An empirical behavioral model of liquidity and volatility

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are validated against real data. Our empirical studies of order flow uncover several interesting regularities in the way trading orders are placed and cancelled. The resulting simple model of order flow is used to simulate price formation under a continuous double auction, and the statistical properties of the resulting simulated sequence of prices are compared to those of real data. The model is constructed using one stock (AZN) and tested on 24 other stocks. For low volatility, small tick size stocks (called Group I) the predictions are very good, but for stocks outside Group I they are not good. For Group I, the model predicts the correct magnitude and functional form of the distribution of the volatility and the bid-ask spread, without adjusting any parameters based on prices. This suggests that at least for Group I stocks, the volatility and heavy tails of prices are related to market microstructure effects, and supports the hypothesis that, at least on short time scales, the large fluctuations of absolute returns are well described by a power law with an exponent that varies from stock to stock

An empirical behavioral model of price formation

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step in this direction by developing empirical models that capture behavioral regularities in trading order placement and cancellation using data from the London Stock Exchange. For order placement we show that the probability of placing an order at a given price is well approximated by a Student distribution with less than two degrees of freedom, centered on the best quoted price. This result is surprising because it implies that trading order placement is symmetric, independent of the bid-ask spread, and the same for buying and selling. We also develop a crude but simple cancellation model that depends on the position of an order relative to the best price and the imbalance between buying and selling orders in the limit order book. These results are combined to construct a stochastic representative agent model, in which the orders and cancellations are described in terms of conditional probability distributions. This model is used to simulate price formation and the results are compared to real data from the London Stock Exchange. Without adjusting any parameters based on price data, the model produces good predictions for the magnitude and functional form of the distribution of returns and the bid-ask spread

Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?

In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, during a period where there is an excess of buyer initiated transactions, there is also more liquidity for buy orders than sell orders, so that buy orders generate smaller and less frequent price responses than sell orders. At the moment a buy order is placed the transaction sign imbalance tends to dominate, generating a price impact. However, the liquidity imbalance rapidly increases with time, so that after a small number of time steps it cancels all the inefficiency caused by the transaction sign imbalance, bounding the price impact. While the view presented by Bouchaud et al. of a fixed and temporary bare price impact is self-consistent and formally correct, we argue that viewing this in terms of a variable but permanent price impact provides a simpler and more natural view. This is in the spirit of the original conjecture of Lillo and Farmer, but generalized to allow for finite time lags in the build up of the liquidity imbalance after a transaction. We discuss the possible strategic motivations that give rise to the liquidity imbalance and offer an alternative hypothesis. We also present some results that call into question the statistical significance of large swings in expected price impact at long times.Comment: 10 pages, 4 figure

Plans for the LIGO–TAMA joint search for gravitational wave bursts

We describe the plans for a joint search for unmodelled gravitational wave bursts being carried out by the LIGO and TAMA Collaborations using data collected during February–April 2003. We take a conservative approach to detection, requiring candidate gravitational wave bursts to be seen in coincidence by all four interferometers. We focus on some of the complications of performing this coincidence analysis, in particular the effects of the different alignments and noise spectra of the interferometers

Point contacts in encapsulated graphene

We present a novel method to establish inner point contacts on hexagonal boron nitride (hBN) encapsulated graphene heterostructures with dimensions as small as 100 nm by pre-patterning the top-hBN in a separate step prior to dry-stacking. 2 and 4-terminal field effect measurements between different lead combinations are in qualitative agreement with an electrostatic model assuming pointlike contacts. The measured contact resistances are 0.5-1.5 k$\Omega$ per contact, which is quite low for such small contacts. By applying a perpendicular magnetic fields, an insulating behaviour in the quantum Hall regime was observed, as expected for inner contacts. The fabricated contacts are compatible with high mobility graphene structures and open up the field for the realization of several electron optical proposals

Quick cytogenetic screening of breeding bulls using flow cytometric sperm DNA histogram analysis

The aim of the present study was to test the FXCycle PI/RNase kit for routine DNA analyses in order to detect breeding bulls and/or insemination doses carrying cytogenetic aberrations. In a series of experiments we first established basic DNA histogram parameters of cytogenetically healthy breeding bulls by measuring the intraspecific genome size variation of three animals, then we compared the histogram profiles of bulls carrying cytogenetic defects to the baseline values. With the exception of one case the test was able to identify bulls with cytogenetic defects. Therefore, we conclude that the assay could be incorporated into the laboratory routine where flow cytometry is applied for semen quality control.Peer reviewe

A theory for long-memory in supply and demand

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such large orders is power law distributed, this gives rise to power law decaying autocorrelations in the signs of executed orders. More specifically, we show that if the cumulative distribution of large orders of volume v is proportional to v to the power -alpha and the size of executed orders is constant, the autocorrelation of order signs as a function of the lag tau is asymptotically proportional to tau to the power -(alpha - 1). This is a long-memory process when alpha < 2. With a few caveats, this gives a good match to the data. A version of the model also shows long-memory fluctuations in order execution rates, which may be relevant for explaining the long-memory of price diffusion rates.Comment: 12 pages, 7 figure

Húshasznú tenyészbikák rangsora ivadékaik teljesítménye alapján becsült tenyészértékek alapján

The objective of this study was to rank Limousin sires by their different breeding values based on the weaning weight of their progeny. 205-day weaning weight record of altogether 18746 purebred and crossbred calves sired by breeding bulls of the mentioned breed were used for the estimation. Calves were belonging to three different groups by their genotype. Three different BLUP animal models were used for the estimation. According the results the direct heritability (h2 d ) estimates of 205-day weight ranged between 0.49 and 0.59, while that of the maternal heritability (h2 m) between 0.24 and 0.45. The estimated breeding value of the given sires differed by the genotype (purebred or crossbred) of their progeny calves and the method of estimation. Also, there were differences in the rank of the sires depending on the genotype of their progeny, as well as the estimation methodsA munka célja limousin apák rangsorának a meghatározása volt ivadékaik választási súlyadataiból becsült tenyészértékek alapján. A számításokhoz 18746 fajtatiszta és keresztezett borjú 205 napra korrigált választási súlyadatát használták fel. A borjakat genotípusuk alapján három csoportra osztották. A számításokat három különböző BLUP egyedmodellel végezték. Az eredmények alapján a 205 napra korrigált választási súly direkt öröklődhetősége (h2 d) 0,49 - 0,59 között változott. Az anyai öröklődhetőség (h2 m) 0,24 - 0,45 közötti volt. Az apák tenyészértéke között számottevő különbséget találtak annak a függvényében, hogy azt milyen adatbázison, melyik módszerrel becsülték. Az eredmények alapján megállapítható, hogy az apák tenyészértékeik alapján felállított rangsora eltért egymástól