A continuous time random walk model for financial distributions

We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the US dollar/Deutsche Mark future exchange, finding good agreement between theory and the observed data.Comment: 14 pages, 5 figures, revtex4, submitted for publicatio

Bose-Einstein condensation in multilayers

The critical BEC temperature $T_{c}$ of a non interacting boson gas in a layered structure like those of cuprate superconductors is shown to have a minimum $T_{c,m}$, at a characteristic separation between planes $a_{m}$. It is shown that for $a<a_{m}$, $T_{c}$ increases monotonically back up to the ideal Bose gas $T_{0}$ suggesting that a reduction in the separation between planes, as happens when one increases the pressure in a cuprate, leads to an increase in the critical temperature. For finite plane separation and penetrability the specific heat as a function of temperature shows two novel crests connected by a ridge in addition to the well-known BEC peak at $T_{c}$ associated with the 3D behavior of the gas. For completely impenetrable planes the model reduces to many disconnected infinite slabs for which just one hump survives becoming a peak only when the slab widths are infinite.Comment: Four pages, four figure

Rapid pivot feeding in pipefish: flow effects on prey and evaluation of simple dynamic modelling via computational fluid dynamics

Most theoretical models of unsteady aquatic movement in organisms assume that including steady-state drag force and added mass approximates the hydrodynamic force exerted on an organism's body. However, animals often perform explosively quick movements where high accelerations are realized in a few milliseconds and are followed closely by rapid decelerations. For such highly unsteady movements, the accuracy of this modelling approach may be limited. This type of movement can be found during pivot feeding in pipefish that abruptly rotate their head and snout towards prey. We used computational fluid dynamics (CFD) to validate a simple analytical model of cranial rotation in pipefish. CFD simulations also allowed us to assess prey displacement by head rotation. CFD showed that the analytical model accurately calculates the forces exerted on the pipefish. Although the initial phase of acceleration changes the flow patterns during the subsequent deceleration phase, the accuracy of the analytical model was not reduced during this deceleration phase. Our analysis also showed that prey are left approximately stationary despite the quickly approaching pipefish snout. This suggests that pivot-feeding fish need little or no suction to compensate for the effects of the flow induced by cranial rotation

Price Clustering on the Tokyo Stock Exchange

This paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also extends to order book depth. There is evidence of strategic trading behavior as traders place orders one price tick better than zero and five to avoid queuing orders at prices ending in these digits. Strategic trading behavior declined and clustering increased when the market became anonymous. Copyright 2007, The Eastern Finance Association.