Liquidity dynamics in an electronic open limit order book: An event study approach

We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics, analyze the cross-sectional determinants of the XLM measure and document its intraday pattern. Our main contribution is an analysis of the dynamics of the XLM measure around liquidity shocks. We use intraday event study methodology to analyze how a shock affects the XLM measure. We consider two sets of liquidity shocks, large transactions (which are endogenous events because they originate in the market) and Bloomberg ticker news items (which are exogenous events because they originate outside of the market). We find that resiliency after large transactions is high, i.e., liquidity quickly reverts to normal levels. We further document that large trades take place at times when liquidity is unusually high. We interpret this as evidence that large transactions are timed. The Bloomberg ticker news items do not have a discernible effect on liquidity. --liquidity,limit order book,resiliency

Symptomatic relief precedes improvement of myocardial blood flow in patients under spinal cord stimulation

BACKGROUND: Spinal cord electrical stimulation (SCS) has shown to be a treatment option for patients suffering from angina pectoris CCS III-IV although being on optimal medication and not suitable for conventional treatment strategies, e.g. CABG or PTCA. Although many studies demonstrated a clear symptomatic relief under SCS therapy, there are only a few short-term studies that investigated alterations in cardiac ischemia. Therefore doubts remain whether SCS has a direct effect on myocardial perfusion. METHODS: A prospective study to investigate the short- and long-term effect of spinal cord stimulation (SCS) on myocardial ischemia in patients with refractory angina pectoris and coronary multivessel disease was designed. Myocardial ischemia was measured by MIBI-SPECT scintigraphy 3 months and 12 months after the beginning of neurostimulation. To further examine the relation between cardiac perfusion and functional status of the patients we measured exercise capacity (bicycle ergometry and 6-minute walk test), symptoms and quality of life (Seattle Angina Questionnaire [SAQ]), as well. RESULTS: 31 patients (65 ± 11 SEM years; 25 male, 6 female) were included into the study. The average consumption of short acting nitrates (SAN) decreased rapidly from 12 ± 1.6 times to 3 ± 1 times per week. The walking distance and the maximum workload increased from 143 ± 22 to 225 ± 24 meters and 68 ± 7 to 96 ± 12 watt after 3 months. Quality of life increased (SAQ) significantly after 3 month compared to baseline, as well. No further improvement was observed after one year of treament. Despite the symptomatic relief and the improvement in maximal workload computer based analysis (Emory Cardiac Toolbox) of the MIBI-SPECT studies after 3 months of treatment did not show significant alterations of myocardial ischemia compared to baseline (16 patients idem, 7 with increase and 6 with decrease of ischemia, 2 patients dropped out during initial test phase). Interestingly, in the long-term follow up after one year 16 patients (of 27 who completed the one year follow up) showed a clear decrease of myocardial ischemia and only one patient still had an increase of ischemia compared to baseline. CONCLUSION: Thus, spinal cord stimulation not only relieves symptoms, but reduces myocardial ischemia as well. However, since improvement in symptoms and exercise capacity starts much earlier, decreased myocardial ischemia might not be a direct effect of neurostimulation but rather be due to a better coronary collateralisation because of an enhanced physical activity of the patients

Multi-Jet Event Rates in Deep Inelastic Scattering and Determination of the Strong Coupling Constant

Jet event rates in deep inelastic ep scattering at HERA are investigated applying the modified JADE jet algorithm. The analysis uses data taken with the H1 detector in 1994 and 1995. The data are corrected for detector and hadronization effects and then compared with perturbative QCD predictions using next-to-leading order calculations. The strong coupling constant alpha_S(M_Z^2) is determined evaluating the jet event rates. Values of alpha_S(Q^2) are extracted in four different bins of the negative squared momentum transfer~\qq in the range from 40 GeV2 to 4000 GeV2. A combined fit of the renormalization group equation to these several alpha_S(Q^2) values results in alpha_S(M_Z^2) = 0.117+-0.003(stat)+0.009-0.013(syst)+0.006(jet algorithm).Comment: 17 pages, 4 figures, 3 tables, this version to appear in Eur. Phys. J.; it replaces first posted hep-ex/9807019 which had incorrect figure 4

