Studies of the limit order book around large price changes

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.Comment: 19 pages, 7 figure

Tick size and price diffusion

A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties of prices. The second part presents original results obtained by investigating the tick size changes occurring at the New York Stock Exchange (NYSE). We show that tick size change has three effects on price diffusion. First, as already shown in the literature, tick size affects price return distribution at an aggregate time scale. Second, reducing the tick size typically leads to an increase of volatility clustering. We give a possible mechanistic explanation for this effect, but clearly more investigation is needed to understand the origin of this relation. Third, we explicitly show that the ability of the subordination hypothesis in explaining fat tails of returns and volatility clustering is strongly dependent on tick size. While for large tick sizes the subordination hypothesis has significant explanatory power, for small tick sizes we show that subordination is not the main driver of these two important stylized facts of financial market.Comment: To be published in the "Proceedings of Econophys-Kolkata V International Workshop on "Econophysics of Order-driven Markets" March 9-13, 2010, The New Economic Windows series of Springer-Verlag Italia

Combinatorial effects on gene expression at the Lbx1/Fgf8 locus resolve Split-Hand/Foot Malformation type 3

Split-Hand/Foot Malformation type 3 (SHFM3) is a congenital limb malformation associated with tandem duplications at the LBX1/FGF8 locus. Yet, the disease patho-mechanism remains unsolved. Here we investigated the functional consequences of SHFM3-associated rearrangements on chromatin conformation and gene expression in vivo in transgenic mice. We show that the Lbx1/Fgf8 locus consists of two separate, but interacting, regulatory domains. Re-engineering of a SHFM3-associated duplication and a newly reported inversion in mice resulted in restructuring of the chromatin architecture. This led to an ectopic activation of the Lbx1 and Btrc genes in the apical ectodermal ridge (AER) in an Fgf8-like pattern. Artificial repositioning of the AER-specific enhancers of Fgf8 was sufficient to induce misexpression of Lbx1 and Btrc. We provide evidence that the SHFM3 phenotype is the result of a combinatorial effect on gene misexpression and dosage in the developing limb. Our results reveal new insights into the molecular mechanism underlying SHFM3 and provide novel conceptual framework for how genomic rearrangements can cause gene misexpression and disease

Tungsten Oxide Nanorods Array and Nanobundle Prepared by Using Chemical Vapor Deposition Technique

Tungsten oxide (WO3) nanorods array prepared using chemical vapor deposition techniques was studied. The influence of oxygen gas concentration on the nanoscale tungsten oxide structure was observed; it was responsible for the stoichiometric and morphology variation from nanoscale particle to nanorods array. Experimental results also indicated that the deposition temperature was highly related to the morphology; the chemical structure, however, was stable. The evolution of the crystalline structure and surface morphology was analyzed by scanning electron microscopy, Raman spectra and X-ray diffraction approaches. The stoichiometric variation was indicated by energy dispersive X-ray spectroscopy and X-ray photoelectron spectroscopy

Acetylacetone photodynamics at a seeded freeelectron laser

The first steps in photochemical processes, such as photosynthesis or animal vision, involve changes in electronic and geometric structure on extremely short time scales. Time-resolved photoelectron spectroscopy is a natural way to measure such changes, but has been hindered hitherto by limitations of available pulsed light sources in the vacuum-ultraviolet and soft Xray spectral region, which have insufficient resolution in time and energy simultaneously. The unique combination of intensity, energy resolution, and femtosecond pulse duration of the FERMI-seeded free-electron laser can now provide exceptionally detailed information on photoexcitation–deexcitation and fragmentation in pump-probe experiments on the 50- femtosecond time scale. For the prototypical system acetylacetone we report here electron spectra measured as a function of time delay with enough spectral and time resolution to follow several photoexcited species through well-characterized individual steps, interpreted using state-of-the-art static and dynamics calculations. These results open the way for investigations of photochemical processes in unprecedented detail

