Order flow dynamics around extreme price changes on an emerging stock market

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid-ask spread, and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak. The volume of buy market orders increases faster and the corresponding peak appears earlier than for sell market orders around positive events, while the volume peak of sell market orders leads buy market orders in the magnitude and time around negative events. When orders are divided into four groups according to their aggressiveness, we find that the behaviors of order volume and order number are similar, except for buy limit orders and canceled orders that the peak of order number postpones two minutes later after the peak of order volume, implying that investors placing large orders are more informed and play a central role in large price fluctuations. We also study the relative rates of different types of orders and find differences in the dynamics of relative rates between buy orders and sell orders and between individual investors and institutional investors. There is evidence showing that institutions behave very differently from individuals and that they have more aggressive strategies. Combing these findings, we conclude that institutional investors are more informed and play a more influential role in driving large price fluctuations.Comment: 22 page

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the "$q$-Gamma" function for fitting the distribution by the Cram\'{e}r-von Mises criterion. The empirical PDFs of trading volumes at different timescales $\Delta{t}$ ranging from 1 min to 240 min can be well modeled. The applicability of the $q$-Gamma functions for multiple trades is restricted to the transaction numbers $\Delta{n}\leqslant8$. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents $\alpha$ of the distribution of trade sizes and trading volumes, we get $\alpha>2$, well outside the L{\'e}vy regime.Comment: 7 pages, 5 figures and 4 table

The relationship between velocity utilization rate and pole vault performance

In the pole vault event, the velocity of approach is a highly vital factor. As velocity of approach improvements highly impact performance improvements. This study analysed the relationships between sprint running’s speed (SR), pole running (PR, without jump), and the pole vault approach (PVA, with real jump). Analysed too were the relationships between both the approach and performance’s respective running distance, velocity, and velocity utilization rates. Methods: Ten male pole vaulters were recruited. Measured was each 5-meter segment’s average velocity of his respective SR, PR, and PVA, along with the distance to maximum velocity. Results: The maximum average velocity of the PR’s 5m segments altogether was significantly positively correlated with pole vault (PV) performance; The maximum average velocity of the PR’s 5m segments altogether was significantly positively correlated with the last 5m PVA average velocity; The PVA velocity’s utilization rate was significantly negatively correlated with the difference between the distance to the PR’s maximum velocity and the PVA’s distance. Conclusion: The PR segment’s maximum speed capability can evaluate both a pole vaulter’s potential and pole vault-specific abilities. This study’s recruited pole vaulters’ respective approach distances were generally insufficient that resulted in a lower velocity utilization rate. Suggested is that in training, the pole vaulter could first find the distance required to reach the highest velocity upon starting from the PR test. Thus, this subsequently known distance could be applied in tandem with the pole vault’s approach to both improve the PVA’s utilization rate and reach the individual highest speed level

Vapourchromic alkali metal ions complexes based on 2-phenmethylamino-7-methyl-1,8-naphthyridine

A series of 2-phenmethylamino-7-methyl-1,8-naphthyridine/alkali metal ion (Li+ and Na+) complexes have been synthesized using a polymeric medium (poly(acrylic acid)) as the key activating component. Upon exposure to methanol or ethanol vapour at ambient temperature, the emission colour of prepared complexes in solid powder and thin film states changes from red-orange or pink to blue, respectively. These phenomena are reversible and rapid (about 5-10 s), hence, the prepared complexes have potential applications as chemosensor materials for detection of volatile methanol vapour

Vapourchromic alkali metal ions complexes based on 2-phenmethylamino-7-methyl-1,8-naphthyridine

556-560A series of 2-phenmethylamino-7-methyl-1,8-naphthyridine/alkali metal ion (Li+ and Na+) complexes have been synthesized using a polymeric medium (poly(acrylic acid)) as the key activating component. Upon exposure to methanol or ethanol vapour at ambient temperature, the emission colour of prepared complexes in solid powder and thin film states changes from red-orange or pink to blue, respectively. These phenomena are reversible and rapid (about 5-10 s), hence, the prepared complexes have potential applications as chemosensor materials for detection of volatile methanol vapour

Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find that the occurrence rate of aftershocks with the magnitude exceeding a given threshold for both daily volatility (constructed using 1-minute data) and minutely volatility (using intra-minute data) decays as a power law. The power-law relaxation exponent increases with the volatility threshold and is significantly greater than 1. Taking financial volatility as the counterpart of seismic activity, the power-law relaxation in financial volatility deviates remarkably from the Omori law in Geophysics.Comment: 8 EPL pages including 3 figures and 3 table

From chemical Langevin equations to Fokker-Planck equation: application of Hodge decomposition and Klein-Kramers equation

The stochastic systems without detailed balance are common in various chemical reaction systems, such as metabolic network systems. In studies of these systems, the concept of potential landscape is useful. However, what are the sufficient and necessary conditions of the existence of the potential function is still an open problem. Use Hodge decomposition theorem in differential form theory, we focus on the general chemical Langevin equations, which reflect complex chemical reaction systems. We analysis the conditions for the existence of potential landscape of the systems. By mapping the stochastic differential equations to a Hamiltonian mechanical system, we obtain the Fokker-Planck equation of the chemical reaction systems. The obtained Fokker-Planck equation can be used in further studies of other steady properties of complex chemical reaction systems, such as their steady state entropies.Comment: 6 pages, 0 figure, submitted to J. Phys. A: Math. Theo

High expression of transcriptional coactivator p300 correlates with aggressive features and poor prognosis of hepatocellular carcinoma

<p>Abstract</p> <p>Background</p> <p>It has been suggested that p300 participates in the regulation of a wide range of cell biological processes and mutation of p300 has been identified in certain types of human cancers. However, the expression dynamics of p300 in hepatocellular carcinoma (HCC) and its clinical/prognostic significance are unclear.</p> <p>Methods</p> <p>In this study, the methods of reverse transcription-polymerase chain reaction (RT-PCR), Western blotting and immunohistochemistry (IHC) were utilized to investigate protein/mRNA expression of p300 in HCCs. Receiver operating characteristic (ROC) curve analysis, spearman's rank correlation, Kaplan-Meier plots and Cox proportional hazards regression model were used to analyze the data.</p> <p>Results</p> <p>Up-regulated expression of p300 mRNA and protein was observed in the majority of HCCs by RT-PCR and Western blotting, when compared with their adjacent non-malignant liver tissues. According to the ROC curves, the cutoff score for p300 high expression was defined when more than 60% of the tumor cells were positively stained. High expression of p300 was examined in 60/123 (48.8%) of HCCs and in 8/123 (6.5%) of adjacent non-malignant liver tissues. High expression of p300 was correlated with higher AFP level, larger tumor size, multiplicity, poorer differentiation and later stage (<it>P </it>< 0.05). In univariate survival analysis, a significant association between overexpression of p300 and shortened patients' survival was found (<it>P </it>= 0.001). In different subsets of HCC patients, p300 expression was also a prognostic indicator in patients with stage II (<it>P </it>= 0.007) and stage III (<it>P </it>= 0.011). Importantly, p300 expression was evaluated as an independent prognostic factor in multivariate analysis (<it>P </it>= 0.021). Consequently, a new clinicopathologic prognostic model with three poor prognostic factors (p300 expression, AFP level and vascular invasion) was constructed. The model could significantly stratify risk (low, intermediate and high) for overall survival (<it>P </it>< 0.0001).</p> <p>Conclusions</p> <p>Our findings provide a basis for the concept that high expression of p300 in HCC may be important in the acquisition of an aggressive phenotype, suggesting that p300 overexpression, as examined by IHC, is an independent biomarker for poor prognosis of patients with HCC. The combined clinicopathologic prognostic model may become a useful tool for identifying HCC patients with different clinical outcomes.</p