Measurement of Leading Proton and Neutron Production in Deep Inelastic Scattering at HERA

Deep--inelastic scattering events with a leading baryon have been detected by the H1 experiment at HERA using a forward proton spectrometer and a forward neutron calorimeter. Semi--inclusive cross sections have been measured in the kinematic region 2 <= Q^2 <= 50 GeV^2, 6.10^-5 <= x <= 6.10^-3 and baryon p_T <= MeV, for events with a final state proton with energy 580 <= E' <= 740 GeV, or a neutron with energy E' >= 160 GeV. The measurements are used to test production models and factorization hypotheses. A Regge model of leading baryon production which consists of pion, pomeron and secondary reggeon exchanges gives an acceptable description of both semi-inclusive cross sections in the region 0.7 <= E'/E_p <= 0.9, where E_p is the proton beam energy. The leading neutron data are used to estimate for the first time the structure function of the pion at small Bjorken--x.Comment: 30 pages, 9 figures, 2 tables, submitted to Eur. Phys.

Dynamic genome evolution in a model fern

The large size and complexity of most fern genomes have hampered efforts to elucidate fundamental aspects of fern biology and land plant evolution through genome-enabled research. Here we present a chromosomal genome assembly and associated methylome, transcriptome and metabolome analyses for the model fern species Ceratopteris richardii. The assembly reveals a history of remarkably dynamic genome evolution including rapid changes in genome content and structure following the most recent whole-genome duplication approximately 60 million years ago. These changes include massive gene loss, rampant tandem duplications and multiple horizontal gene transfers from bacteria, contributing to the diversification of defence-related gene families. The insertion of transposable elements into introns has led to the large size of the Ceratopteris genome and to exceptionally long genes relative to other plants. Gene family analyses indicate that genes directing seed development were co-opted from those controlling the development of fern sporangia, providing insights into seed plant evolution. Our findings and annotated genome assembly extend the utility of Ceratopteris as a model for investigating and teaching plant biology

Jets and energy flow in photon-proton collisions at HERA

Properties of the hadronic final state in photoproduction events with large transverse energy are studied at the electron-proton collider HERA. Distributions of the transverse energy, jets and underlying event energy are compared to \overline{p}p data and QCD calculations. The comparisons show that the \gamma p events can be consistently described by QCD models including -- in addition to the primary hard scattering process -- interactions between the two beam remnants. The differential jet cross sections d\sigma/dE_T^{jet} and d\sigma/d\eta^{jet} are measured

The Seventeenth Data Release of the Sloan Digital Sky Surveys: Complete Release of MaNGA, MaStar and APOGEE-2 Data

This paper documents the seventeenth data release (DR17) from the Sloan Digital Sky Surveys; the fifth and final release from the fourth phase (SDSS-IV). DR17 contains the complete release of the Mapping Nearby Galaxies at Apache Point Observatory (MaNGA) survey, which reached its goal of surveying over 10,000 nearby galaxies. The complete release of the MaNGA Stellar Library (MaStar) accompanies this data, providing observations of almost 30,000 stars through the MaNGA instrument during bright time. DR17 also contains the complete release of the Apache Point Observatory Galactic Evolution Experiment 2 (APOGEE-2) survey which publicly releases infra-red spectra of over 650,000 stars. The main sample from the Extended Baryon Oscillation Spectroscopic Survey (eBOSS), as well as the sub-survey Time Domain Spectroscopic Survey (TDSS) data were fully released in DR16. New single-fiber optical spectroscopy released in DR17 is from the SPectroscipic IDentification of ERosita Survey (SPIDERS) sub-survey and the eBOSS-RM program. Along with the primary data sets, DR17 includes 25 new or updated Value Added Catalogs (VACs). This paper concludes the release of SDSS-IV survey data. SDSS continues into its fifth phase with observations already underway for the Milky Way Mapper (MWM), Local Volume Mapper (LVM) and Black Hole Mapper (BHM) surveys

Non-Standard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants