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

The fine-structure of volatility feedback I: multi-scale self-reflexivity

We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily returns. The standard ARCH or GARCH framework is recovered when the quadratic kernel is diagonal. The calibration of these models on US stock returns reveals several unexpected features. The off-diagonal (non ARCH) coefficients of the quadratic kernel are found to be highly significant both In-Sample and Out-of-Sample, but all these coefficients turn out to be one order of magnitude smaller than the diagonal elements. This confirms that daily returns play a special role in the volatility feedback mechanism, as postulated by ARCH models. The feedback kernel exhibits a surprisingly complex structure, incompatible with models proposed so far in the literature. Its spectral properties suggest the existence of volatility-neutral patterns of past returns. The diagonal part of the quadratic kernel is found to decay as a power-law of the lag, in line with the long-memory of volatility. Finally, QARCH models suggest some violations of Time Reversal Symmetry in financial time series, which are indeed observed empirically, although of much smaller amplitude than predicted. We speculate that a faithful volatility model should include both ARCH feedback effects and a stochastic component

Elevated PGC-1α Activity Sustains Mitochondrial Biogenesis and Muscle Function without Extending Survival in a Mouse Model of Inherited ALS

SummaryThe transcriptional coactivator PGC-1α induces multiple effects on muscle, including increased mitochondrial mass and activity. Amyotrophic lateral sclerosis (ALS) is a progressive, fatal, adult-onset neurodegenerative disorder characterized by selective loss of motor neurons and skeletal muscle degeneration. An early event is thought to be denervation-induced muscle atrophy accompanied by alterations in mitochondrial activity and morphology within muscle. We now report that elevation of PGC-1α levels in muscles of mice that develop fatal paralysis from an ALS-causing SOD1 mutant elevates PGC-1α-dependent pathways throughout disease course. Mitochondrial biogenesis and activity are maintained through end-stage disease, accompanied by retention of muscle function, delayed muscle atrophy, and significantly improved muscle endurance even at late disease stages. However, survival was not extended. Therefore, muscle is not a primary target of mutant SOD1-mediated toxicity, but drugs increasing PGC-1α activity in muscle represent an attractive therapy for maintaining muscle function during progression of ALS

TOI-836 : a super-Earth and mini-Neptune transiting a nearby K-dwarf

Funding: TGW, ACC, and KH acknowledge support from STFC consolidated grant numbers ST/R000824/1 and ST/V000861/1, and UKSA grant ST/R003203/1.We present the discovery of two exoplanets transiting TOI-836 (TIC 440887364) using data from TESS Sector 11 and Sector 38. TOI-836 is a bright (T = 8.5 mag), high proper motion (∼200 mas yr−1), low metallicity ([Fe/H]≈−0.28) K-dwarf with a mass of 0.68 ± 0.05 M⊙ and a radius of 0.67 ± 0.01 R⊙. We obtain photometric follow-up observations with a variety of facilities, and we use these data-sets to determine that the inner planet, TOI-836 b, is a 1.70 ± 0.07 R⊕ super-Earth in a 3.82 day orbit, placing it directly within the so-called ‘radius valley’. The outer planet, TOI-836 c, is a 2.59 ± 0.09 R⊕ mini-Neptune in an 8.60 day orbit. Radial velocity measurements reveal that TOI-836 b has a mass of 4.5 ± 0.9 M⊕, while TOI-836 c has a mass of 9.6 ± 2.6 M⊕. Photometric observations show Transit Timing Variations (TTVs) on the order of 20 minutes for TOI-836 c, although there are no detectable TTVs for TOI-836 b. The TTVs of planet TOI-836 c may be caused by an undetected exterior planet.Publisher PDFPeer reviewe

