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

The level width of atomic nuclei in the continuum energy region: Comparison with the statistical-model previsions

In this paper the theoretical expression of the « coherence energy » which characterizes the Ericson flctuations of an excitation function is derived in the framework of the statistical model. It is given by a weighted average over spins, parity and energy of the widths of the levels of the compound nucleus interested in the reaction. The case of purely statistical reactions and the case in which a nonstatistical effect is present are analised

Study of the 27 Al(d, α) 25 Mg and 27 Al(d, p) 28 al nuclear reactions at 2 MeV deuteron energy

Differential excitation functions and angular distributions from 30° to 150° have been measured for the27Al(d, α)26Mg and27Al(d, p)28Al reactions leading to the ground state and to the first excited states of the residual nuclei25Mg and28Al, in the deuteron energy range (1.4≪2.3) MeV. The overall energy resolution was 10 keV for the differential excitation functions and 2 0 keV for the angular distributions. Fluctuations occurring in the differential excitation functions as well as in the integrated cross-sections have been analysed on the basis of the statistical theory. In particular, with the use of correlation functions, values of Γ=(40±10)keV and θ0≃30° have been deduced for the « coherence » energy and the « coherence » angle, respectively. The theoretical values of Γ and the average values of the integrated cross-sections have been evaluated using a consistent set of parameters. The analysis showed that the predictions of the statistical model agree with the experimental results for the27Al(d, α)25Mg reactions. Both statistical and nonstatistioal effects have been found to contribute to the27Al(d, p)28Al reaction for the proton transitions leading to the low-lying levels of the residual nucleus

Thermodynamical features of multifragmentation in peripheral Au + Au Collisions at 35 A.MeV

The distribution of fragments produced in events involving the multifragmentation of excited sources is studied for peripheral Au + Au reactions at 35 A.MeV. The Quasi-Projectile has been reconstructed from its de-excitation products. An isotropic emission in its rest frame has been observed, indicating that an equilibrated system has been formed. The excitation energy of the Quasi-Projectile has been determined via calorimetry. A new event by event effective thermometer is proposed based on the energy balance. A peak in the energy fluctuations is observed related to the heat capacity, suggesting that the system undergoes a liquid-gas type phase transition at an excitation energy about 5 A.MeV and a temperature 4 - 6 MeV, dependent on the freeze-out hypothesis. By analyzing different regions of the Campi-plot, the events associated with the liquid and gas phases as well as the critical region are thermodynamically characterized. The critical exponents, tau, beta,gamma, extracted from the high moments of the charge distribution are consistent with a liquid-gas type phase transition.Comment: 44 pages, 16 Postscript figures, Fig14_nucl-ex.eps in colors, to be published in Nucl.Phys.A (1999

Non-exponential relaxation time scales in disordered systems: An application to protein dynamics

We study the dynamics of a heteropolymeric chain relaxing toward a new equilibrium configuration after the action of an external perturbation. We compare the results from Monte Carlo simulations with the results of a Langevin normal-mode decomposition. We discuss, for the sake of comparison, the case of an ordered homopolymeric chain. We discuss the dependence of the relaxation stretching exponent on the system size by studying chains constituted by 15 and 30 points