Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market

Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in the order book, for given liquidity, order book depth and size of order flows. Exploiting the WM Reuters’ reform of the fixing methodology in February 2015 as a natural experiment, we provide evidence that fast trading raises entropy, rather than reacting to it. While more entropy in quoted prices means noisier information and arguably complicates price discovery from an individual trader’s perspective, we show that, in the aggregate, more entropy actually brings traded prices closer to the random walk hypothesis, and improves indicators of market efficiency and quality of trade execution. We estimate that a 10 percent increase in entropy reduces the negative impact of macro news by over 60% for effective spreads, against over 40% for realized spreads and price impacts. Our findings suggest that the main mechanism by which fast trading may have desirable effects on market performance specifically hinges on enhanced heterogeneity in trading patterns, best captured by entropy

Laser calibration of the ATLAS Tile Calorimeter during LHC Run 2

This article reports the laser calibration of the hadronic Tile Calorimeter of the ATLAS experiment in the LHC Run 2 data campaign. The upgraded Laser II calibration system is described. The system was commissioned during the first LHC Long Shutdown, exhibiting a stability better than 0.8% for the laser light monitoring. The methods employed to derive the detector calibration factors with data from the laser calibration runs are also detailed. These allowed to correct for the response fluctuations of the 9852 photomultiplier tubes of the Tile Calorimeter with a total uncertainty of 0.5% plus a luminosity-dependent sub-dominant term. Finally, we report the regular monitoring and performance studies using laser events in both standalone runs and during proton collisions. These studies include channel timing and quality inspection, and photomultiplier linearity and response dependence on anode current

The High Voltage distribution system of the ATLAS Tile Calorimeter and its performance during data taking

International audienceThis article documents the characteristics of the high voltage (HV) system of the hadronic calorimeter TileCal of the ATLAS experiment. Such a system is suitable to supply reliable power distribution into particles physics detectors using a large number of PhotoMultiplier Tubes (PMTs). Measurements performed during the 2015 and 2016 data taking periods of the ATLAS detector show that its performance, in terms of stability and noise, fits the specifications. In particular, almost all the PMTs show a voltage instability smaller than 0.5 V corresponding to a gain stability better than 0.5%. A small amount of channels was found not working correctly. To diagnose the origin of such defects, the results of the HV measurements were compared to those obtained using a Laser system. The analysis shows that less than 0.2% of the about 10 thousand HV channels were malfunctioning