The times change: multivariate subordination, empirical facts

The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.

High frequency correlation modelling

Many statistical arbitrage strategies, such as pair trading or basket trading, are based on several assets. Optimal execution routines should also take into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. We develop a theoretical framework based on correlated point processes in order to capture the Epps effect in section 1. We show in section 2 that this model converges to correlated Brownian motions when moving to large time scales. A way of introducing non-Gaussian correlations is also discussed in section 2. We conclude by addressing the limits of this model and further research on high frequency correlation.

High Frequency Lead/lag Relationships - Empirical facts

Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation functions are empirically observed, especially in the future/stock case. We confirm the intuition that the most liquid assets (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the most correlated stocks are those with similar levels of liquidity. This lead/lag phenomenon is not constant throughout the day, it shows an intraday seasonality with changes of behaviour at very specific times such as the announcement of macroeconomic figures and the US market opening. These lead/lag relationships become more and more pronounced as we zoom on significant events. We reach 60% of accuracy when forecasting the next midquote variation of the lagger using only the past information of the leader, which is significantly better than using the information of the lagger only. However, a naive strategy based on market orders cannot make any profit of this effect because of the bid/ask spread.Comment: 40 page

Discovery of Microservice-based IT Landscapes at Runtime: Algorithms and Visualizations

The documentation of IT landscapes is a challenging task which is still performed mainly manually. Technology and software development trends like agile practices and microservice-based architectures exacerbate the endeavours to keep documentation up-to-date. Recent research efforts for automating this task have not addressed runtime data for gathering the architecture and remain unclear regarding proper algorithms and visualization support. In this paper, we want to close this research gap by presenting two algorithms that 1) discover the IT landscape based on historical data and 2) create continuously architecture snapshots based on new incoming runtime data. We especially consider scenarios in which runtime artifacts or communications paths were removed from the architecture as those cases are challenging to unveil from runtime data. We evaluate our prototype by analyzing the monitoring data from 79 days of a big automotive company. The algorithms provided promising results. The implemented prototype allows stakeholders to explore the snapshots in order to analyze the emerging behavior of the microservice-based IT landscape

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Jet energy measurement with the ATLAS detector in proton-proton collisions at root s=7 TeV

The jet energy scale and its systematic uncertainty are determined for jets measured with the ATLAS detector at the LHC in proton-proton collision data at a centre-of-mass energy of √s = 7TeV corresponding to an integrated luminosity of 38 pb-1. Jets are reconstructed with the anti-kt algorithm with distance parameters R=0. 4 or R=0. 6. Jet energy and angle corrections are determined from Monte Carlo simulations to calibrate jets with transverse momenta pT≥20 GeV and pseudorapidities {pipe}η{pipe}<4. 5. The jet energy systematic uncertainty is estimated using the single isolated hadron response measured in situ and in test-beams, exploiting the transverse momentum balance between central and forward jets in events with dijet topologies and studying systematic variations in Monte Carlo simulations. The jet energy uncertainty is less than 2. 5 % in the central calorimeter region ({pipe}η{pipe}<0. 8) for jets with 60≤pT<800 GeV, and is maximally 14 % for pT<30 GeV in the most forward region 3. 2≤{pipe}η{pipe}<4. 5. The jet energy is validated for jet transverse momenta up to 1 TeV to the level of a few percent using several in situ techniques by comparing a well-known reference such as the recoiling photon pT, the sum of the transverse momenta of tracks associated to the jet, or a system of low-pT jets recoiling against a high-pT jet. More sophisticated jet calibration schemes are presented based on calorimeter cell energy density weighting or hadronic properties of jets, aiming for an improved jet energy resolution and a reduced flavour dependence of the jet response. The systematic uncertainty of the jet energy determined from a combination of in situ techniques is consistent with the one derived from single hadron response measurements over a wide kinematic range. The nominal corrections and uncertainties are derived for isolated jets in an inclusive sample of high-pT jets. Special cases such as event topologies with close-by jets, or selections of samples with an enhanced content of jets originating from light quarks, heavy quarks or gluons are also discussed and the corresponding uncertainties are determined. © 2013 CERN for the benefit of the ATLAS collaboration

Single hadron response measurement and calorimeter jet energy scale uncertainty with the ATLAS detector at the LHC

The uncertainty on the calorimeter energy response to jets of particles is derived for the ATLAS experiment at the Large Hadron Collider (LHC). First, the calorimeter response to single isolated charged hadrons is measured and compared to the Monte Carlo simulation using proton-proton collisions at centre-of-mass energies of sqrt(s) = 900 GeV and 7 TeV collected during 2009 and 2010. Then, using the decay of K_s and Lambda particles, the calorimeter response to specific types of particles (positively and negatively charged pions, protons, and anti-protons) is measured and compared to the Monte Carlo predictions. Finally, the jet energy scale uncertainty is determined by propagating the response uncertainty for single charged and neutral particles to jets. The response uncertainty is 2-5% for central isolated hadrons and 1-3% for the final calorimeter jet energy scale.Comment: 24 pages plus author list (36 pages total), 23 figures, 1 table, submitted to European Physical Journal

Robotic middle ear access for cochlear implantation: first in man

To demonstrate the feasibility of robotic middle ear access in a clinical setting, nine adult patients with severe-to-profound hearing loss indicated for cochlear implantation were included in this clinical trial. A keyhole access tunnel to the tympanic cavity and targeting the round window was planned based on preoperatively acquired computed tomography image data and robotically drilled to the level of the facial recess. Intraoperative imaging was performed to confirm sufficient distance of the drilling trajectory to relevant anatomy. Robotic drilling continued toward the round window. The cochlear access was manually created by the surgeon. Electrode arrays were inserted through the keyhole tunnel under microscopic supervision via a tympanomeatal flap. All patients were successfully implanted with a cochlear implant. In 9 of 9 patients the robotic drilling was planned and performed to the level of the facial recess. In 3 patients, the procedure was reverted to a conventional approach for safety reasons. No change in facial nerve function compared to baseline measurements was observed. Robotic keyhole access for cochlear implantation is feasible. Further improvements to workflow complexity, duration of surgery, and usability including safety assessments are required to enable wider adoption of the procedure

Standalone vertex finding in the ATLAS muon spectrometer

A dedicated reconstruction algorithm to find decay vertices in the ATLAS muon spectrometer is presented. The algorithm searches the region just upstream of or inside the muon spectrometer volume for multi-particle vertices that originate from the decay of particles with long decay paths. The performance of the algorithm is evaluated using both a sample of simulated Higgs boson events, in which the Higgs boson decays to long-lived neutral particles that in turn decay to bbar b final states, and pp collision data at √s = 7 TeV collected with the ATLAS detector at the LHC during 2011