How does the market react to your order flow?

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous orders. (3) The total impact of market orders is the result of a subtle compensation between the same broker pushing the price in one direction and the liquidity provision of other brokers pushing it in the opposite direction. These results enforce the picture of market dynamics being the result of the competition between heterogeneous participants interacting to form a complicated market ecology.Comment: 22 pages, 5+9 figure

Comment on ``Deterministic equations of motion and phase ordering dynamics''

Zheng [Phys. Rev. E {\bf 61}, 153 (2000), cond-mat/9909324] claims that phase ordering dynamics in the microcanonical $\phi^4$ model displays unusual scaling laws. We show here, performing more careful numerical investigations, that Zheng only observed transient dynamics mostly due to the corrections to scaling introduced by lattice effects, and that Ising-like (model A) phase ordering actually takes place at late times. Moreover, we argue that energy conservation manifests itself in different corrections to scaling.Comment: 5 pages, 4 figure

Absorbing Phase Transitions of Branching-Annihilating Random Walks

The phase transitions to absorbing states of the branching-annihilating reaction-diffusion processes mA --> (m+k)A, nA --> (n-l)A are studied systematically in one space dimension within a new family of models. Four universality classes of non-trivial critical behavior are found. This provides, in particular, the first evidence of universal scaling laws for pair and triplet processes.Comment: 4 pages, 4 figure

Phase-ordering and persistence: relative effects of space-discretization, chaos, and anisotropy

The peculiar phase-ordering properties of a lattice of coupled chaotic maps studied recently (A. Lema\^\i tre & H. Chat\'e, {\em Phys. Rev. Lett.} {\bf 82}, 1140 (1999)) are revisited with the help of detailed investigations of interface motion. It is shown that ``normal'', curvature-driven-like domain growth is recovered at larger scales than considered before, and that the persistence exponent seems to be universal. Using generalized persistence spectra, the properties of interface motion in this deterministic, chaotic, lattice system are found to ``interpolate'' between those of the two canonical reference systems, the (probabilistic) Ising model, and the (deterministic), space-continuous, time-dependent Ginzburg-Landau equation.Comment: 13 pages, to be published in Physica