Stochastic simulation framework for the Limit Order Book using liquidity motivated agents

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to perform statistical calibration of the model parameters on Level 2 limit order book data from Chi-X, based on a combination of indirect inference and multi-objective optimisation. We then demonstrate how such an agent-based modelling framework can be of use in testing exchange regulations, as well as informing brokerage decisions and other trading based scenarios

Survival Models for the Duration of Bid-Ask Spread Deviations

Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period of time. In this paper, we capture this dynamic aspect of liquidity using a survival regression framework, where the variable of interest is the duration of the deviations of the spread from a pre-specified level. We explore a large number of model structures using a branch-and-bound subset selection algorithm and illustrate the explanatory performance of our model

Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of explanatory power of the dominant modes of variation of liquidity (extracted through Principal Component Analysis) fails to account for heavy tailed features in the data, thus producing potentially misleading results. We employ Independent Component Analysis, which both decorrelates the liquidity measures in the asset cross-section, but also reduces higher-order statistical dependencies. To measure commonality in liquidity resilience, we utilise a novel characterisation as the time required for return to a threshold liquidity level. This reflects a dimension of liquidity that is not captured by the majority of liquidity measures and has important ramifications for understanding supply and demand pressures for market makers in electronic exchanges, as well as regulators and HFTs. When the metric is mapped out across a range of thresholds, it produces the daily Liquidity Resilience Profile (LRP) for a given asset. This daily summary of liquidity resilience behaviour from the vast LOB dataset is then amenable to a functional data representation. This enables the comparison of liquidity resilience in the asset cross-section via functional linear sub-space decompositions and functional regression. The functional regression results presented here suggest that market factors for liquidity resilience (as extracted through functional principal components analysis) can explain between 10 and 40% of the variation in liquidity resilience at low liquidity thresholds, but are less explanatory at more extreme levels, where individual asset factors take effect

Trends in crypto-currencies and blockchain technologies: A monetary theory and regulation perspective

The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a consequence. For the most part, e-money has fulfilled this role, but the last few years have seen two new types of money emerge. Centralised virtual currencies, usually for the purpose of transacting in social and gaming economies, and crypto-currencies, which aim to eliminate the need for financial intermediaries by offering direct peer-to-peer online payments. We describe the historical context which led to the development of these currencies and some modern and recent trends in their uptake, in terms of both usage in the real economy and as investment products. As these currencies are purely digital constructs, with no government or local authority backing, we then discuss them in the context of monetary theory, in order to determine how they may be have value under each. Finally, we provide an overview of the state of regulatory readiness in terms of dealing with transactions in these currencies in various regions of the world

Acute Ingestion of a Commercially Available Pre-workout Supplement Improves Anaerobic Power Output and Reduces Muscular Fatigue

The effect of a pre-workout supplement on anaerobic power output and muscular fatigue was examined. 18 participants took part in this double-blinded crossover study, reporting for testing on 3 occasions. Participants completed a 6x6 second repeated sprint test, with 20s recovery between sprints. Anaerobic power output was recorded as the highest power achieved during sprint test. Muscular fatigue was reported as a fatigue index across the six sprints ((maximum power – minimum power) ÷ total sprint time). During a baseline visit, participants consumed 250ml of water 30 minutes prior to testing, whilst in subsequent visits a taste-matched placebo (250ml water mixed with sugar-free juice) or a pre-workout supplement (250ml water mixed with one serving of ‘THE PRE’ myprotein.com). Anaerobic power output increased following pre-workout ingestion (pre-workout supplement, 885.8 ± 216.9W; Placebo, 853.6 ± 206.5W; Baseline, 839.3 ± 192.6W). Baseline vs pre-workout supplement (p = 0.01, g = 0.30); Placebo vs pre-workout supplement (p = 0.01, g = 0.20); Baseline vs Placebo (p = 0.59 g = 0.09). Muscular fatigue was reduced following pre-workout ingestion (Baseline, 4.92 ± 1.83W.s; Placebo, 4.39 ± 1.93W.s; pre-workout supplement, 3.31 ± 1.34W.s). Baseline vs pre-workout supplement (p = < 0.01 g = 0.98); Placebo vs pre-workout supplement (p = 0.01, g = 0.63); Baseline vs Placebo (p = 0.20, g = 0.28). Acute ingestion of a pre-workout supplement significantly improves anaerobic power output and attenuates muscular fatigue during repeated sprint cycling

THE PREVALENCE OF BODY DYSMORPHIC DISORDER IN PATIENTS UNDERGOING COSMETIC SURGERY: A SYSTEMATIC REVIEW

Body dysmorphic disorder (BDD) is a somatoform disorder characterised by a distressing obsession with an imagined or slight appearance defect, which can significantly impair normal day-to-day functioning. Patients with BDD often first present, and are hence diagnosed, in cosmetic surgery settings. Several studies have investigated the prevalence rate of BDD in the general population or have done so for patients referring to cosmetic medical centers. To date, however, no review has been undertaken to compare the prevalence in the general community versus in a cosmetic surgery setting. Despite the lack of such a review it is a commonly held belief that BDD is more common in patients seeking cosmetic surgery. The current study aims to review the available literature in order to investigate whether BDD is indeed more prevalent in patients requesting cosmetic surgery, and if that is the case, to provide possible reasons for the difference in prevalence. In addition this review provides evidence on the effectiveness of cosmetic surgery as a treatment of BDD