Reconstructing the three-dimensional GABAergic microcircuit of the striatum

A system's wiring constrains its dynamics, yet modelling of neural structures often overlooks the specific networks formed by their neurons. We developed an approach for constructing anatomically realistic networks and reconstructed the GABAergic microcircuit formed by the medium spiny neurons (MSNs) and fast-spiking interneurons (FSIs) of the adult rat striatum. We grew dendrite and axon models for these neurons and extracted probabilities for the presence of these neurites as a function of distance from the soma. From these, we found the probabilities of intersection between the neurites of two neurons given their inter-somatic distance, and used these to construct three-dimensional striatal networks. The MSN dendrite models predicted that half of all dendritic spines are within 100 mu m of the soma. The constructed networks predict distributions of gap junctions between FSI dendrites, synaptic contacts between MSNs, and synaptic inputs from FSIs to MSNs that are consistent with current estimates. The models predict that to achieve this, FSIs should be at most 1% of the striatal population. They also show that the striatum is sparsely connected: FSI-MSN and MSN-MSN contacts respectively form 7% and 1.7% of all possible connections. The models predict two striking network properties: the dominant GABAergic input to a MSN arises from neurons with somas at the edge of its dendritic field; and FSIs are interconnected on two different spatial scales: locally by gap junctions and distally by synapses. We show that both properties influence striatal dynamics: the most potent inhibition of a MSN arises from a region of striatum at the edge of its dendritic field; and the combination of local gap junction and distal synaptic networks between FSIs sets a robust input-output regime for the MSN population. Our models thus intimately link striatal micro-anatomy to its dynamics, providing a biologically grounded platform for further study

Oceanic eddy‑induced modifications to air–sea heat and CO2 fluxes in the Brazil‑Malvinas Confluence

Sea surface temperature (SST) anomalies caused by a warm core eddy (WCE) in the Southwestern Atlantic Ocean (SWA) rendered a crucial influence on modifying the marine atmospheric boundary layer (MABL). During the first cruise to support the Antarctic Modeling and Observation System (ATMOS) project, a WCE that was shed from the Brazil Current was sampled. Apart from traditional meteorological measurements, we used the Eddy Covariance method to directly measure the ocean–atmosphere sensible heat, latent heat, momentum, and carbon dioxide ( CO2) fluxes. The mechanisms of pressure adjustment and vertical mixing that can make the MABL unstable were both identified. The WCE also acted to increase the surface winds and heat fluxes from the ocean to the atmosphere. Oceanic regions at middle and high latitudes are expected to absorb atmospheric CO2, and are thereby considered as sinks, due to their cold waters. Instead, the presence of this WCE in midlatitudes, surrounded by predominantly cold waters, caused the ocean to locally act as a CO2 source. The contribution to the atmosphere was estimated as 0.3 ± 0.04 mmol m− 2 day− 1, averaged over the sampling period. The CO2 transfer velocity coefficient (K) was determined using a quadratic fit and showed an adequate representation of ocean–atmosphere fluxes. The ocean–atmosphere CO2, momentum, and heat fluxes were each closely correlated with the SST. The increase of SST inside the WCE clearly resulted in larger magnitudes of all of the ocean–atmosphere fluxes studied here. This study adds to our understanding of how oceanic mesoscale structures, such as this WCE, affect the overlying atmosphere

Ecological influences on the behaviour and fertility of malaria parasites

BACKGROUND: Sexual reproduction in the mosquito is essential for the transmission of malaria parasites and a major target for transmission-blocking interventions. Male gametes need to locate and fertilize females in the challenging environment of the mosquito blood meal, but remarkably little is known about the ecology and behaviour of male gametes. METHODS: Here, a series of experiments explores how some aspects of the chemical and physical environment experienced during mating impacts upon the production, motility, and fertility of male gametes. RESULTS AND CONCLUSIONS: Specifically, the data confirm that: (a) rates of male gametogenesis vary when induced by the family of compounds (tryptophan metabolites) thought to trigger gamete differentiation in nature; and (b) complex relationships between gametogenesis and mating success exist across parasite species. In addition, the data reveal that (c) microparticles of the same size as red blood cells negatively affect mating success; and (d) instead of swimming in random directions, male gametes may be attracted by female gametes. Understanding the mating ecology of malaria parasites, may offer novel approaches for blocking transmission and explain adaptation to different species of mosquito vectors

Dynamical Principles of Emotion-Cognition Interaction: Mathematical Images of Mental Disorders

The key contribution of this work is to introduce a mathematical framework to understand self-organized dynamics in the brain that can explain certain aspects of itinerant behavior. Specifically, we introduce a model based upon the coupling of generalized Lotka-Volterra systems. This coupling is based upon competition for common resources. The system can be regarded as a normal or canonical form for any distributed system that shows self-organized dynamics that entail winnerless competition. Crucially, we will show that some of the fundamental instabilities that arise in these coupled systems are remarkably similar to endogenous activity seen in the brain (using EEG and fMRI). Furthermore, by changing a small subset of the system's parameters we can produce bifurcations and metastable sequential dynamics changing, which bear a remarkable similarity to pathological brain states seen in psychiatry. In what follows, we will consider the coupling of two macroscopic modes of brain activity, which, in a purely descriptive fashion, we will label as cognitive and emotional modes. Our aim is to examine the dynamical structures that emerge when coupling these two modes and relate them tentatively to brain activity in normal and non-normal states