Specialization of strategies and herding behavior of trading firms in a financial market

The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by a resulting strategy and can be classified in groups of firms with different specialization. Few large firms overally act as trending firms whereas many heterogeneous firm act as reversing firms. The herding properties of these two groups are markedly different and consistently observed over a four-year period of trading.Comment: 8 pages, 5 figure

Measuring the propagation of financial distress with Granger-causality tail risk networks

Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk networks between 33 systemically important banks (G-SIBs) and 36 sovereign bonds worldwide. Our purpose is to exploit the structure of the Granger-causality tail risk networks to identify periods of distress in financial markets and possible channels of systemic risk propagation. Combining measures of connectedness of these networks with the ratings of the sovereign bonds, we propose a flight-to-quality indicator to identify periods of turbulence in the market. Our measure clearly peaks at the onset of the European sovereign debt crisis, signaling the instability of the financial system. Finally, we use the connectedness measures of the networks to forecast the quality of sovereign bonds. We find that connectedness is a significant predictor of the cross-section of bond quality

Stock mechanics: a general theory and method of energy conservation with applications on DJIA

A new method, based on the original theory of conservation of sum of kinetic and potential energy defined for prices is proposed and applied on Dow Jones Industrials Average (DJIA). The general trends averaged over months or years gave a roughly conserved total energy, with three different potential energies, i.e. positive definite quadratic, negative definite quadratic and linear potential energy for exponential rises (and falls), sinusoidal oscillations and parabolic trajectories, respectively. Corresponding expressions for force (impact) are also given. Keywords:Comment: 14 pages, 3 figures, scehudled for IJMPC 17/ issue

Long-range memory model of trading activity and volatility

Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the same long range memory properties. Here we present a stochastic differential equation as a dynamical model of the observed memory in the financial time series. The continuous stochastic process reproduces the statistical properties of the trading activity and serves as a background model for the modeling waiting time, return and volatility. Empirically observed statistical properties: exponents of the power-law probability distributions and power spectral density of the long-range memory financial variables are reproduced with the same values of few model parameters.Comment: 12 pages, 5 figure

CAFE: Calar Alto Fiber-fed Echelle spectrograph

We present here CAFE, the Calar Alto Fiber-fed Echelle spectrograph, a new instrument built at the Centro Astronomico Hispano Alem\'an (CAHA). CAFE is a single fiber, high-resolution ($R\sim$70000) spectrograph, covering the wavelength range between 3650-9800\AA. It was built on the basis of the common design for Echelle spectrographs. Its main aim is to measure radial velocities of stellar objects up to $V\sim$13-14 mag with a precision as good as a few tens of $m s^{-1}$. To achieve this goal the design was simplified at maximum, removing all possible movable components, the central wavelength is fixed, so the wavelentgth coverage; no filter wheel, one slit and so on, with a particular care taken in the thermal and mechanical stability. The instrument is fully operational and publically accessible at the 2.2m telescope of the Calar Alto Observatory. In this article we describe (i) the design, summarizing its manufacturing phase; (ii) characterize the main properties of the instrument; (iii) describe the reduction pipeline; and (iv) show the results from the first light and commissioning runs. The preliminar results indicate that the instrument fulfill the specifications and it can achieve the foreseen goals. In particular, they show that the instrument is more efficient than anticipated, reaching a $S/N\sim$20 for a stellar object as faint as $V\sim$14.5 mag in $\sim$2700s integration time. The instrument is a wonderful machine for exoplanetary research (by studying large samples of possible systems cotaining massive planets), galactic dynamics (high precise radial velocities in moving groups or stellar associations) or astrochemistry.Comment: 12 pages, 23 figures; Acepted for publishing in A&A, 201

Long-term prediction of adherence to continuous positive air pressure therapy for the treatment of moderate/severe obstructive sleep apnea syndrome

BACKGROUND: Continuous positive airway pressure (CPAP) therapy is a highly effective treatment for obstructive sleep apnea syndrome (OSAS). However, poor adherence is a limiting factor, and a significant proportion of patients are unable to tolerate CPAP. The aim of this study was to determine predictors of long-term non-compliance with CPAP. METHODS: CPAP treatment was prescribed to all consecutive patients with moderate or severe OSAS (AHI ≥15 events/h) (n = 295) who underwent a full-night CPAP titration study at home between February 1, 2002 and December 1, 2016. Adherence was defined as CPAP use for at least 4 h per night and five days per week. Subjects had periodical follow-up visits including clinical and biochemical evaluation and assessment of adherence to CPAP. RESULTS: Median follow-up observation was 74.8 (24.2/110.9) months. The percentage of OSAS patients adhering to CPAP was 41.4% (42.3% in males and 37.0% in females), and prevalence was significantly higher in severe OSAS than in moderate (51.8% vs. 22.1%; p < 0.001; respectively). At multivariate analysis, lower severity of OSAS (HR = 0.66; CI 95 0.46-0.94) p < 0.023), cigarette smoking (HR = 1.72; CI 95 1.13-2.61); p = 0.011), and previous cardiovascular events (HR = 1.95; CI 95 1.03-3.70; p = 0.04) were the only independent predictors of long-term non-adherence to CPAP after controlling for age, gender, and metabolic syndrome. CONCLUSIONS: In our cohort of patients with moderate/severe OSAS who were prescribed CPAP therapy, long-term compliance to treatment was present in less than half of the patients. Adherence was positively associated with OSAS severity and negatively associated with cigarette smoking and previous cardiovascular events at baseline

A new look inside Planetary Nebula LoTr 5: A long-period binary with hints of a possible third component

LoTr 5 is a planetary nebula with an unusual long-period binary central star. As far as we know, the pair consists of a rapidly rotating G-type star and a hot star, which is responsible for the ionization of the nebula. The rotation period of the G-type star is 5.95 days and the orbital period of the binary is now known to be $\sim$2700 days, one of the longest in central star of planetary nebulae. The spectrum of the G central star shows a complex H$\alpha$ double-peaked profile which varies with very short time scales, also reported in other central stars of planetary nebulae and whose origin is still unknown. We present new radial velocity observations of the central star which allow us to confirm the orbital period for the long-period binary and discuss the possibility of a third component in the system at $\sim$129 days to the G star. This is complemented with the analysis of archival light curves from SuperWASP, ASAS and OMC. From the spectral fitting of the G-type star, we obtain a effective temperature of $T_{\rm eff}$ = 5410$\pm$250 K and surface gravity of $\log g$ = 2.7$\pm$0.5, consistent with both giant and subgiant stars. We also present a detailed analysis of the H$\alpha$ double-peaked profile and conclude that it does not present correlation with the rotation period and that the presence of an accretion disk via Roche lobe overflow is unlikely.Comment: 12 pages, 12 figures, accepted for publication in MNRA

ComplexWorld Position Paper

The Complex ATM Position Paper is the common research vehicle that defines the high-level, strategic scientific vision for the ComplexWorld Network. The purpose of this document is to provide an orderly and consistent scientific framework for the WP-E complexity theme. The specific objectives of the position paper are to: - analyse the state of the art within the different research areas relevant to the network, identifying the major accomplishments and providing a comprehensive set of references, including the main publications and research projects; - include a complete list of , a list of application topics, and an analysis of which techniques are best suited to each one of those applications; - identify and perform an in-depth analysis of the most promising research avenues and the major research challenges lying at the junction of ATM and complex systems domains, with particular attention to their impact and potential benefits for the ATM community; - identify areas of common interest and synergies with other SESAR activities, with special attention to the research topics covered by other WP-E networks. An additional goal for future versions of this position paper is to develop an indicative roadmap on how these research challenges should be accomplished, providing a guide on how to leverage on different aspects of the complexity research in Air Transport

Domino D5.3 Final tool and model description, and case studies results

This deliverable presents the final results obtained from the Domino project. It presents the corresponding metrics, the model, and a detailed analysis of two case studies. The main modifications to the model with respect to the previous version are highlighted, including curfew management. The calibration of the model is presented, which is similar to the previous version, with more in-depth analyses and further effort dedicated to the calibration process. Two case studies are defined in this deliverable, using previous definitions of the three base mechanisms: 4D trajectory adjustments, flight prioritisation, and flight arrival coordination. The case studies are defined to have a focused insight into the efficiency of the mechanisms in specific environments. The two case studies are run by the model and analysed using metrics previously defined, including centrality and causality metrics. The results show different levels of efficiency for the three mechanisms, highlight the degree of robustness to the propagation of negative effects (such as delay) in the system, demonstrate various trade-offs between the indicators, and support a discussion of the limit of the mechanisms

Determinants of immediate price impacts at the trade level in an emerging order-driven market

The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence, there might be other influencing factors of immediate price impacts of trades. In this paper, through mechanical analysis of price variations before and after a trade of arbitrary size, we identify that the trade size, the bid-ask spread, the price gaps and the outstanding volumes at the bid and ask sides of the limit order book have impacts on the changes of prices. We propose two regression models to investigate the influences of these microscopic factors on the price impact of buyer-initiated partially filled trades, seller-initiated partially filled trades, buyer-initiated filled trades, and seller-initiated filled trades. We find that they have quantitatively similar explanation powers and these factors can account for up to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high liquidity at the same side and low liquidity at the opposite side will cause a large price impact. We also find that the liquidity at the opposite side has a more influencing impact than the liquidity at the same side. Our results shed new lights on the determinants of immediate price impacts.Comment: 21 IOP tex pages including 5 figures and 5 tables. Accepted for publication in New Journal of Physic