TOI-836: A super-Earth and mini-Neptune transiting a nearby K-dwarf

We present the discovery of two exoplanets transiting TOI-836 (TIC 440887364) using data from TESS Sector 11 and Sector 38. TOI-836 is a bright ($T = 8.5$ mag), high proper motion ($\sim\,200$ mas yr$^{-1}$), low metallicity ([Fe/H]$\approx\,-0.28$) K-dwarf with a mass of $0.68\pm0.05$ M$_{\odot}$ and a radius of $0.67\pm0.01$ R$_{\odot}$. We obtain photometric follow-up observations with a variety of facilities, and we use these data-sets to determine that the inner planet, TOI-836 b, is a $1.70\pm0.07$ R$_{\oplus}$ super-Earth in a 3.82 day orbit, placing it directly within the so-called 'radius valley'. The outer planet, TOI-836 c, is a $2.59\pm0.09$ R$_{\oplus}$ mini-Neptune in an 8.60 day orbit. Radial velocity measurements reveal that TOI-836 b has a mass of $4.5\pm0.9$ M$_{\oplus}$ , while TOI-836 c has a mass of $9.6\pm2.6$ M$_{\oplus}$. Photometric observations show Transit Timing Variations (TTVs) on the order of 20 minutes for TOI-836 c, although there are no detectable TTVs for TOI-836 b. The TTVs of planet TOI-836 c may be caused by an undetected exterior planet

Global maps of soil temperature

Research in global change ecology relies heavily on global climatic grids derived from estimates of air temperature in open areas at around 2 m above the ground. These climatic grids do not reflect conditions below vegetation canopies and near the ground surface, where critical ecosystem functions occur and most terrestrial species reside. Here, we provide global maps of soil temperature and bioclimatic variables at a 1-km2 resolution for 0–5 and 5–15 cm soil depth. These maps were created by calculating the difference (i.e. offset) between in situ soil temperature measurements, based on time series from over 1200 1-km2 pixels (summarized from 8519 unique temperature sensors) across all the world\u27s major terrestrial biomes, and coarse-grained air temperature estimates from ERA5-Land (an atmospheric reanalysis by the European Centre for Medium-Range Weather Forecasts). We show that mean annual soil temperature differs markedly from the corresponding gridded air temperature, by up to 10°C (mean = 3.0 ± 2.1°C), with substantial variation across biomes and seasons. Over the year, soils in cold and/or dry biomes are substantially warmer (+3.6 ± 2.3°C) than gridded air temperature, whereas soils in warm and humid environments are on average slightly cooler (−0.7 ± 2.3°C). The observed substantial and biome-specific offsets emphasize that the projected impacts of climate and climate change on near-surface biodiversity and ecosystem functioning are inaccurately assessed when air rather than soil temperature is used, especially in cold environments. The global soil-related bioclimatic variables provided here are an important step forward for any application in ecology and related disciplines. Nevertheless, we highlight the need to fill remaining geographic gaps by collecting more in situ measurements of microclimate conditions to further enhance the spatiotemporal resolution of global soil temperature products for ecological applications

Global maps of soil temperature

Research in global change ecology relies heavily on global climatic grids derived from estimates of air temperature in open areas at around 2 m above the ground. These climatic grids do not reflect conditions below vegetation canopies and near the ground surface, where critical ecosystem functions occur and most terrestrial species reside. Here, we provide global maps of soil temperature and bioclimatic variables at a 1-km² resolution for 0–5 and 5–15 cm soil depth. These maps were created by calculating the difference (i.e., offset) between in-situ soil temperature measurements, based on time series from over 1200 1-km² pixels (summarized from 8500 unique temperature sensors) across all the world’s major terrestrial biomes, and coarse-grained air temperature estimates from ERA5-Land (an atmospheric reanalysis by the European Centre for Medium-Range Weather Forecasts). We show that mean annual soil temperature differs markedly from the corresponding gridded air temperature, by up to 10°C (mean = 3.0 ± 2.1°C), with substantial variation across biomes and seasons. Over the year, soils in cold and/or dry biomes are substantially warmer (+3.6 ± 2.3°C) than gridded air temperature, whereas soils in warm and humid environments are on average slightly cooler (-0.7 ± 2.3°C). The observed substantial and biome-specific offsets emphasize that the projected impacts of climate and climate change on near-surface biodiversity and ecosystem functioning are inaccurately assessed when air rather than soil temperature is used, especially in cold environments. The global soil-related bioclimatic variables provided here are an important step forward for any application in ecology and related disciplines. Nevertheless, we highlight the need to fill remaining geographic gaps by collecting more in-situ measurements of microclimate conditions to further enhance the spatiotemporal resolution of global soil temperature products for ecological applications