium arduini was found on Mt Učka, Mt Velebit, Mt Biokovo and Mt Sniježnica, at nine new locations while Micromeria croatica was found at four new locations, only on Mt Velebit

Human G Protein–Coupled Receptor Gpr-9-6/Cc Chemokine Receptor 9 Is Selectively Expressed on Intestinal Homing T Lymphocytes, Mucosal Lymphocytes, and Thymocytes and Is Required for Thymus-Expressed Chemokine–Mediated Chemotaxis

TECK (thymus-expressed chemokine), a recently described CC chemokine expressed in thymus and small intestine, was found to mediate chemotaxis of human G protein–coupled receptor GPR-9-6/L1.2 transfectants. This activity was blocked by anti–GPR-9-6 monoclonal antibody (mAb) 3C3. GPR-9-6 is expressed on a subset of memory α4β7high intestinal trafficking CD4 and CD8 lymphocytes. In addition, all intestinal lamina propria and intraepithelial lymphocytes express GPR-9-6. In contrast, GPR-9-6 is not displayed on cutaneous lymphocyte antigen–positive (CLA+) memory CD4 and CD8 lymphocytes, which traffic to skin inflammatory sites, or on other systemic α4β7−CLA− memory CD4/CD8 lymphocytes. The majority of thymocytes also express GPR-9-6, but natural killer cells, monocytes, eosinophils, basophils, and neutrophils are GPR-9-6 negative. Transcripts of GPR-9-6 and TECK are present in both small intestine and thymus. Importantly, the expression profile of GPR-9-6 correlates with migration to TECK of blood T lymphocytes and thymocytes. As migration of these cells is blocked by anti–GPR-9-6 mAb 3C3, we conclude that GPR-9-6 is the principal chemokine receptor for TECK. In agreement with the nomenclature rules for chemokine receptors, we propose the designation CCR-9 for GPR-9-6. The selective expression of TECK and GPR-9-6 in thymus and small intestine implies a dual role for GPR-9-6/CCR-9, both in T cell development and the mucosal immune response